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摘要翻译：
本文对满足大偏差原理的非平稳到达过程，得到了具有亚指数尾索赔的风险过程的有限时域和无限时域破产概率渐近性。结果，到达过程可能是依赖的、非平稳的和非更新的。我们给出了三个非平稳非更新点过程的例子：Hawkes过程、具有散粒噪声强度的Cox过程和自校正点过程。我们还为这三个例子展示了一些聚合索赔结果。
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英文标题：
《Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and
Subexponential Claims》
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作者：
Lingjiong Zhu
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最新提交年份：
2014
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics 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. We give three examples of non-stationary and non-renewal point processes: Hawkes process, Cox process with shot noise intensity and self-correcting point process. We also show some aggregate claims results for these three examples.
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PDF链接：
https://arxiv.org/pdf/1304.1940
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