| 基于进入过程具有常利率和正则变化索赔的风险模型的渐近破产概率(英文) |
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| 引用本文： | 肖鸿民,唐加山.基于进入过程具有常利率和正则变化索赔的风险模型的渐近破产概率(英文)[J].工程数学学报,2009,26(6). |
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| 作者姓名： | 肖鸿民 唐加山 |
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| 作者单位： | 肖鸿民(西北师范大学数学与信息科学学院,兰州,730070);唐加山(南京邮电大学理学院,南京,210003) |
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| 基金项目： | SRF for ROCS,Nanjing City |
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| 摘 要： | 本文研究了一类带常利率的,并且索赔过程由进入过程驱动的风险保险模型。在进入过程是一般更新过程以及索赔额是正则尾分布的条件下,得到了当初始资本趋于无穷时,破产概率的渐近行为,类似的结论对于进入过程是齐次泊松过程的情形也同样成立。
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| 关 键 词： | 渐近性 正则变化 重尾 破产概率 更新过程 泊松过程 |
Asymptotic Ruin Probabilities of an Entrance Processes Based Risk Model with Interest Force and Regularly Varying Claims |
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| XIAO Hong-min,TANG Jia-shan.Asymptotic Ruin Probabilities of an Entrance Processes Based Risk Model with Interest Force and Regularly Varying Claims[J].Chinese Journal of Engineering Mathematics,2009,26(6). |
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| Authors: | XIAO Hong-min TANG Jia-shan |
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| Affiliation: | XIAO Hong-min1,TANG Jia-shan2(1-College of Mathematics and Information Science,Northwest Normal University,Lanzhou 730070,2-College of Science,Nanjing University of Posts and Telecommunications,Nanjing 210003) |
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| Abstract: | Investigated in this paper is an insurance risk model with a constant interest force and the claim process being driven by an entrance process.Under the conditions that the entrance process is a renewal process and the claim size is of regularly varying tailed,the asymptotic behavior for the ruin probability as the initial capital tends to infinity is obtained.A similar result also holds for the case that the entrance process is a homogeneous Poisson process. |
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| Keywords: | asymptotic regular variation heavy tailed ruin probability renewal process poisson process |
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