FINITE TIME RUIN PROBABILITY IN MULTIVARIATE PERTURBED RENEWAL RISK MODEL

Frédéric Béré; Remi Guillaume Bagré; Vini Yves Bernadin LoyaraPierre Clovis Nitiéma

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FINITE TIME RUIN PROBABILITY IN MULTIVARIATE PERTURBED RENEWAL RISK MODEL

机译：多元扰动更新风险模型的有限时间破坏概率

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This paper contributes to the approach of the bivariate risk of ruin in finite time. We deal with a problem of risk of occurrence of a claim from the Cramer-Lundberg model in which there is some by-claim (more or less zero) integrating a Brownian oscillation at the level of the reserve at a given time t. We evaluate the probability of bivariate ruin in finite time by using logistical copulas and by considering the laws of claims and of by-claims, respectively, modeled by an α-stable distribution and a β-stable distribution.

机译：本文有助于在有限时间内毁灭的双变量风险的方法。我们处理了Cramer-Lundberg模型发生索赔的风险问题，在该模型中，在给定时间t的储备金水平上有一些依据（或多或少的零）将Brownian振荡整合在一起。我们通过使用后勤COPULAS和考虑分别以α稳定分布和β稳定分布来建模的索赔定律和依次的索赔定律，在有限的时间内评估双变量废物的概率。

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来源
《Far east journal of mathematical sciences》 |2021年第2期|131-152|共22页
作者
Frédéric Béré; Remi Guillaume Bagré; Vini Yves Bernadin LoyaraPierre Clovis Nitiéma;
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作者单位

Institut des Sciences de Ouagadougou Burkina Faso;

Université Norbert Zongo de Koudougou Burkina Faso;

Centre Universitaire Polytechnique de Kaya Burkina FasoUniversité Thomas Sankara Burkina Faso;

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原文格式 PDF
正文语种英语
中图分类
关键词
Renewal; Bivariate; ClaimProbability;

机译：更新;双变量;索赔权限;

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FINITE TIME RUIN PROBABILITY IN MULTIVARIATE PERTURBED RENEWAL RISK MODEL

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