时间相依更新风险模型中无限时绝对破产概率的渐近性

本文考虑了两类时间相依且带常利率和常值保费收入率的更新风险模型的无限时绝对破产概率, 其中索赔额及其到达时间间隔构成独立同分布的随机对列, 以及每个随机对遵循某种相依结构. 基于此, 当索赔额分布属于R_-∞∩J(γ), γ > 0 分布族时, 我们分别得到了两类时间相依结构下的无限时绝对破产概率的渐近公式和渐近上界.

Asymptotics for the infinite-time absolute ruin probabilities in time-dependent renewal risk models

In this paper, we consider the in nite-time absolute ruin probabilities in two types of time-dependent renewal risk models with a constant premium rate and a constant interest rate. In the two models, we both as- sume that the claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs and that each pair obeys some dependence structure. We derive an asymptotic formula and an upper bound for the in nite-time absolute ruin probabilities in the two dependent cases, respec- tively, with the claim-size distribution belonging to the intersection of the class J(γ), γ > 0, and the class R_-∞.