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Ruin probabilities in perturbed risk models

✍ Scribed by Sabine Schlegel

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 588 KB
Volume: 22
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(98)00011-0

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✦ Synopsis

We consider the asymptotical behaviour of the ruin function in perturbed and unperturbed non-standard risk models when the initial risk reserve tends to infinity. We give a characterization of this behaviour in terms of the unperturbed ruin function and the perturbation law provided that at least one of both is subexponential. By a number of examples for the claim arrival process as well as the perturbation process we show that our result is a generalization of previous work on this subject.

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