Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums

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• 作者：Jian-hua Cheng ; De-hui Wang
• 关键词：two ; dimensional risk model ; ruin probability ; upper bound ; dependent risk ; asymptotic estimate
• 刊名：Acta Mathematicae Applicatae Sinica, English Series
• 出版年：2016
• 出版时间：October 2016
• 年：2016
• 卷：32
• 期：4
• 页码：1053-1066
• 全文大小：273 KB
• 刊物主题：Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics;
• 出版者：Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
• ISSN：1618-3932
• 卷排序：32

文摘

In this paper, we consider a two-dimensional perturbed risk model with stochastic premiums and certain dependence between the two marginal surplus processes. We obtain the Lundberg-type upper bound for the infinite-time ruin probability by martingale approach, discuss how the dependence affects the obtained upper bound and give some numerical examples to illustrate our results. For the heavy-tailed claims case, we derive an explicit asymptotic estimation for the finite-time ruin probability.