Finite-time ruin probability of aggregate Gaussian processes

MaRDI QIDQ2940156zbMATH OpenFDO

Authors Krzysztof Dȩbicki, Lanpeng Ji, Zhongquan Tan, Enkelejd Hashorva

Publication date 26 January 2015

Full work available at URL https://arxiv.org/abs/1404.5730

zbMATH Keywords

aggregate Gaussian processesbifractional Brownian motionLévy processesperturbed risk processesrisk aggregationsubexponential risks

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Let $leftsu{m}_{i=1}^{n}lambd{a}_i{X}_i(t),tin[0,T]ight$ be an aggregate Gaussian risk process with $X_i,ileqn$ independent Gaussian processes satisfying Piterbarg conditions and $lambd{a}_i$'s given positive weights. In this paper we derive exact asymptotics of the finite-time ruin probability given by ${\displaystyle }$mathbb{P}left(sup_{tin[0,T]}left(sum_{i=1}^n lambda_i X_i(t)- g(t) ight)>u ight)${\displaystyle }$ as $uoinfty$ for some general trend function $g$. Further, we derive asymptotic results for the finite-time ruin probabilities of risk processes perturbed by an aggregate Gaussian process.

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