Pregled bibliografske jedinice broj: 631323
The ruin probabilities of a multidimensional perturbed risk model
The ruin probabilities of a multidimensional perturbed risk model // Mathematical communications, 18 (2013), 231-239 (međunarodna recenzija, članak, znanstveni)
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Naslov
The ruin probabilities of a multidimensional perturbed risk model
Autori
Slijepčević-Manger, Tatjana
Izvornik
Mathematical communications (1331-0623) 18
(2013);
231-239
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
multidimensional risk model; martingale; Poisson process; ruin probability
Sažetak
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 infinite-time ruin probability when claims are light-tailed. The proof is based on the theory of martingales. An explicit asymtotic estimate is obtained for the finite-time ruin probability in the heavy-tailed claims case.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
Citiraj ovu publikaciju:
Časopis indeksira:
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
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