Ruin probabilities for a regenerative Poisson gap generated risk process

Søren Asmussen (1) , Romain Biard (1)

1 Department of Mathematical Sciences

A risk process with constant premium rate $c$ and Poisson arrivals of claims is considered. A threshold $r$ is defined for claim interarrival times, such that if $k$ consecutive interarrival times are larger than $r$, then the next claim has distribution $G$. Otherwise, the claim size distribution is $F$. Asymptotic expressions for the infinite horizon ruin probabilities are given for both light- and the heavy-tailed cases. A basic observation is that the process regenerates at each $G$-claim. Also an approach via Markov additive processes is outlined, and heuristics are given for the distribution of the time to ruin.

Mots clés: Ruin theory; Subexponential distribution; Large deviations; Markov additive process; Finite horizon ruin

Domaines: Probabilités [math.PR]; Economies et finances

Søren Asmussen, Romain Biard. Ruin probabilities for a regenerative Poisson gap generated risk process. European Actuarial Journal, 2011, 1 (1), pp.3-22. ⟨10.1007/s13385-011-0002-8⟩. ⟨hal-00569254v2⟩