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

数学与统计学院

科研成果: 期刊稿件 › 文章 › 同行评审

2 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	381-389
页数	9
期刊	Statistics and Probability Letters
卷	79
期	3
DOI	https://doi.org/10.1016/j.spl.2008.09.007
出版状态	已出版 - 1 2月 2009

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10.1016/j.spl.2008.09.007

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AU - Zhang, Yan

AU - Sun, Yingling

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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

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DO - 10.1016/j.spl.2008.09.007

M3 - 文章

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EP - 389

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

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ER -

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

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