期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

有利息力情形下的有限时间破产概率 被引量：7

Finite time ruin probability with constant interest force
下载PDF
导出
摘要 考察了有利息力风险模型的有限时间破产概率问题.在索赔额分布属于L∩D族的场合下,对于有利息力的Poisson模型,得到了有限时间破产概率的一致的渐近表达式;而对于有利息力的更新模型,得到了有限时间破产概率的渐近表达式. The finite time ruin probability of the risk model with constant interest force was considered. In this model, when the claim size distribution belonged to L∩D, the uniform asymptotic estimate for the probability of ruin within finite time was obtained. The asymptotic estimate for the finite time ruin probability was also obtained when Poisson process was extended to the renewal process.
作者 陈昱 苏淳
机构地区 中国科学技术大学统计与金融系
出处 《中国科学技术大学学报》 CAS CSCD 北大核心 2006年第9期909-916,共8页 JUSTC
基金 国家自然科学基金(10371117) 中国科学技术大学高水平大学建设基金资助
关键词 有利息力的更新模型 L∩D族 有限时间破产概率 renewal model with constant interest force Class L ∩D ruin probability within finite time
分类号 O211.4 [理学—概率论与数理统计]
  • 相关文献

参考文献12

  • 1Sundt B,Teugels J L.Ruin estimates under interest force[J].Insurance:Mathematics and Economics,1995,16:7-22.
  • 2Klüppelberg C,Stadtmüller U.Ruin probabilities in the presence of heavy-tails and interest rates[J].Scand.Actuar.J.,1998,(1):49-58.
  • 3Asmussen S.Subexponential asymptotics for stochastic processes:extremal behavior,stationary distributions and first passage probabilities[J].Ann.Appl.Probab.,1998,8(2):354-374.
  • 4Asmussen S,Kalashnikov V,Konstantinides D,et al.A local limit theorem for random walk maxima with heavy tails[J].Statist.Probab.Lett.,2002,56(4):399-404.
  • 5TANG Q.The finite time ruin probability of the compound Poisson model with constant interest force[J].J.Appl.Probab.2005,42(3):608-619.
  • 6TANG Q.Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation[J].Scand.Actuar.J.,2005,1:1-5.
  • 7Embrechts P,Klüppelberg C,Mikosch T.Modelling Extremal Events for Insurance and Finance[M].Berlin:Springer,1997.
  • 8TANG Q,Tsitsashvili G.Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks[J].Stochastic Process.Appl.,2003,108(2):299-325.
  • 9SU C,TANG Q H,JIANG T.A contribution to large deviations for heavy-tailed random sums[J].Science in China Series A:Mathematics,2001,44(4):438-444.
  • 10Cline D B H,Samorodnitsky G.Subexponentiality of the product of independent random variables[J].Stochastic Process.Appl.,1994,49(1):75-98.

共引文献11

同被引文献54

  • 1江涛.Erlang风险模型有限时间的破产概率[J].中国管理科学,2006,14(1):112-116. 被引量：8
  • 2宗昭军,胡锋,元春梅.具有线性红利界限的破产理论[J].工程数学学报,2006,23(2):319-323. 被引量：18
  • 3Chen Yiqing.N G.Kai W.Tang Q.Weighted sum of subexponential random variables and their maxima [J].Adv Appl Prob. 2005.7:510-522:.
  • 4TANG Q.The finite time ruin probability of the compound Poisson model with constant interest force[J].J. Appl. Probab 2005,42(3):608-619.
  • 5TANG Q.Asympotic ruin probabilities of the renewal model with constant interest force and regular variation[J].Scand.Actuar.J. 2005,1:1-5.
  • 6Bangwon Ko,TANG Q.Sums of Dependent Nonnegative Random Variables with Subexponential tails.
  • 7Kai Sundt B,Teugels J L.Ruin estimate under interest force[J].Mathematics and Economics.,1995,16:7-22.
  • 8Kai W.NG,Tang,Q.The probabilities of absolute ruin in the renewal risk model with constant force of interest[J].Appl.Prob.,2010,47:323-334.
  • 9Tang,Q.On convolution equivalence with applications[J].Bernoulli,2006,171-188.
  • 10Tang,Q,Tsitsiashvili G.Degeneracy properties of subcritical branching processes[J].Ann.Prob.2003,171-188.

引证文献7

二级引证文献2

中国科学技术大学学报
2006年 第9期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部