Lingjiong Zhu (University of Minnesota)


Title: Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

Abstract: Finite-horizon and infinite-horizon ruin probability asymptotics are obtained for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary and non-renewal. Applications are given to three examples of non-stationary and non-renewal point processes: Hawkes process, Cox process with shot noise intensity and self-correcting point process.