Estimates for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with a Brownian Perturbation

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...

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Bibliographic Details
Published in:Mathematical problems in engineering 2020, Vol.2020 (2020), p.1-5
Main Authors: Wang, Kaiyong, Mao, Yanzhu, Cui, Yongfang
Format: Article
Language:English
Subjects:
Asymptotic properties
Lower bounds
Markov analysis
Perturbation methods
Probability
Random variables
Time dependence
Upper bounds
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Summary: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.
ISSN:1024-123X
1563-5147
DOI:10.1155/2020/7130243