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RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS

Published online by Cambridge University Press:  16 March 2021

Ke-Ang Fu Open the ORCID record for Ke-Ang Fu [Opens in a new window]  and
Yang Liu
Ke-Ang Fu
Affiliation:
Department of Statistics, Zhejiang University City College, Hangzhou 310015, China E-mail: fukeang@hotmail.com
Yang Liu
Affiliation:
School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China E-mail: sukey07828@163.com
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Abstract

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Consider a multidimensional risk model, in which an insurer simultaneously confronts m (m ≥ 2) types of claims sharing a common non-stationary and non-renewal arrival process. Assuming that the claims arrival process satisfies a large deviation principle and the claim-size distributions are heavy-tailed, asymptotic estimates for two common types of ruin probabilities for this multidimensional risk model are obtained. As applications, we give two examples of the non-stationary point process: a Hawkes process and a Cox process with shot noise intensity, and asymptotic ruin probabilities are obtained for these two examples.

Keywords

Cox processHawkes processmultidimensional risk modelnon-stationary arrival processruin probabilitysubexponential class

Information

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 36 , Issue 3 , July 2022 , pp. 799 - 811
Copyright
Copyright © The Author(s), 2021. Published by Cambridge University Press

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