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Asymptotics for the random time ruin probability with non stationary arrivals and Brownian perturbation.
- Source :
-
Communications in Statistics: Theory & Methods . 2024, Vol. 53 Issue 9, p3337-3349. 13p. - Publication Year :
- 2024
-
Abstract
- In this paper, we consider a risk model with heavy-tailed claims and Brownian perturbation. Assuming that the distribution function of claim-size is subexponential, and the arrival process of claims is a non stationary process satisfying the principle of large deviation, the asymptotic formula for the ruin probability of this risk model at random time is obtained. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 53
- Issue :
- 9
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 176072386
- Full Text :
- https://doi.org/10.1080/03610926.2022.2153227