ИСТИНА

We propose the new variant of the collective risk model which is the development of the model from Ivanova and Khokhlov (2007). We consider the problem of ruin probability estimation in such model for the case of large initial capital. To solve this problem we use the methods from Konstantinides and Li (2017) but consider some different model. Also we consider three different approaches for the definition of the notion of ruin probability in multivariate case.