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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Probability in the Engineering and Informational Sciences
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
