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2007•Journal of MathematicsRequires access

RUIN PROBABILITY FOR THE RISK PROCESS WITH CORRELATED RISK SUMS

Cheg Xiao-kun

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Abstract

In this paper,we consider the correlated aggregate risk processes with positive and negative risk sums and two classes of claims.We prove that the ruin probability increases when the correlation factor becomes larger by applying the property that Lundberg exponent is an decreasing function of correlation factor.Therefore,the corresponding results so far are generalized to the correlated aggregate risk processes with two classes of claims.

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What this paper is about

In this paper,we consider the correlated aggregate risk processes with positive and negative risk sums and two classes of claims.We prove that the ruin probability increases when the correlation factor becomes larger by applying the property that Lundberg exponent is an decreasing function of correlation factor.Therefore,the corresponding results so far are generalized to the correlated aggregate risk processes with two classes of claims.

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Available abstract

In this paper,we consider the correlated aggregate risk processes with positive and negative risk sums and two classes of claims.We prove that the ruin probability increases when the correlation factor becomes larger by applying the property that Lundberg exponent is an decreasing function of correlation factor.Therefore,the corresponding results so far are generalized to the correlated aggregate risk processes with two classes of claims.

Key concepts: Mathematics, Risk process, Risk model, Exponent, Aggregate (composite), Property (philosophy), Correlation, Econometrics

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