Asymptotics of the Finite- time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process

作者：Hashorva Enkelejd; Ji Lanpeng^*

来源：Communications in Statistics - Theory and Methods, 2014, 43(10-12): 2540-2548.

DOI：10.1080/03610926.2012.759974

• Sparre Andersen risk model
• chi-process
• Gaussian process
• perturbed risk process
• finite-time ruin probability
• subexponential distribution
• Primary 91B30
• 60G15
• Secondary 60G70

In this article, we consider the Sparre Andersen risk model that is perturbed by an inflated chi-process with non-negative random inflator R. Under some conditions on the perturbation and the random inflator, which allow for both small and large fluctuations, exact asymptotic behaviour of the finite-time ruin probability is obtained when initial reserve tends to infinity.

• 出版日期2014-5-15