RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS. Issue 3 (July 2022)

• Record Type: Journal Article
• Authors: Fu, Ke-Ang; Liu, Yang
• Is Part Of: Probability in the engineering and informational sciences. Volume 36:Issue 3(2022)
• Page Start: 799
• Page End: 811
• Publication Date: 2022-07
• Subjects: Cox process -- Hawkes process -- multidimensional risk model -- non-stationary arrival process -- ruin probability -- subexponential class; Probabilities -- Periodicals; Engineering -- Statistical methods -- Periodicals; Information science -- Statistical methods -- Periodicals; 519.202462
• DOI: 10.1017/S0269964821000085
• Languages: English
• ISSNs: 0269-9648

Abstract

Abstract : 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.