Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process |
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Authors: | Enkelejd Hashorva |
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Institution: | Department of Actuarial Science, University of Lausanne, Lausanne, Switzerland |
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Abstract: | 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. |
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Keywords: | Sparre Andersen risk model chi-process Gaussian process perturbed risk process finite-time ruin probability subexponential distribution |
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