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

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  • Kaiyong Wang
  • Yongfang Cui
  • Yanzhu Mao

Abstract

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 , 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.

Suggested Citation

  • Kaiyong Wang & Yongfang Cui & Yanzhu Mao, 2020. "Estimates for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with a Brownian Perturbation," Mathematical Problems in Engineering, Hindawi, vol. 2020, pages 1-5, February.
    • Handle: RePEc:hin:jnlmpe:7130243
    DOI: 10.1155/2020/7130243
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