随机权和最大值的一致估计及其在保险风险理论中的应用

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摘要对任意相依非负随机权,获得了独立重尾随机变量加权和最大值的一致估计,应用这些结果研究了离散时间风险模型中具有相依随机回报的破产概率问题.

作者王定成苏淳曾勇

机构地区电子科技大学管理学院和应用数学学院中国科学技术大学统计和金融系

出处《中国科学（A辑）》 CSCD 北大核心 2005年第9期1044-1059,共16页 Science in China(Series A)

基金国家自然科学基金(批准号:70272001 10371117) 中国博士后科学基金(批准号:2005037809) 电子科技大学青年基金(批准号:JX03038)

关键词相依随机回报折扣因子重尾离散时间风险模型随机权和的最大值破产概率尾概率一致渐近估计随机变量一致估计

参考文献15

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中国科学（A辑）

2005年第9期

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