CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2008, 24(6) 585-592 DOI:      ISSN: 1001-4268 CN: 31-1256

Current Issue | Archive | Search                                                            [Print]   [Close]
ѧ������
Information and Service
This Article
Supporting info
PDF(198KB)
[HTML]
Reference
Service and feedback
Email this article to a colleague
Add to Bookshelf
Add to Citation Manager
Cite This Article
Email Alert
Keywords
Ruin probability
Lundberg exponent
Brownian motion.
Authors
Gu Peipei
Wang Guojing
PubMed
Article by
Article by

Ruin Probability for Correlated Risk Process that is Perturbed by Diffusion

Gu Peipei, Wang Guojing

Department of Mathematics, Jinling Institute of Technology;Department of Mathematics, Suzhou University

Abstract��

In this paper, we introduce a correlated risk process that is perturbed by diffusion with common shock. We study how the dependence between the classes impacts on the ruin probability. We do this mainly by comparing the influences of the dependence on the sizes of the Lundberg exponents of the risk processes.

Keywords�� Ruin probability   Lundberg exponent   Brownian motion.  
Received 1900-01-01 Revised 1900-01-01 Online:  
DOI:
Fund:
Corresponding Authors: Wang Guojing
Email:
About author:

References��
Similar articles
1��CHEN Yiqing; DONG Xiaoju; XIE Xiangsheng.Explicit Asymptotics for the Ruin Probability with Risky Investment Included*[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2006,22(2): 151-158
2��Xing Yongsheng, Ma Jianjing.The Ruin Probability of Classical Risk Model and the Distribution of the Cycle Maximum of the M/G/1 Queue[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2008,24(6): 581-584
3��Wang Houchun.The Expected Discounted Penalty at Ruin under a Stochastic Interest Rate[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2008,24(6): 631-638
4��Zhao Yongxia,Yin Chuancun.A Generalization of the Classical Risk Model[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2009,25(4): 337-344
5��Fan Qingzhu:Yin Chuancun.The Gerber-Shiu Function for a Sparre Andersen\\Risk Model[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2009,25(5): 499-512
6��Yu Jinyou,Hu Yijun,Wei Xiao.The Asymptotic of Finite Time Ruin Probabilitiesfor Risk Model with Variable Interest Rates[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2010,26(1): 57-65
7��Xu Lin.Asymptotically Optimal Investment for Risk Model
with Random Income and Diffusions[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2011,27(2): 151-162
8��Lv Tongling,Guo Junyi,Zhang Xin.Some Results on Bivariate Compound Poisson Risk Model[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2011,27(5): 449-459
9��He Xiaoxia, Yao Chun, Hu Yijun.Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2012,28(3): 270-276
10��Yang Yang, Lin Jinguan.Estimates and Numerical Simulations for the Finite-Time Ruin Probability in the Extended Negatively Dependent General Risk Model[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2012,28(4): 439-448
11��Wang Jingjing,Zhu Dongjing,Qian Wenying.The Asymptotic Estimate of Absolute Ruin Probabilities in the Renewal Risk Model with Constant Force of Interest[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2012,28(6): 647-654
12��Xu Lin, Wu Liyuan, Zhu Dongjin.Asymptotic Ruin Probability for Cox Risk Model with Variable Premium Rate and Constant Interest Force[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2013,29(5): 480-488
13��Zhou Yun, Zhu Dongjin.Ruin Probability for a Two-Dimensional Perturbed Risk Model with Thinning Dependence and Stochastic Premiums[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2014,30(4): 398-414
14��Zhang Yuanyuan, Wang Wensheng.The Perturbed Compound Poisson Risk Model with Constant Interest[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2015,31(4): 375-383
15��Wu Chuanju, Wang Xiaoguang, He Xiaoxia, Liu Luqin.Ruin Probabilities for One Class of Bivariate Risk Model with Correlated Aggregate Claims under Sparse Processes[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2015,31(5): 503-513

Copyright by CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST