Ruin probabilities for a risk model with two classes of claims

DOI10.1007/S10114-010-8091-XzbMath1201.91093OpenAlexW2040087091MaRDI QIDQ606333

Xin Zhang, Tong Ling Lv, Jun-Yi Guo

Publication date: 17 November 2010

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-010-8091-x

zbMATH Keywords

ruin probabilityinfinitesimal generatorexponential martingaleMarkov vector processpiecewise-deterministic Markov process (PDMP)

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Related Items (1)

Lévy Processes, Phase-Type Distributions, and Martingales

Cites Work

• Aspects of risk theory
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• Some results on ruin probabilities in a two-dimensional risk model.
• Multirisks model and finite-time ruin probabilities
• The discrete-time risk model with correlated classes of business
• Multivariate risk model of phase type
• On the expected discounted penalty functions for two classes of risk processes
• Finite-time Lundberg inequalities in the Cox case
• Supermodular Order and Lundberg Exponents

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