The finite-time ruin probability for an inhomogeneous renewal risk model

Emilija Bernackaitė; Jonas Šiaulys

doi:10.3934/jimo.2016012

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2017, Volume 13, Issue 1: 207-222. Doi: 10.3934/jimo.2016012

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The finite-time ruin probability for an inhomogeneous renewal risk model

Emilija Bernackaitė and
Jonas Šiaulys^,

Faculty of Mathematics and and Informatics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania

* Corresponding author: jonas.siaulys@mif.vu.lt
* Corresponding author: jonas.siaulys@mif.vu.lt

Received: March 2015

Revised: December 2015

Published: August 2017

The second author is supported by a grant No. MIP-13079 from the Research Council of Lithuania.

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Abstract

In the paper, we give an asymptotic formula for the finite-time ruin probability in a generalized renewal risk model. We consider the renewal risk model with independent strongly subexponential claim sizes and independent not necessarily identically distributed inter occurrence times having finite variances. We find out that the asymptotic formula for the finite-time ruin probability is insensitive to the homogeneity of inter-occurrence times.

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Mathematics Subject Classification: Primary: 91B30; Secondary: 60K05, 60G20.

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References

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