| The Finite Time Ruin Probability with the Same Heavy-tailed Insurance and Financial Risks |
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| 作者姓名： | Yi-qingChen Xiang-shengXie |
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| 作者单位： | Yi-qing Chen，Xiang-sheng Xie School of Economics and Management，Guangdong University of Technology，Guangzhou 510090，China |
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| 摘 要： | This note complements a recent study in ruin theory with risky investment by establishing the same asymptotic estimate for the finite time ruin probability under a weaker restriction on the financial risks. In particular, our result applies to a critical case that the insurance and financial risks have Pareto-type tails with the same regular index.
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| 关 键 词： | 有限时间损失概率 渐近性 重尾轨迹 离散时间统计风险模型 |
| 收稿时间： | 8 October 2004 |
The Finite Time Ruin Probability with the Same Heavy-tailed Insurance and Financial Risks |
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| Yi-qingChen Xiang-shengXie.The Finite Time Ruin Probability with the Same Heavy-tailed Insurance and Financial Risks[J].Acta Mathematicae Applicatae Sinica,2005,21(1):153-156. |
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| Authors: | Yi-qing Chen Xiang-sheng Xie |
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| Institution: | (1) School of Economics and Management, Guangdong University of Technology, Guangzhou 510090, China |
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| Abstract: | This note complements a recent study in ruin theory with risky investment by establishing the same asymptotic estimate for the finite time ruin probability under a weaker restriction on the financial risks. In particular, our result applies to a critical case that the insurance and financial risks have Pareto-type tails with the same regular index. |
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| Keywords: | asymptotics heavy tails finite time ruin probability |
| 本文献已被 CNKI 维普 SpringerLink 等数据库收录！ |
