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A stochastic framework for ruin probabilities under time-changed Brownian motion
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DOI：10.1080/03610926.2026.2668471.png)
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Abstract
En 中文
This study investigates ruin probabilities in the insurance sector using a time-changed Brownian motion framework. By incorporating a normal inverse Gaussian (NIG) process, the model overcomes the limitations of traditional models with deterministic time evolution. The proposed approach introduces a stochastic time component governed by an inverse Gaussian process, allowing a more flexible and realistic assessment of ruin probabilities. We also extend the model by incorporating reinsurance mechanisms, offering a comprehensive view of risk allocation. The results highlight the model's robustness and practical relevance in both insurance and reinsurance contexts, contributing to the literature on advanced risk processes.
Keywords:
Stochastic processes
time-changed Brownian motion
normal inverse Gaussian (NIG) process
ruin probability
insurance risk model
Journal
C
IF:
0.8
Papers:
211
Citations:
0