复合二项过程风险模型的精细大偏差及有限时间破产概率

讨论基于客户到来的复合二项过程风险模型.在该风险模型中,假设索赔额序列是独立同分布的重尾随机变量序列,不同保单发生实际索赔的概率可以不同,则在索赔额服从ERV的条件下,得到了损失过程的精细大偏差;进一步地,得到了有限时间破产概率的Lundberg极限结果.

Finite Time Ruin Probability and Precise Large Deviations for a Customer-Based Compound Binomial Risk Model

We propose a customer-based discrete time individual risk model, in which customers' potential claims are described as i.i.d. heavy-tailed random variables, but different insurance policy holders are allowed to have different probabilities to make actuall claims. For this risk model, Lundberg type limiting results for the finite-time ruin probabilities are derived. Asymptotic behavior of the tail probabilities of the prospective-loss process is also investigated, with emphasis on the case of heavy-tailed distribution function class ERV (extended regular variation).