| 相依随机保费风险模型的有限时间破产概率 |
| |
| 引用本文： | 毕秀春,张曙光.相依随机保费风险模型的有限时间破产概率[J].应用数学学报,2019(3):345-355. |
| |
| 作者姓名： | 毕秀春 张曙光 |
| |
| 作者单位： | 安徽财经大学统计与应用数学学院;中国科学技术大学统计与金融系 |
| |
| 基金项目： | 国家自然科学基金(11401556,11471304)资助项目 |
| |
| 摘 要： | 本文研究了带随机保费率的更新风险模型的有限时间破产概率问题。在强次指数索赔分布的假设下,我们得到了在有限时间t内破产概率的等价式。我们的结果对t≥f(x)一致成立,其中f(x)是一个无穷递增函数,极限过程是初始准备金x趋于无穷。
|
| 关 键 词： | 破产概率 更新风险模型 重尾分布 强次指数分布 随机保费率 |
The Finite-time Ruin Probability in a Dependent Random Premium Rates Risk Model |
| |
| BI Xluchun,ZHANG Shuguang.The Finite-time Ruin Probability in a Dependent Random Premium Rates Risk Model[J].Acta Mathematicae Applicatae Sinica,2019(3):345-355. |
| |
| Authors: | BI Xluchun ZHANG Shuguang |
| |
| Institution: | (Iinstitute of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233030, China;Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China) |
| |
| Abstract: | BI Xluchun;ZHANG Shuguang(Iinstitute of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233030, China;Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China) |
| |
| Keywords: | ruin probability renewal risk model heavy-tailed distribution strongly subexponential distribution random premium rates |
| 本文献已被 CNKI 维普 等数据库收录！ |
