| 常息力更新场合有限时间破产概率对负相依索赔额的不敏感性 |
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| 引用本文： | 江涛.常息力更新场合有限时间破产概率对负相依索赔额的不敏感性[J].高校应用数学学报(A辑),2009,24(4). |
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| 作者姓名： | 江涛 |
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| 作者单位： | 浙江工商大学金融学院,浙江杭州,310012 |
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| 基金项目： | 国家自然科学基金，教育部人文社科基金，浙江省人文社科重点研究基地基金(浙教高教 |
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| 摘 要： | 设索赔来到过程为具有常数利息力度的更新风险模型.在索赔额分布为负相依的次指数分布假定下,建立了有限时间破产概率的一个渐近等价公式.所得结果显示,在独立同分布索赔额情形,有限时间破产概率的有关渐近等价公式,在负相依场合依然成立.这表明有限时间破产概率对于索赔额的负相依结构是不敏感的.
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| 关 键 词： | 有限时间破产概率 渐近等价式 负相依随机变量 次指数分布 更新模型 |
Insensitivity to negative dependence of the finite time ruin probability for renewal model with constant interest force |
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| JIANG Tao.Insensitivity to negative dependence of the finite time ruin probability for renewal model with constant interest force[J].Applied Mathematics A Journal of Chinese Universities,2009,24(4). |
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| Authors: | JIANG Tao |
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| Abstract: | Let the claim-arrival process follow renewal risk model with constant interest force. Under the assumption that the claimsizes are subexponentially distributed and negatively dependent, a simple asymptotic formula on finite-time ruin probability is obtained. The result obtained shows that the asymptotic formula of finite-time ruin probability which holds in the case that the claimsize is independent, identically distributed (i.i.d.) is still right when the claimsize is negatively dependent. This illustrates that the asymptotic formula of finite time ruin probability is insensitive to the negatively dependent structure. |
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| Keywords: | finite time ruin probability asymptotic equivalent formula negatively dependent random variable subexponential distribution renewal model |
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