Ruin probabilities of a bidimensional risk model with investment

被引：26

作者：

Zhang, Yuanyuan ^{[1
]}

Wang, Wensheng ^{[2
]}

机构：

[1] E China Normal Univ, Sch Finance & Stat, Shanghai 200241, Peoples R China

[2] Hangzhou Normal Univ, Dept Math, Hangzhou 310018, Zhejiang, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 01期

关键词：

Bidimensional risk model; Survival probability; Infinite-time ruin probability; Finite-time ruin probability; Martingale; THRESHOLD DIVIDEND STRATEGY; CONSTANT INTEREST; AGGREGATE CLAIMS;

D O I：

10.1016/j.spl.2011.09.010

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a classical risk model with the possibility of investment. We study two types of ruin in the bidimensional framework. Using the martingale technique, we obtain an upper bound for the infinite-time ruin probability with respect to the ruin time T(max)(u(1), u(2)). For each type of ruin, we derive an integral-differential equation for the survival probability, and an explicit asymptotic expression for the finite-time ruin probability. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：130 / 138

页数：9

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