Ruin probabilities for a regenerative Poisson gap generated risk process
Résumé
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 both for the light- and the heavy-tailed case. 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.
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