The ruin probabilities of a multidimensional perturbed risk model
Slijepčević-Manger, Tatjana
Mathematical Communications, Tome 18 (2013) no. 1, p. 231-239 / Harvested from Mathematical Communications
Text on Mathematical Communications
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 innite-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 nite-time ruin probability in the heavy-tailed claims case.
Publié le : 2013-05-04
Classification:  
@article{mc240,
     author = {Slijep\v cevi\'c-Manger, Tatjana},
     title = {The ruin probabilities of a multidimensional perturbed risk model},
     journal = {Mathematical Communications},
     volume = {18},
     number = {1},
     year = {2013},
     pages = { 231-239},
     language = {eng},
     url = {http://dml.mathdoc.fr/item/mc240}
}

Slijepčević-Manger, Tatjana. The ruin probabilities of a multidimensional perturbed risk model. Mathematical Communications, Tome 18 (2013) no. 1, pp.  231-239. http://gdmltest.u-ga.fr/item/mc240/