On the ruin probability for the Cox correlated risk model perturbed by diffusion

Zhaoyang Lu; Wei Xu; Yan Zhang; Yingling Sun

doi:10.1016/j.spl.2008.09.007

On the ruin probability for the Cox correlated risk model perturbed by diffusion

Zhaoyang Lu
, Wei Xu
, Yan Zhang
, Yingling Sun

School of Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

In this paper we consider the Cox correlated risk model perturbed by a diffusion (Wiener) process. We first derive an analog of the Bernstein-Kolmogorov inequality for the probabilities of large deviations of Cox random sums. Then an exponential upper-bound which deals with the estimate of ruin probability based on the above inequality is proposed. In addition, several numerical examples are given to illustrate the theorem.

Original language	English
Pages (from-to)	381-389
Number of pages	9
Journal	Statistics and Probability Letters
Volume	79
Issue number	3
DOIs	https://doi.org/10.1016/j.spl.2008.09.007
State	Published - 1 Feb 2009

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10.1016/j.spl.2008.09.007

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title = "On the ruin probability for the Cox correlated risk model perturbed by diffusion",

abstract = "In this paper we consider the Cox correlated risk model perturbed by a diffusion (Wiener) process. We first derive an analog of the Bernstein-Kolmogorov inequality for the probabilities of large deviations of Cox random sums. Then an exponential upper-bound which deals with the estimate of ruin probability based on the above inequality is proposed. In addition, several numerical examples are given to illustrate the theorem.",

author = "Zhaoyang Lu and Wei Xu and Yan Zhang and Yingling Sun",

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AU - Lu, Zhaoyang

AU - Xu, Wei

AU - Zhang, Yan

AU - Sun, Yingling

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Y1 - 2009/2/1

N2 - In this paper we consider the Cox correlated risk model perturbed by a diffusion (Wiener) process. We first derive an analog of the Bernstein-Kolmogorov inequality for the probabilities of large deviations of Cox random sums. Then an exponential upper-bound which deals with the estimate of ruin probability based on the above inequality is proposed. In addition, several numerical examples are given to illustrate the theorem.

AB - In this paper we consider the Cox correlated risk model perturbed by a diffusion (Wiener) process. We first derive an analog of the Bernstein-Kolmogorov inequality for the probabilities of large deviations of Cox random sums. Then an exponential upper-bound which deals with the estimate of ruin probability based on the above inequality is proposed. In addition, several numerical examples are given to illustrate the theorem.

UR - https://www.scopus.com/pages/publications/58249106989

U2 - 10.1016/j.spl.2008.09.007

DO - 10.1016/j.spl.2008.09.007

M3 - 文章

AN - SCOPUS:58249106989

SN - 0167-7152

VL - 79

SP - 381

EP - 389

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 3

ER -

On the ruin probability for the Cox correlated risk model perturbed by diffusion

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