| 带投资的时依更新风险模型中破产概率的一致渐近估计 |
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| 引用本文： | 崔盛,江涛,明瑞星. 带投资的时依更新风险模型中破产概率的一致渐近估计[J]. 中国科学:数学, 2014, 0(11): 1185-1202 |
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| 作者姓名： | 崔盛 江涛 明瑞星 |
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| 作者单位： | 浙江工商大学金融学院;浙江工商大学统计与数学学院; |
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| 基金项目： | 国家自然科学基金(批准号:71171177);教育部人文社科基金(批准号:11YJCZH018);浙江省高校人文社会科学重点研究基地(金融学和统计学)资助项目 |
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| 摘 要： | 本文考虑索赔额过程与索赔时间过程具有相依性的更新风险模型.假定保险公司将其盈余投资到金融市场中,该投资的价格过程服从几何L′evy过程.当索赔额分布属于L∩D时,本文得到有限时间总索赔额现值尾概率的一致渐近估计,同时也得到有限时间破产概率的一致渐近估计.
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| 关 键 词： | 一致渐近 Lévy过程 风险模型 重尾 |
Uniform asymptotic estimates in a time-dependent renewal risk model with stochastic investment returns |
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| Affiliation: | CUI Sheng, JIANG Tao ＆ MING RuiXing |
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| Abstract: | In this paper we consider a time-dependent renewal risk model with stochastic investment returns. The investment of an insurer is described as a portfolio of risk-free and risky assets whose price process is a geometric Lévy process. When the claim-size distribution belongs to the intersection of the class L and the class D, we obtain an asymptotic formula for the tail probability of discounted aggregate claims, which holds uniformly for all nite time horizons. The same asymptotic formula for the nite-time ruin probability is also obtained. |
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| Keywords: | uniform asymptotics Lévy process risk model heavy tail |
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