Article ID Journal Published Year Pages File Type
1155076 Statistics & Probability Letters 2009 9 Pages PDF
Abstract

In this paper we consider the Cox correlated risk model perturbed by a diffusion (Wiener) process. We first derive an analog of the Bernstein–Kolmogorov inequality for the probabilities of large deviations of Cox random sums. Then an exponential upper-bound which deals with the estimate of ruin probability based on the above inequality is proposed. In addition, several numerical examples are given to illustrate the theorem.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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