Event
01_1
| 제출번호(No.) | 0102 |
|---|---|
| 분류(Section) | Contributed Talk |
| 분과(Session) | Probability and Statistics (PS) |
| 영문제목 (Title(Eng.)) |
Ruin probabilities of multivariate risk models with common shock dependence and regime switching |
| 저자(Author(s)) |
Jerim Kim1, Hyung-Tae Ha2 University of Seoul 1, Gachon University2 |
| 초록본문(Abstract) | We extend that the continuous-time risk model with the thinning dependence structure for the common Poisson stream of accidents addresses the time-varying behavior of accidents occurrences by exploiting a flexible Poisson process of the Markov-modulated Poisson process (MMPP). We derive the ultimate and finite time ruin probability of the correlated risk model under stochastic environments in this paper. We investigate strategic allocations for the initial surplus of the individual risk process. |
| 분류기호 (MSC number(s)) |
60J28 |
| 키워드(Keyword(s)) | risk model, surplus process, ruin probability, first passage time |
| 강연 형태 (Language of Session (Talk)) |
Korean |