Journal of Inequalities and Applications

Table 1 Comparison of Lundberg exponent: exponential case. \((\theta _{1}, \theta_{1}^{R})=(\theta_{2}, \theta_{2}^{R})= (0.2, 0.4)\), values of Lundberg exponent and upper bound of ruin probability with different dependence parameters for Hu’s model and our model

From: Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance

\((\alpha_{11},\alpha_{12})\)	(0,1)	(0.2,0,8)	(0.4,0.6)	(0.6,0.4)	(0.8,0.2)	(1,0)
\((\alpha_{21},\alpha_{22})\)	(1,0)	(0.8,0.2)	(0.6,0.4)	(0.4,0.6)	(0.2,0.8)	(0,1)
\((\lambda_{1},\lambda_{2})\)	(4,2)	(3.6,2.4)	(3.2,2.8)	(2.8,3.2)	(2.4,3.6)	(2,4)
ρ	0	0.111111	0.160714	0.160714	0.111111	0
\(M^{*}_{1}\)	1.48575	1.595619	1.602443	1.542483	1.47389	1.48575
\(M^{*}_{2}\)	1.48575	1.47389	1.542483	1.602443	1.595619	1.48575
\(R_{H}^{*} \)	0.226466	0.184908	0.169814	0.169814	0.184908	0.226466
\(e^{-10R_{H}^{*}}\)	0.1038	0.1573	0.1830	0.1830	0.1573	0.1038
\(R^{*} \)	0.231466	0.194724	0.193215	0.173001	0.194032	0.231298
\(e^{-10R^{*}}\)	0.0988	0.1427	0.1769	0.1773	0.1437	0.0099

Back to article page