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带有常值利息力的可变保费Cox风险模型下破产概率的渐近估计(英文) 被引量：1

Asymptotic Ruin Probability for Cox Risk Model with Variable Premium Rate and Constant Interest Force
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摘要 本文研究了一类Cox模型下的理赔为重尾分布时破产概率的渐近估计.假设保费收取费率是Cox计数过程的强度过程的函数,通过更新技巧得到了有限时间破产概率的递推方程和终极破产概率的积分方程,利用归纳递推的方法,得到了终极破产概率的渐近估计. This paper focuses on ruin probability for Cox model with variable premium rate and constant investment return when the claims have heavy tailed distribution. By considering the ＇,skeleton process＂ of Cox risk model, a recursive equation for finite time ruin probabilities are derived in terms of ＂renewal techniques＂ and asymptotic estimation for finite time ruin probabilities and ul- timate ruin probability are obtained by inductive method.
作者 徐林 吴丽媛 祝东进
机构地区 安徽师范大学数学计算机科学学院
出处 《应用概率统计》 CSCD 北大核心 2013年第5期480-488,共9页 Chinese Journal of Applied Probability and Statistics
基金 supported by National Natural Science Foundation of China(11126238,11201006) Humanities and Social Science Projects of Ministry of Education of China(2012YJC2748)
关键词 COX风险模型 重尾分布 可变保费 破产概率 Cox risk model, heavy tailed distributions, variable premium income, ruin prob-ability.
分类号 O212.3 [理学—概率论与数理统计]
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参考文献18

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  • 2Cai, J. and Dickson, D.C.M., On the expected discounted penalty function at ruin of a surplus process with interest, Insurance: Mathematics and Economics, 30(3)(2002), 389-404.
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  • 6Embrechts, P., Kliippelberg, C. and Mikosch, T., Modelling Extremal Events: For Insurance and Finance, Berlin: Springer-verlag, 1997.
  • 7Konstantinides, D., Tang Q. and Tsitsiashvili, G., Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails, Insurance: Mathematics and Economics, 31(3)(2002), 447-460.
  • 8Gerber, H.U. and Shiu, E.S.W., The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin, Insurance: Mathematics and Economics, 21(2)(1997), 129-137.
  • 9Grandell, J., Aspects of Risk Theory, Springer, New York, 1991.
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应用概率统计
2013年 第5期

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