Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums
Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums
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DOI：
10.1007/s10255-016-0626-1
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发表时间：
2016-10
期刊：
影响因子：
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通讯作者：
Jianhua Cheng;Dehui Wang
中科院分区：
文献类型：
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作者：
Jianhua Cheng;Dehui Wang
本文考虑了一类具有随机保费且两个边际盈余过程之间存在某种依赖关系的二维扰动风险模型。利用鞅方法得到了无限时间破产概率的Lundberg型上界，讨论了相依性对所得到的上界的影响，并给出了数值例子来说明我们的结果.对于重尾索赔情形，我们得到了有限时间破产概率的一个显式渐近估计。
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.