| 更新风险模型和延迟更新风险模型中破产概率的若干结果 |
| |
| 引用本文： | 孔繁超,曹龙.更新风险模型和延迟更新风险模型中破产概率的若干结果[J].数学年刊A辑(中文版),2003(1). |
| |
| 作者姓名： | 孔繁超 曹龙 |
| |
| 作者单位： | 安徽大学数学系，安徽大学数学系 合肥 230039，合肥 230039 |
| |
| 摘 要： | 本文进一步研究更新风险模型和延迟更新风险模型中的破产概率ψ(χ),这里χ是保险公司的初始资本.在假定个体索赔分布是重尾的前提下,得到了与经典模型相一致的破产概率ψ(χ)的一个尾等价关系.
|
| 关 键 词： | 重尾分布 梯高 破产概率 更新风险模型 延迟更新风险模型 |
SOME RESULTS ABOUT RUIN PROBABILITY IN RENEWAL RISK MODEL AND DELAYED RENEWAL RISK MODEL |
| |
| KONG Fanchao CAO Long.SOME RESULTS ABOUT RUIN PROBABILITY IN RENEWAL RISK MODEL AND DELAYED RENEWAL RISK MODEL[J].Chinese Annals of Mathematics,2003(1). |
| |
| Authors: | KONG Fanchao CAO Long |
| |
| Institution: | KONG Fanchao CAO Long Department of Mathematics,Anhui University,Heifei 230039,China. |
| |
| Abstract: | This paper is a further investigation into the ruin probabilities ty(x) in renewal risk model and delayed renewal risk model, where x is the initial capital of an insurance company. Under the assumption that the claims size is heavy-tailed, we aim at a tail equivalence relationship of (x) and obtain the desired result, which is surprisingly the same as that in the classic risk model. |
| |
| Keywords: | Heavy-tailed distribution Ladder height Ruin probabilities Renewal risk model Delayed renewal risk model |
| 本文献已被 CNKI 等数据库收录！ |
