| 正则变化场合常数利息力度的破产概率 |
| |
| 引用本文： | 江涛.正则变化场合常数利息力度的破产概率[J].数学的实践与认识,2008,38(8):46-50. |
| |
| 作者姓名： | 江涛 |
| |
| 作者单位： | 浙江工商大学金融学院,浙江杭州,310018 |
| |
| 摘 要： | 研究了常数利息力度下的破产概率.在索赔来到过程为更新过程,索赔额分布为Pareto型的场合下,得到了有限索赔次数破产概率的渐进表达公式.该结果推广了Kluppelberg和Stadtmuller(1998)和Qihe Tang(2005)的结果.
|
| 关 键 词： | 破产概率 常数利息力度 正则变化 |
| 修稿时间： | 2006年4月11日 |
Ruin Probability with Constant Interest Force and Regular Variation |
| |
| JIANG Tao.Ruin Probability with Constant Interest Force and Regular Variation[J].Mathematics in Practice and Theory,2008,38(8):46-50. |
| |
| Authors: | JIANG Tao |
| |
| Abstract: | This paper considered the ruin probability with constant interest force.Under the assumptions that the inter-arrival process is renewal risk model and the claimsize is of Pareto-type,we obtained a asymptotic formula that ruin happens within finite claims and within a fixed horizon T.The results generalize corresponding results of Kluppelberg & Stadtmuller(1998)and Qihe Tang(2005). |
| |
| Keywords: | ruin probability constant interest force regular variation |
| 本文献已被 万方数据 等数据库收录！ |
|
