2008•Journal of Shanxi UniversityRequires access

Ruin Probability in Two-dimensional Correlated Risk Model

Liu Ci-hua

Abstract

Two-dimensional risk model was studied in many references recently.We generalize two-dimensional risk model,considering the affection of risk correlation for ruin probability.The two-dimensional risk model is built and the three kinds of ruin probabilities is defined.The ruin probability of risk model are then studed on the assumption that is built correlated.Using some results of one-dimensional risk model,the inequality of the ruin probability for two-dimensional risk model is obtained.

About this research paper

What this paper is about

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Ruin theory, Risk model, Probability model, Mathematics, First-hitting-time model, Statistics, Econometrics