| 随机保费下扰动风险模型总索赔盈余的大偏差 |
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| 引用本文： | 董,英,华.随机保费下扰动风险模型总索赔盈余的大偏差[J].经济数学,2018(1):11-15. |
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| 作者姓名： | 董 英 华 |
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| 作者单位： | 南京信息工程大学数学与统计学院; |
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| 摘 要： | 考虑随机保费下带干扰的风险模型,其中保费额和索赔额各自形成了END的随机变量序列,保费次数是由一个拟更新过程描绘,干扰项是由一个布朗运动过程来刻画.在索赔额分布属于一致变化类的条件下,给出了总索赔盈余过程的精致大偏差.
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| 关 键 词： | 应用概率论 精致大偏差 拟更新过程 END随机变量 总索赔盈余 |
Large Deviations of the Surplus of Aggregate Claims for a Perturbed Risk Model with Random Premiums |
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| DONG Yinghua.Large Deviations of the Surplus of Aggregate Claims for a Perturbed Risk Model with Random Premiums[J].Mathematics in Economics,2018(1):11-15. |
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| Authors: | DONG Yinghua |
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| Institution: | (College of Mathematics and Statistics, Nanjing University of Information Science and Technology, Nanjing, Jiansu 210044, China) |
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| Abstract: | Consider a perturbed risk renewal model with investment income, in which premium sizes and cliam sizes form two sequences of END random variables, respectively, the premium number is described by a quasi-renewal process, and the investment income is characterized by Brownian motion. Provided that claim-size distribution belongs to the consistent variation class, the precise large deviation for the surplus process of aggregate claims was presented. |
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| Keywords: | applied probability theory precise large deviation quasi-renewal process END random variables aggregate claim surplus |
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