一类相依索赔离散风险模型的有限时间破产概率估计
发布时间：2018-07-28 15:51
【摘要】：本文研究一类具有相依索赔及重尾索赔噪声项的离散风险模型有限时间破产概率.在该模型中,索赔额服从具有独立同分布噪声项的单边线性过程;由保险公司的风险投资和无风险投资导致的随机折现因子与单边线性过程的噪声项相独立;保险公司的保费率是恒定的常数.当单边线性过程的噪声项服从重尾分布时,本文得到该离散风险模型有限时间破产概率的渐近估计.
[Abstract]:In this paper, we study the finite time ruin probability of a class of discrete risk models with dependent claims and heavy-tailed claims. In this model, the claim amount is independent of the unilateral linear process with independent uniformly distributed noise terms, and the random discounted factor caused by the venture capital and the risk-free investment of the insurance company is independent of the noise term of the unilateral linear process. The premium rate of the insurance company is a constant. In this paper, the asymptotic estimate of the finite time ruin probability of the discrete risk model is obtained when the noise term of the unilateral linear process is distributed from the heavy tail.
【作者单位】： 江苏科技大学经济管理学院;电子科技大学数学科学学院;
【基金】：国家自然科学基金(71501025) 四川省科技厅应用基础计划项目(2016JY0257)
【分类号】：F842.4;O211.67
[Abstract]:In this paper, we study the finite time ruin probability of a class of discrete risk models with dependent claims and heavy-tailed claims. In this model, the claim amount is independent of the unilateral linear process with independent uniformly distributed noise terms, and the random discounted factor caused by the venture capital and the risk-free investment of the insurance company is independent of the noise term of the unilateral linear process. The premium rate of the insurance company is a constant. In this paper, the asymptotic estimate of the finite time ruin probability of the discrete risk model is obtained when the noise term of the unilateral linear process is distributed from the heavy tail.
【作者单位】： 江苏科技大学经济管理学院;电子科技大学数学科学学院;
【基金】：国家自然科学基金(71501025) 四川省科技厅应用基础计划项目(2016JY0257)
【分类号】：F842.4;O211.67
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