Modified ruin probability for a Cram\'er-Lundberg model driven by a compound mixed Poisson process

Noriyoshi Sakuma; Momoka Tashiro

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arXiv · 2605.07059

Modified ruin probability for a Cram\'er-Lundberg model driven by a compound mixed Poisson process

Noriyoshi Sakuma·Momoka Tashiro

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Abstract

We study modified ruin probabilities in a Cram\'er-Lundberg model driven by a compound mixed Poisson process. In the heavy-tailed regime, if the integrated claim-size distribution is subexponential and the upper endpoint of the mixing distribution stays below the net-profit boundary, the modified and classical ruin probabilities are asymptotically equivalent. In the light-tailed regime, we prove a fixed-intensity ratio theorem and obtain both an endpoint-atom result and a sharp endpoint-density asymptotic with an explicit constant.

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Noriyoshi Sakuma, Momoka Tashiro. 2026-05-08. Modified ruin probability for a Cram\'er-Lundberg model driven by a compound mixed Poisson process. https://arxiv.org/abs/2605.07059

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