engleski

The ruin probabilities of a multidimensional perturbed risk model

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.

multidimensional risk model; martingale; Poisson process; ruin probability

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