Original scientific paper
The ruin probabilities of a multidimensional perturbed risk model
Tatjana Slijepčević-Manger
; Faculty of Civil Engineering, University of Zagreb, Croatia
Abstract
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 innite-time ruin probability when claims are light-tailed. The proof is based on the theory of martingales. An explicit asymptotic estimate is obtained for the nite-time ruin probability in the heavy-tailed claims case.
Keywords
multidimensional risk model; martingale; Poisson process; ruin probability
Hrčak ID:
101459
URI
Publication date:
10.5.2013.
Visits: 1.322 *