Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks : open access journal 4 (2016) 2, pp. 1-23
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims … asymptotic results of ruin probabilities for different regimes of claim distributions. For numerical results, we recognise an … embedded Markov additive process, and via an appropriate change of measure, ruin probabilities could be computed to a closed …