| Ruin Probabilities in Cox Risk Models with Two Dependent Classes of Business |
| |
| 引用本文： | Jun Yi GUO Kam C. YUEN Ming ZHOU. Ruin Probabilities in Cox Risk Models with Two Dependent Classes of Business[J]. 数学学报(英文版), 2007, 23(7): 1281-1288. DOI: 10.1007/s10114-005-0819-7 |
| |
| 作者姓名： | Jun Yi GUO Kam C. YUEN Ming ZHOU |
| |
| 作者单位： | [1]School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, P. R. China [2]Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong |
| |
| 基金项目： | Supported by National Natural Science Foundations of China （10271062, 10571092） and a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China （Project No. HKU 7475/05H） |
| |
| 摘 要： |
|
| 关 键 词： | 马尔可夫过程 破产概率 无穷小生成元 风险模型 |
| 修稿时间： | 2005-01-052005-09-14 |
Ruin Probabilities in Cox Risk Models with TwoDependent Classes of Business |
| |
| Jun Yi Guo,Kam C. Yuen,Ming Zhou. Ruin Probabilities in Cox Risk Models with TwoDependent Classes of Business[J]. Acta Mathematica Sinica(English Series), 2007, 23(7): 1281-1288. DOI: 10.1007/s10114-005-0819-7 |
| |
| Authors: | Jun Yi Guo Kam C. Yuen Ming Zhou |
| |
| Affiliation: | (1) School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, P. R. China;(2) Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong;(3) School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, P. R. China |
| |
| Abstract: | In this paper we consider risk processes with two classes of business in which the two claim-number processes are dependent Cox processes. We first assume that the two claim-number processes have a two-dimensional Markovian intensity. Under this assumption, we not only study the sum of the two individual risk processes but also investigate the two-dimensional risk process formed by considering the two individual processes separately. For each of the two risk processes we derive an expression for the ruin probability, and then construct an upper bound for the ruin probability. We next assume that the intensity of the two claim-number processes follows a Markov chain. In this case, we examine the ruin probability of the sum of the two individual risk processes. Specifically, a differential system for the ruin probability is derived and numerical results are obtained for exponential claim sizes. |
| |
| Keywords: | Cox risk model ruin probability Markov process infinitesimal generator |
| 本文献已被 维普 SpringerLink 等数据库收录！ |
