古典风险模型中列维过程的极值分布

The Extreme Value Distribution for Levy Process of Classical Risk Model

文中利用风险分析中的破产概率与随机过程,轨道右连续的平稳独立增量过程,即带正跳的列维过程的一类极值分布间的关系,求出该极值分布的表达式。

The paper utilized the probability of bankruptcy and the random of in risk analysis, the smooth independent incremental process of right track continuous, that is the Levy processes with positive jumping are given by the relations of extreme value distribution, derived the expression of extreme value distribution.