Ruin probabilities for a risk model with two classes of claims (Q606333): Difference between revisions
From MaRDI portal
Removed claim: reviewed by (P1447): Item:Q362054 |
Changed an Item |
||
Property / reviewed by | |||
Property / reviewed by: Kristina P. Sendova / rank | |||
Normal rank |
Revision as of 22:52, 13 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Ruin probabilities for a risk model with two classes of claims |
scientific article |
Statements
Ruin probabilities for a risk model with two classes of claims (English)
0 references
17 November 2010
0 references
The paper discusses a ruin model with two types of insurance claims. The first aggregate-claim process is an ordinary renewal process and the second aggregate-claim process is a homogeneous compound Poisson process. All interclaim times and claim sizes are independent of each other. The main result in the article is an upper bound of the ultimate ruin probability \(\psi(u)\) for a company that is operating with an initial surplus of \(u\geq0.\) This upper bound may be interpreted as the analogue of the classical result \[ \psi(u)\leq e^{-Ru},\quad u\geq0, \] provided by equation (71) in Cramér (1955), where \(R>0\) is the associated adjustment coefficient. The authors attempt to provide sufficient mathematical detail. Although the paper is well structured, it lacks somewhat motivation of the choice of a model and interpretation of the results.
0 references
Markov vector process
0 references
piecewise-deterministic Markov process (PDMP)
0 references
infinitesimal generator
0 references
exponential martingale
0 references
ruin probability
0 references