On the ruin probabilities of a bidimensional perturbed risk model

被引：66

作者：

Li, Junhai

Liu, Zaiming

Tang, Qihe

机构：

[1] Univ Iowa, Dept Stat & Actuarial Sci, Iowa City, IA 52242 USA

[2] Cent S Univ, Inst Probabil & Stat, Changsha 410075, Hunan, Peoples R China

[3] Henan Univ Technol, Dept Math, Zhengzhou 450007, Henan, Peoples R China

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2007年 / 41卷 / 01期

基金：

中国国家自然科学基金;

关键词：

bidimensional risk model; diffusion; Farlie-Gumbel-Morgenstern distribution; martingale; Poisson process; ruin probability; subexponentiality;

D O I：

10.1016/j.insmatheco.2006.10.012

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We follow some recent works to study the ruin probabilities of a bidimensional perturbed insurance risk model. For the case of light-tailed claims, using the martingale technique we obtain for the infinite-time ruin probability a Lundberg-type upper bound, which captures certain information of dependence between the two marginal surplus processes. For the case of heavy-tailed claims, we derive for the finite-time ruin probability an explicit asymptotic estimate. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：185 / 195

页数：11

共 15 条

[1] Compound bivariate Lagrangian Poisson distributions [J].