| 在风险投资下破产概率的一个渐近显式 |
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| 引用本文： | 陈宜清,董效菊,谢湘生. 在风险投资下破产概率的一个渐近显式[J]. 应用概率统计, 2006, 22(2): 151-161. DOI: 10.3969/j.issn.1001-4268.2020.02.004 |
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| 作者姓名： | 陈宜清 董效菊 谢湘生 |
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| 作者单位： | 1. 香港大学统计与精算学系,香港
2. 广东工业大学经济管理学院,广州,510090 |
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| 摘 要： | 在本文中, 我们研究了一个离散时间风险模型的破产概率bd 在此风险模型中, 保险公司的剩余资本被用于进行风险投资bd 我们运用纯概率的手法建立了无限时间破产概率的渐近显式, 从而将Tang和Tsitsiashvili (2003)近期的一个结果推广到了无限时间的场合.
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| 关 键 词： | 渐近式 正则变化 破产概率 随机方程. |
| 收稿时间： | 2004-12-10 |
| 修稿时间： | 2005-07-01 |
Explicit Asymptotics for the Ruin Probability with Risky Investment Included* |
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| CHEN YIQING,DONG XIAOJU,XIE XIANGSHENG. Explicit Asymptotics for the Ruin Probability with Risky Investment Included*[J]. Chinese Journal of Applied Probability and Statisties, 2006, 22(2): 151-161. DOI: 10.3969/j.issn.1001-4268.2020.02.004 |
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| Authors: | CHEN YIQING DONG XIAOJU XIE XIANGSHENG |
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| Affiliation: | School of Mathematics, Lanzhou Jiaotong University, Lanzhou, 730070, China; School of Mathematics and Statistics, Hainan Normal University, Haikou, 571158, China |
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| Abstract: | In this paper, we investigate the ruin probability of a discrete-time risk model, in which the surplus of an insurance business is currently invested into a risky asset. Using a purely probabilistic treatment, we establish explicit asymptotic relations for the infinite-time ruin probabilities, hence we extend a recent result of Tang and Tsitsiashvili (2003) to the infinite-time case. |
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| Keywords: | Asymptotics regular variation ruin probability stochastic equation |
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