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

https://hrcak.srce.hr/101459

Publication date:

10.5.2013.

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