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

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  • Lu, Zhaoyang
  • Xu, Wei
  • Zhang, Yan
  • Sun, Yingling

Abstract

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.

Suggested Citation

  • Lu, Zhaoyang & Xu, Wei & Zhang, Yan & Sun, Yingling, 2009. "On the ruin probability for the Cox correlated risk model perturbed by diffusion," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 381-389, February.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:3:p:381-389
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    References listed on IDEAS

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