Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155076 | Statistics & Probability Letters | 2009 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zhaoyang Lu, Wei Xu, Yan Zhang, Yingling Sun,