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Volume 32, Issue 3
A Class of Ruin Probability Model with Dependent Structure

Dehui Wang, Jiaxing Gao, Zili Xu, Jinjing Xu & Xuli Zhang

DOI: 10.13447/j.1674-5647.2016.03.06

Commun. Math. Res., 32 (2016), pp. 241-248.

Published online: 2021-05

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  • Abstract

In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numerical characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson process with parameter $λ$, using martingale methods to obtain the upper bound of the ultimate ruin probability.

  • Keywords

ruin probability, dependent structure, individual risk model, Poisson process.

  • AMS Subject Headings

91B30

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{CMR-32-241, author = {Wang , DehuiGao , JiaxingXu , ZiliXu , Jinjing and Zhang , Xuli}, title = {A Class of Ruin Probability Model with Dependent Structure}, journal = {Communications in Mathematical Research }, year = {2021}, volume = {32}, number = {3}, pages = {241--248}, abstract = {

In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numerical characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson process with parameter $λ$, using martingale methods to obtain the upper bound of the ultimate ruin probability.

}, issn = {2707-8523}, doi = {https://doi.org/10.13447/j.1674-5647.2016.03.06}, url = {http://global-sci.org/intro/article_detail/cmr/18894.html} }
TY - JOUR T1 - A Class of Ruin Probability Model with Dependent Structure AU - Wang , Dehui AU - Gao , Jiaxing AU - Xu , Zili AU - Xu , Jinjing AU - Zhang , Xuli JO - Communications in Mathematical Research VL - 3 SP - 241 EP - 248 PY - 2021 DA - 2021/05 SN - 32 DO - http://doi.org/10.13447/j.1674-5647.2016.03.06 UR - https://global-sci.org/intro/article_detail/cmr/18894.html KW - ruin probability, dependent structure, individual risk model, Poisson process. AB -

In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numerical characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson process with parameter $λ$, using martingale methods to obtain the upper bound of the ultimate ruin probability.

Wang , DehuiGao , JiaxingXu , ZiliXu , Jinjing and Zhang , Xuli. (2021). A Class of Ruin Probability Model with Dependent Structure. Communications in Mathematical Research . 32 (3). 241-248. doi:10.13447/j.1674-5647.2016.03.06
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