The ruin probabilities of a multidimensional perturbed risk model

被引：0

作者：

Slijepcevic-Manger, Tatjana ^{[1
]}

机构：

[1] Univ Zagreb, Fac Civil Engn, HR-10000 Zagreb, Croatia

来源：

MATHEMATICAL COMMUNICATIONS | 2013年 / 18卷 / 01期

关键词：

multidimensional risk model; martingale; Poisson process; ruin probability;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we consider the ruin probabilities of a multidimensional insurance risk model perturbed by Brownian motion. A Lundberg-type upper bound is derived for the infinite-time ruin probability when claims are light-tailed. The proof is based on the theory of martingales. An explicit asymptotic estimate is obtained for the finite-time ruin probability in the heavy-tailed claims case.

引用

页码：231 / 239

页数：9