Ruin Probabilities for a Two-Dimensional Perturbed Risk Model with Stochastic Premiums  

作　　者：Jian-hua CHENG De-hui WANG 

机构地区：[1]School of Mathematics,Jilin University

出　　处：《Acta Mathematicae Applicatae Sinica》2016年第4期1053-1066,共14页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China(No.11271155,11371168,J1310022,11501241);Natural Science Foundation of Jilin Province(20150520053JH);Science and Technology Research Program of Education Department in Jilin Province for the 12th Five-Year Plan(440020031139)

摘　　要：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.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.

关 键 词：two-dimensional risk model ruin probability upper bound dependent risk asymptotic estimate 

分 类 号：F224.9[经济管理—国民经济] O211.67[理学—概率论与数理统计]