摘要
本文研究经典风险模型中破产概率的渐近行为.利用几何和的方法,获得了索赔额的分布属于S(γ) ,γ>0,时破产概率的一个局部渐近式.同时,给出了一个具体的数值的例子.
In this paper, we investigate the asymptotic behavior for the ruin probability in the classical risk model. A local asymptotic formula for the ruin probability in the classical risk model with the distribution of the claim amount F which belongs to the class S （γ）, γ〉 0, is obtained by using the geometric sum method. In addition, a numerical example is given.
出处
《数学杂志》
CSCD
北大核心
2007年第3期249-254,共6页
Journal of Mathematics
基金
Supported in part by the National Science Foundation of China (70273029)
theMinistry of Education of China (NCET) .
关键词
经典风险模型
阶梯高分布
几何和
破产概率
Classical risk model
ladder height distribution
geometric sum
ruin probability
