FINITE TIME RUIN PROBABILITY IN MULTIVARIATE PERTURBED RENEWAL RISK MODEL,
Lien de l'article:
http://dx.doi.org/10.17654/0972087121008
Auteur(s):
Frédéric Béré, Remi Guillaume Bagré, Vini Yves Bernadin Loyara and Pierre Clovis Nitiéma
Auteur(s) tagués:
Vini Yves Bernadin LOYARA ;
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