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2004•Chinese Journal of Applied Probability and StatistiesRequires access

Ruin Probability for the Risk Process with Correlated Negative Risk Sums

Ang G

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Abstract

In this paper, we consider the risk process with correlated negative risk sums. We study how the dependence between the classes impacts on the ruin probability. We compare the results with the risk model with independent classes. We give the numerical illustration for the ruin probability when the claims distributions are two exponential distributions or an exponential and a Γ(2,β) distribution.

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What this paper is about

In this paper, we consider the risk process with correlated negative risk sums. We study how the dependence between the classes impacts on the ruin probability. We compare the results with the risk model with independent classes. We give the numerical illustration for the ruin probability when the claims distributions are two exponential distributions or an exponential and a Γ(2,β) distribution.

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Available abstract

In this paper, we consider the risk process with correlated negative risk sums. We study how the dependence between the classes impacts on the ruin probability. We compare the results with the risk model with independent classes. We give the numerical illustration for the ruin probability when the claims distributions are two exponential distributions or an exponential and a Γ(2,β) distribution.

Key concepts: Mathematics, Risk process, Ruin theory, Risk model, Exponential function, Exponential distribution, Statistics, Probability distribution

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