| 一类带投资和副索赔的二维时依风险模型破产概率的渐近估计 |
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| 引用本文： | 李会杰,倪佳林,傅可昂.一类带投资和副索赔的二维时依风险模型破产概率的渐近估计[J].高校应用数学学报(A辑),2017,32(3). |
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| 作者姓名： | 李会杰 倪佳林 傅可昂 |
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| 作者单位： | 浙江工商大学统计与数学学院,浙江杭州,310018 |
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| 基金项目： | 浙江省自然科学基金，教育部人文社会科学研究青年基金，浙江省一流学科A类，国家自然科学基金 |
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| 摘 要： | 考虑一类二维风险模型,其中两个保险公司共同承担所有的索赔,且每个(主)索赔都会引起一个副索赔.假定两个保险公司均将其资产投资到金融市场中,其投资回报服从几何Levy过程.在索赔分布属于C族以及索赔额与索赔到达时间间隔具有某种相依结构的条件下,对该二维风险模型盈余过程的有限时破产概率进行渐近估计.
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| 关 键 词： | 二维风险模型 投资回报 副索赔 一致变尾 破产概率 |
Asymptotic estimates for the bidimensional time-dependent risk model with investments and by-claims |
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| LI Hui-jie,NI Jia-lin,FU Ke-ang.Asymptotic estimates for the bidimensional time-dependent risk model with investments and by-claims[J].Applied Mathematics A Journal of Chinese Universities,2017,32(3). |
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| Authors: | LI Hui-jie NI Jia-lin FU Ke-ang |
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| Abstract: | Consider a bidimensional risk model,in which two insurance companies divide between them the claims in some specified proportions,and every main claim induces a delayed by-claim.Suppose that the surpluses of the two companies are invested into portfolios whose returns follow a geometric Lévy process.When the claim-size distribution is consistently-varying tailed,and the inter-arrival time and claim-size follow some dependence structure,asymptotic estimates for the ruin probabilities of this bidimensional risk model are derived. |
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| Keywords: | Bidimensional risk model investment return by-claim consistent variation ruin probability |
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