重尾索赔下的一类相依风险模型的若干问题

SOME PROBLEMS OF A CLASS OF DEPENDENT RISK MODEL WITH HEAVY-TAILED CLAIMS

本文研究了重尾索赔下的一类相依风险模型,得到了破产概率的尾等价式及索赔盈余过程大偏差的渐近关系式.在该模型中,一索赔到达过程是Poisson过程,另一索赔到达过程为其p-稀疏过程.

In this paper, we mainly discuss some problems of a class of dependent risk model with heavy-tailed claims, and get the tail equivalence relationship of the ruin probability and the asymptotic expression of the large deviations of the claim surplus process. In this risk model, one of the arrival processes of the claims follows a Poisson process and the other follows a p-thinning process of the first arrival processes.