ARTICLE
FINITE TIME RUIN PROBABILITY IN MULTIVARIATE PERTURBED RENEWAL RISK MODEL
- Far East Journal of Mathematical Sciences (FJMS) , 133 (2) : 131-152
Lien de l'article :
http://dx.doi.org/10.17654/0972087121008
Discipline :
Statistiques et Probabilités
Auteur(s) :
Frédéric Béré, Remi Guillaume Bagré, Vini Yves Bernadin Loyara and Pierre Clovis Nitiéma
Auteur(s) tagués :
LOYARA Vini Yves Bernadin
Renseignée par : LOYARA Vini Yves Bernadin
Résumé
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.
Mots-clés
stable distribution, Brownian perturbation, by-claim, heavy tail distribution, renewal equation, copulas, classical risk model of ruin