| 一类索赔额服从指数幂尾型分布的风险模型及其破产概率的渐近性质 |
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| 引用本文： | 毛泽春,刘锦萼.一类索赔额服从指数幂尾型分布的风险模型及其破产概率的渐近性质[J].应用数学学报,2006,29(1):154-165. |
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| 作者姓名： | 毛泽春 刘锦萼 |
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| 作者单位： | 1. 湖北大学商学院,武汉,430062;山东经济学院概率统计与保险精算研究所,济南,250014
2. 山东经济学院概率统计与保险精算研究所,济南,250014 |
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| 基金项目： | 国家自然科学基金(10471076号)，山东省自然科学基金(Y2004A05，Y2004A07号)，山东省社科规划研究项目(批号04BJJ31) |
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| 摘 要： | 本文研究了一类风险模型,其个体索赔额服从指数-幂尾型分布,索赔次数过程为一更新过程,其更新时间间隔服从指数族分布；给出了这类模型在有限时间内破产概率的渐近性质；并讨论了在破产发生后的特征．
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| 关 键 词： | 指数-幂尾型分布 指数族分布 风险模型 破产概率 |
| 收稿时间： | 2004-02-22 |
| 修稿时间： | 2004-02-222005-04-21 |
The Asymtotical Property of Ruin Probability under the Risk Model with Exponential-Power Tail Distribution |
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| MAO ZECHUN,LIU JINE.The Asymtotical Property of Ruin Probability under the Risk Model with Exponential-Power Tail Distribution[J].Acta Mathematicae Applicatae Sinica,2006,29(1):154-165. |
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| Authors: | MAO ZECHUN LIU JINE |
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| Institution: | 1,School of Business, Hubei University, Wuhan 430062;Institute of Statistics and Actuary, Shandong Economics University, Jinan 250014;2,Institute of Statistics and Actuary, Shandong Economics University, Jinan 250014 |
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| Abstract: | The risk model has been studied in which the individual claim size obeys exponential-power tail distribution and the numbers of claim is a renewal process with an interval time distributed in ED~* class. The asymtotical property of ruin probability has been given and, ruin symptom and precaution are discussed. |
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| Keywords: | exponential-power tail distribution ED~* class risk model ruin probability |
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