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 :
Mathématiques
Auteur(s) :
Frédéric Béré, Remi Guillaume Bagré, Vini Yves Bernadin Loyara and Pierre Clovis Nitiéma
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.
We evaluate the probability of bivariate ruin in finite time by using logistical copulas and by considering the laws of claims and of by-claims, respectively, modeled by an α-stable distribution and a β-stable distribution.
Mots-clés
stable distribution, Brownian perturbation, by-claim, heavy tail distribution, renewal equation