随机环境下相关多险种风险过程破产时间的Asmussen算法

doi:10.16088/j.issn.1001-6600.2016.03.010

Journal of Guangxi Normal University(Natural Science Edition) ›› 2016, Vol. 34 ›› Issue (3): 68-73.doi: 10.16088/j.issn.1001-6600.2016.03.010

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Asmussen’s Approach to Ruin Time of the Dependent Multi-typeRisk Processes in a Stochastic Environment

WEN Yuzhuo¹, TANG Shengda², DENG Guohe²

1.College of Economics and Management, Guangxi Normal University, Guilin Guangxi 541004, China;
2.College of Mathematics and Statistics, Guangxi Normal University, Guilin Guangxi 541004, China

Received:2016-01-18 Online:2016-09-30 Published:2018-09-17

Abstract

Abstract: In this paper, a dependent multi-type risk process with a PH claim distribution in a stochastic environment is proposed. Using Asmussen’s method, this risk process is transformed into stochastic fluid queues (SFQ). By the theory of the SFQ, the Laplace-stieltjes transform (LST) of the ruin time, the ultimate ruin, and the distribution of the deficit are obtained. Finally, a numerical example is given to illustrate the theoretical results.

Key words: risk theory, ruin time, stochastic fluid queue, dependent multiple-type insurance

CLC Number:

O211.9

WEN Yuzhuo, TANG Shengda, DENG Guohe. Asmussen’s Approach to Ruin Time of the Dependent Multi-typeRisk Processes in a Stochastic Environment[J].Journal of Guangxi Normal University(Natural Science Edition), 2016, 34(3): 68-73.

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