engleski

The Ruin Probabilities of a Multidimensional Perturbed Risk Model

Multidimensional models with common arrival process describe situations where each claim event usually produces more than one type of claim. One common example is natural catastrophe insurance where an accident could cause claims for different types of bodily injuries and property damages. We consider a multidimensional insurance risk model perturbed by Brownian motion. An upper bound is derived for the ruin probability of this model.

multidimensional risk model; martingale; Poisson process; ruin probability

nije evidentirano