Title :
Lundberg exponent in a cox risk model with multiple risk
Author :
Yang, Shengju ; Li, Wenling
Author_Institution :
Sch. of Math. & Inf. Sci., Henan Polytech. Univ., Jiaozuo, China
Abstract :
In this paper, we generalize the classical risk model and get a Cox risk model with multiple risk. Then we get exponential upper bounds for the ruin probability by using martingale theory in this new model. And we give some main results of Lundberg exponent, when claim occurs with the same cumulative intensity process. Finally, the value of Lundberg exponent is calculated through an example.
Keywords :
probability; risk management; Cox risk model; Lundberg exponent; classical risk model; cox risk model; cumulative intensity process; martingale theory; multiple risk; ruin probability; Information science; Insurance; Integral equations; Mathematical model; Probability; Upper bound; Cox process; Lundberg exponent; Lundberg inequality; martingale; ruin probability;
Conference_Titel :
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location :
Deng Leng
Print_ISBN :
978-1-4577-0535-9
DOI :
10.1109/AIMSEC.2011.6010544
