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Ruin probabilities for a regenerative Poisson gap generated risk process

Publikation: Working paperForskning

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A risk process with constant premium rate c and Poisson arrivals of claims is considered. A threshold r is defined for claim interarrival times, such that if k consecutive interarrival times are larger than r, then the next claim has distribution G. Otherwise, the claim size distribution is F. Asymptotic expressions for the infinite horizon ruin probabilities are given both for the light- and the heavy-tailed case. A basic observation is that the process regenerates at each G-claim. Also an approach via Markov additive processes is outlined, and heuristics are given for the distribution of the time to ruin.

OriginalsprogEngelsk
UdgiverThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Antal sider17
StatusUdgivet - 3 feb. 2011

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