Methodology and Computing in Applied Probability

, Volume 18, Issue 3, pp 675–689 | Cite as

Ruin Probability in a Correlated Aggregate Claims Model with Common Poisson Shocks: Application to Reinsurance

  • Xiang HuEmail author
  • Lianzeng Zhang


This paper considers a correlated aggregate claims model with common Poisson shocks, which allows for dependence in n (n ≥ 2) classes of business across m (m ≥ 1) different types of stochastic events. The dependence structure between different claim numbers is connected with the thinning procedure. Under combination of quota-share and excess of loss reinsurance arrangements, we examine the properties of the proposed risk model. An upper bound for the ruin probability determined by the adjustment coefficient is established through martingale approach. We reduce the problem of optimal reinsurance strategy for maximizing the insurer’s adjustment coefficient and illustrate the results by numerical examples.


Common poisson shocks Thinning procedure Ruin probability Adjustment coefficient Optimal reinsurance 

Mathematics Subject Classification (2010)

62P05 91B30 


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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  1. 1.School of FinanceZhongnan University of Economics and LawWuhanPeople’s Republic of China
  2. 2.School of EconomicsNankai UniversityTianjinPeople’s Republic of China

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