In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is co...In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.展开更多
In this paper, the classical risk process perturbed by diffusion is generalized by allowing for “size fluctuation” and the ruin probability for this new model is discussed.
A correlated aggregate claim model with m dependent classes of insurance business is constructed, in which claim occurrences of m classes relate to Cox process and these claim processes are correlated. This Cox risk m...A correlated aggregate claim model with m dependent classes of insurance business is constructed, in which claim occurrences of m classes relate to Cox process and these claim processes are correlated. This Cox risk model with correlated classes of business is first transformed to the Cox model of n independent risk processes. Then the generalized Lundberg exponent and Lundberg inequality are obtained by the martingale approach. Finally, the explicit expression of Lundberg exponent under a special condition is derived.展开更多
文摘In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.
文摘In this paper, the classical risk process perturbed by diffusion is generalized by allowing for “size fluctuation” and the ruin probability for this new model is discussed.
基金Supported by the National Natural Science Foundation of China (10671149)
文摘A correlated aggregate claim model with m dependent classes of insurance business is constructed, in which claim occurrences of m classes relate to Cox process and these claim processes are correlated. This Cox risk model with correlated classes of business is first transformed to the Cox model of n independent risk processes. Then the generalized Lundberg exponent and Lundberg inequality are obtained by the martingale approach. Finally, the explicit expression of Lundberg exponent under a special condition is derived.
