On the ruin probability for the Cox correlated risk model perturbed by diffusion

Zhaoyang Lu, Wei Xu, Yan Zhang and Yingling Sun

Statistics & Probability Letters, 2009, vol. 79, issue 3, 381-389

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.

Date: 2009
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