The ruin probabilities of a multidimensional perturbed risk model

Abstract

In this paper we consider the ruin probabilities of a multidimensional insurance risk model perturbed by Brownian motion. A Lundberg-type upper bound is derived for the innite-time ruin probability when claims are light-tailed. The proof is based on the theory of martingales. An explicit asymptotic estimate is obtained for the nite-time ruin probability in the heavy-tailed claims case.