Finite-time ruin probability of aggregate Gaussian processes

preprint2014arXivOpen access

Abstract

Let {∑i=1nλiXi(t),t∈[0,T]}\left\{\sum_{i=1}^n λ_i X_i(t), t\in [0,T]\right\} be an aggregate Gaussian risk process with Xi,i≤nX_i, i\leq n independent Gaussian processes satisfying Piterbarg conditions and λiλ_i's given positive weights. In this paper we derive exact asymptotics of the finite-time ruin probability given by P(sup⁡t∈[0,T](∑i=1nλiXi(t)−g(t))>u)\mathbb{P}\left(\sup_{t\in[0,T]}\left(\sum_{i=1}^n λ_i X_i(t)- g(t) \right)>u\right) as u→∞u\to\infty for some general trend function gg. Further, we derive asymptotic results for the finite-time ruin probabilities of risk processes perturbed by an aggregate Gaussian process.

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