关于经典风险模型Pollazek-Khinchin公式证明的一个注记

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摘要指出了文[1]证明过程的错误,并给出了一个正确的证明过程。

作者龚日朝刘正文杨美琴

机构地区湖南科技大学数量经济与技术经济研究所

出处《湘潭师范学院学报（自然科学版）》 2006年第4期1-4,共4页 Journal of Xiangtan Normal University (Natural Science Edition)

基金湖南省自然科学基金项目(06JJ20019 04JJ40002) 湖南省社科基金项目(06YB63) 湖南省教育厅优秀青年基金项目(06B34)

关键词风险模型破产概率 Pollazek—Khinchin公式

参考文献7

1Rolski T, Schmidli H, Schmidt V, Teugels J. Stochastic Processes for insurance and Finance[M]. New York:Wiley,1999.
2Embrechts P, Kluppelberg C, Mikosch T. Modelling Extremal Events for Insurance and Finance[M]. Berlin: Springer- Verlag, 1997.
3Grandell J. Aspects of risk theory[M]. New York : Springer- Verlag, 1991.
4Asmussen S. Ruin Probabilites[M]. Singapore: World Scientific, 2000.
5江涛,陈宜清.平稳更新模型下生存概率的一个局部等价式[J].中国科学（A辑）,2004,34(4):385-391. 被引量：14
6Tang Q H. An asymptotic relationship for ruin probabilities under heavy- tailed daims[J]. Science in China (Series A), 2002,45 (5) : 632 - 639.
7苏淳,胡治水,唐启鹤.关于非负分布重尾程度的刻画[J].数学进展,2003,32(5):606-614. 被引量：23

1Embrechts P, Kluppelberg C, Mikosch T. Modelling Extremal Events for Insurance and Finance. Berlin:Springer-Verlag, 1997
2Ross S M. Stochastic Processes. New York: John Wiley & Sons Inc, 1983
3Grandell J. Aspects of Risk Theory. New York: Springer-Verlag, 1991
4Rolski T, Schmidli H, Schmidt V, et al. J Stochastic Processes for Insurance and Finance. Chichester:John Wiley & Sons, Ltd, 1999
5Willmot G E, Dickson D C M. The Gerber-Shiu discounted penalty function in the stationary renewal risk model. Insurance: Mathematics and Economics, 2003, 32(3): 403-41117.参见第387页脚注1
6Asmussen S. Ruin Probabilities.River Edge, NJ: Word Scientific Publishing Co, Inc, 2000
7Kluppelberg C. Subexponential distributions and integrated tails. J Appl Probab, 1988, 25(1): 132- 141
8Embrechts P, Veraverbeke N. Estimates for the probability of ruin with special emphasis on the possibility of large claims. Insurance: Mathematics and Economics, 1982, 1:55-72
9Asmussen S, Foss S, Korshunov D A. Asymptotics for sums of random variables with local subexponential behaviour. J Theor Probab, 2003, 16(2): 489-518
10Ng K W, Tang Q H. Asymptotic behavior of tail and local probabilities for sums of subexponential random variables. J Appl Probab, 2004, 41(1): 108-116

湘潭师范学院学报（自然科学版）

2006年第4期

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