# American Institute of Mathematical Sciences

January  2017, 13(1): 207-222. doi: 10.3934/jimo.2016012

## The finite-time ruin probability for an inhomogeneous renewal risk model

 Faculty of Mathematics and and Informatics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania

* Corresponding author: jonas.siaulys@mif.vu.lt

Received  March 2015 Revised  December 2015 Published  March 2016

Fund Project: The second author is supported by a grant No. MIP-13079 from the Research Council of Lithuania.

In the paper, we give an asymptotic formula for the finite-time ruin probability in a generalized renewal risk model. We consider the renewal risk model with independent strongly subexponential claim sizes and independent not necessarily identically distributed inter occurrence times having finite variances. We find out that the asymptotic formula for the finite-time ruin probability is insensitive to the homogeneity of inter-occurrence times.

Citation: Emilija Bernackaitė, Jonas Šiaulys. The finite-time ruin probability for an inhomogeneous renewal risk model. Journal of Industrial & Management Optimization, 2017, 13 (1) : 207-222. doi: 10.3934/jimo.2016012
##### References:

show all references

##### References:
 [1] Guillermo Reyes, Juan-Luis Vázquez. Long time behavior for the inhomogeneous PME in a medium with slowly decaying density. Communications on Pure & Applied Analysis, 2009, 8 (2) : 493-508. doi: 10.3934/cpaa.2009.8.493 [2] Kin Ming Hui, Soojung Kim. Asymptotic large time behavior of singular solutions of the fast diffusion equation. Discrete & Continuous Dynamical Systems - A, 2017, 37 (11) : 5943-5977. doi: 10.3934/dcds.2017258 [3] Paula A. González-Parra, Sunmi Lee, Leticia Velázquez, Carlos Castillo-Chavez. A note on the use of optimal control on a discrete time model of influenza dynamics. Mathematical Biosciences & Engineering, 2011, 8 (1) : 183-197. doi: 10.3934/mbe.2011.8.183 [4] Arseny Egorov. Morse coding for a Fuchsian group of finite covolume. Journal of Modern Dynamics, 2009, 3 (4) : 637-646. doi: 10.3934/jmd.2009.3.637 [5] M. Mahalingam, Parag Ravindran, U. Saravanan, K. R. Rajagopal. Two boundary value problems involving an inhomogeneous viscoelastic solid. Discrete & Continuous Dynamical Systems - S, 2017, 10 (6) : 1351-1373. doi: 10.3934/dcdss.2017072 [6] Hakan Özadam, Ferruh Özbudak. A note on negacyclic and cyclic codes of length $p^s$ over a finite field of characteristic $p$. Advances in Mathematics of Communications, 2009, 3 (3) : 265-271. doi: 10.3934/amc.2009.3.265 [7] M. Grasselli, V. Pata. Asymptotic behavior of a parabolic-hyperbolic system. Communications on Pure & Applied Analysis, 2004, 3 (4) : 849-881. doi: 10.3934/cpaa.2004.3.849 [8] Lakmi Niwanthi Wadippuli, Ivan Gudoshnikov, Oleg Makarenkov. Global asymptotic stability of nonconvex sweeping processes. Discrete & Continuous Dynamical Systems - B, 2020, 25 (3) : 1129-1139. doi: 10.3934/dcdsb.2019212 [9] Cécile Carrère, Grégoire Nadin. Influence of mutations in phenotypically-structured populations in time periodic environment. Discrete & Continuous Dynamical Systems - B, 2020, 25 (9) : 3609-3630. doi: 10.3934/dcdsb.2020075 [10] Vassili Gelfreich, Carles Simó. High-precision computations of divergent asymptotic series and homoclinic phenomena. Discrete & Continuous Dynamical Systems - B, 2008, 10 (2&3, September) : 511-536. doi: 10.3934/dcdsb.2008.10.511 [11] Alina Chertock, Alexander Kurganov, Mária Lukáčová-Medvi${\rm{\check{d}}}$ová, Șeyma Nur Özcan. An asymptotic preserving scheme for kinetic chemotaxis models in two space dimensions. Kinetic & Related Models, 2019, 12 (1) : 195-216. doi: 10.3934/krm.2019009 [12] Wei-Jian Bo, Guo Lin, Shigui Ruan. Traveling wave solutions for time periodic reaction-diffusion systems. Discrete & Continuous Dynamical Systems - A, 2018, 38 (9) : 4329-4351. doi: 10.3934/dcds.2018189 [13] Fumihiko Nakamura. Asymptotic behavior of non-expanding piecewise linear maps in the presence of random noise. Discrete & Continuous Dynamical Systems - B, 2018, 23 (6) : 2457-2473. doi: 10.3934/dcdsb.2018055 [14] Tomáš Roubíček. An energy-conserving time-discretisation scheme for poroelastic media with phase-field fracture emitting waves and heat. Discrete & Continuous Dynamical Systems - S, 2017, 10 (4) : 867-893. doi: 10.3934/dcdss.2017044 [15] Xiaomao Deng, Xiao-Chuan Cai, Jun Zou. A parallel space-time domain decomposition method for unsteady source inversion problems. Inverse Problems & Imaging, 2015, 9 (4) : 1069-1091. doi: 10.3934/ipi.2015.9.1069 [16] Jan Prüss, Laurent Pujo-Menjouet, G.F. Webb, Rico Zacher. Analysis of a model for the dynamics of prions. Discrete & Continuous Dynamical Systems - B, 2006, 6 (1) : 225-235. doi: 10.3934/dcdsb.2006.6.225 [17] Johannes Kellendonk, Lorenzo Sadun. Conjugacies of model sets. Discrete & Continuous Dynamical Systems - A, 2017, 37 (7) : 3805-3830. doi: 10.3934/dcds.2017161 [18] Didier Bresch, Thierry Colin, Emmanuel Grenier, Benjamin Ribba, Olivier Saut. A viscoelastic model for avascular tumor growth. Conference Publications, 2009, 2009 (Special) : 101-108. doi: 10.3934/proc.2009.2009.101 [19] Ondrej Budáč, Michael Herrmann, Barbara Niethammer, Andrej Spielmann. On a model for mass aggregation with maximal size. Kinetic & Related Models, 2011, 4 (2) : 427-439. doi: 10.3934/krm.2011.4.427 [20] Ka Luen Cheung, Man Chun Leung. Asymptotic behavior of positive solutions of the equation $\Delta u + K u^{\frac{n+2}{n-2}} = 0$ in $IR^n$ and positive scalar curvature. Conference Publications, 2001, 2001 (Special) : 109-120. doi: 10.3934/proc.2001.2001.109

2019 Impact Factor: 1.366