Fractional Brownian Motion Ruin Model with Random Inspection Time

Abstract

In this contribution we study the asymptotics of \begin{eqnarray*} P(\exists t\ge 0 : B_H(L(t))-cL(t)>u), \quad u \to \infty, \end{eqnarray*} where $B_H,H\in (0,1)$ is a fractional Brownian motion, $L(t)$ is a non-negative pure jumps Lévy process independent of $B_H$, $c>0$.