| 重尾索赔下带干扰风险模型破产概率的等价式 |
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| 引用本文： | 唐立,龚日朝.重尾索赔下带干扰风险模型破产概率的等价式[J].经济数学,2009,26(2):9-15. |
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| 作者姓名： | 唐立 龚日朝 |
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| 作者单位： | 1. 中南大学,数学科学与计算技术学院,湖南,长沙,410075
2. 湖南科技大学,商学院,湖南,湘潭,411201 |
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| 基金项目： | 湖南省普通高校青年骨干教师基金;;湖南省科技计划重点项目(2008ZK2002);;教育部人文社科规划基金项目(07JA790084);;湖南省教育厅青年基金资助项目(06B34);;湖南省2008年社科基金资助项目《湖南省综合减灾救灾模式研究》 |
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| 摘 要： | Embrechts—Goldie-Veraverbeke公式给出了在重尾索赔Cramer-Lundberg风险模型下关于破产概率的等价式．本文将上述风险模型推广到带干扰的Cramer-Lundberg风险模型，研究了索赔分布时破产概率的等价关系式．
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| 关 键 词： | 干扰 重尾分布 破产概率 风险模型 |
EQUIVALENT FORMS OF RUIN PROBABILITY IN RISK MODELS WITH PRIES BY DIFFUSION UNDER HEAVY-TAILED CLAIMS |
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| TANG Li,GONG Ri-zhao.EQUIVALENT FORMS OF RUIN PROBABILITY IN RISK MODELS WITH PRIES BY DIFFUSION UNDER HEAVY-TAILED CLAIMS[J].Mathematics in Economics,2009,26(2):9-15. |
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| Authors: | TANG Li GONG Ri-zhao |
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| Institution: | 1.School of Mathmatical Sciences and Computing Technology;Central South University;Changsha;Hunan 410075;2.School of Business;Hunan Science and Technology University;Xiangtan;Hunan 411201 |
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| Abstract: | The equivalent forms of ruin probability under the Gramér-Lundberg risk models were presented from the formula Embrechts-Goldie-Veraverbeke. In this paper,the risk models were generalized to those perturbed by diffusion, and the equivalent forms of ruin probability under the claim distribution FGS~* were obtained. |
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| Keywords: | diffusion heavy-tailed distribution risk model ruin probability |
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