2011•Ludong University JournalRequires access

The Ultimate Ruin Probability of Perturbed Dependent Risk Model with Random Premium Income

Zhao Ming-qing

Abstract

In the case of continuous time,a risk model with the number of dependent claims and random noise and whose the number of premium collection is a Poisson process are established,and the ultimate ruin probability and the Lundberg inequality are got using the martingale method.Furthermore the effect of dependency on ruin probability is discussed,and values are calculated through the examples.

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Key concepts: Martingale (probability theory), Ruin theory, Mathematics, Poisson distribution, First-hitting-time model, Risk model, Cox process, Poisson process