负相协更新门限超出概率与红利干扰模型中破产概率的渐近估计 |
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引用本文: | 杨洋,王岳宝.负相协更新门限超出概率与红利干扰模型中破产概率的渐近估计[J].数学物理学报(A辑),2009,29(3):669-676. |
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作者姓名: | 杨洋 王岳宝 |
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作者单位: | (1. 南京审计学院数学与统计学院 |南京 210029|2. 苏州大学数学科学学院 苏州 215006) |
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基金项目: | 国家自然科学基金(10671139)和江苏省高校自然科学指导性项目(06KJD110092)资助 |
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摘 要: | 该文中, 作者得到了负相协更新门限超出概率的渐近估计, 其推广了 Robert(2005)12] 中的相应结果. 进而通过新的方法, 得到了红利干扰模型中破产概率的渐近估计的严格证明.
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关 键 词: | 负相协 极大值 停时 重尾分布 红利干扰模型 破产概率 |
收稿时间: | 2007-03-08 |
修稿时间: | 2008-07-30 |
Asymptotic Estimate for the Probability of an Exceedance over Negatively Associated Renewal Thresholds and the Ruin Probability in Dividend Barrier Models |
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Institution: | (1. School of Mathematics and Statistics, Nanjing Audit University, Nanjing 210029|2. Department of Mathematics, Soochow University, Suzhou 215006) |
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Abstract: | In this paper, we obtain an asymptotic estimate for the probability of an exceedance over negatively associated renewal thresholds, which extends the corresponding result of Robert (2005)12]. Furthermore, using a new method, we also derive a more rigorous proof of the
asymptotics for the ruin probability in dividend barrier models. |
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Keywords: | Negatively Associatedzz Maximumzz Stopping timezz Heavy-tailed distributionzz Dividend barrier modelzz Ruin probabilityzz |
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