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《Acta Mathematicae Applicatae Sinica》 2016年04期
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Ruin Probabilities for a Two-Dimensional Perturbed Risk Model with Stochastic Premiums

Jian-hua CHENG  De-hui WANG  
【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.
【作者单位】School
【关键词】two-dimensional risk model ruin probability upper bound dependent risk asymptotic estimate
【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)
【分类号】:F224.9;O211.67
【正文快照】:
1 IntroductionDuring the past few years,multi-dimensional risk model have gained a lot of attention dueto the mathematical complexity and the practical importance,and there are many literaturesconcerning this topic,especially the two-dimensional risk mod

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