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

Abstract EN

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 L∩D, 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.