Estimates for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with a Brownian Perturbation
2020 ◽
Vol 2020
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pp. 1-5
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Keyword(s):
In this paper, we consider a time-dependent risk model with a Brownian perturbation. In this model, there is a dependence structure between the claim sizes and their corresponding interarrival times. Assuming the claim sizes have subexponential distributions, we obtain the asymptotic lower bound of the finite-time ruin probability. When the claim sizes have distributions from the class L∩D, the asymptotic upper bound of the finite-time ruin probability has been presented. These results confirm that when the claim sizes are heavy-tailed, the asymptotics of the finite-time ruin probability of this time-dependent model are insensitive to the Brownian perturbation.
2011 ◽
Vol 2011
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pp. 1-14
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2020 ◽
Vol 37
(2)
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pp. 507-525
Keyword(s):
2021 ◽
Vol 37
(4)
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pp. 847-857
2013 ◽
Vol 2015
(4)
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pp. 301-318
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Keyword(s):
2018 ◽
Vol 35
(3)
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pp. 1173-1189
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2012 ◽
Vol 16
(3)
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pp. 378-397
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Keyword(s):
2013 ◽
Vol 3
(1)
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pp. 249-271
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Keyword(s):