| 复合更新风险模型下的破产概率 |
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| 引用本文： | 孔繁超,曹龙,王金亮.复合更新风险模型下的破产概率[J].大学数学,2005,21(3):6-12. |
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| 作者姓名： | 孔繁超 曹龙 王金亮 |
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| 作者单位： | 安徽大学,数学系,合肥,230039 |
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| 摘 要： | 讨论了具有较一般意义的复合更新风险模型下的破产概率,在假定索赔分布属于重尾分布族的前提下,得到了我们所渴望的破产概率的尾等价形式.这一结果恰与经典的Cram啨r-Lundberg模型下的结论相一致.
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| 关 键 词： | 重尾分布 破产概率 更新过程 复合更新风险模型 |
| 文章编号： | 1672-1454(2005)03-0006-06 |
| 修稿时间： | 2004年6月8日 |
Ruin Probabilities for Large Claims in Compound Renewal Risk Model |
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| KONG Fan-chao,Cao Long,WANG Jin-liang.Ruin Probabilities for Large Claims in Compound Renewal Risk Model[J].College Mathematics,2005,21(3):6-12. |
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| Authors: | KONG Fan-chao Cao Long WANG Jin-liang |
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| Abstract: | This paper discusses ruin probability in compound renewal risk model. On the assumption that the claims size belongs to the heavy-tailed class, we get a desired tail-equivalence relationship of ruin probability, which is surprisingly in accordance with that proved in classical Cramér-Lundberg model. |
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| Keywords: | heavy-tailed distribution ruin probability renewal process compound renewal risk model |
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