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具有随机保费风险模型破产概率的下界及渐近表示(英文)

LOWER BOUNDS AND ASYMPTOTIC EXPRESSION FOR RUIN PROBABILITIES IN A RISK MODEL WITH RANDOM INCOME
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摘要 本文研究一类推广的风险模型,其保费收入过程不再是时间的线性函数.利用寿命分布类D-NBU我们获得了破产概率的一些下界.利用破产概率所满足的一个更新方程,我们还得到了关于破产概率的一个渐近表达式. This paper considers a generalized risk model in which the premium income process is no longer a linear function of the time. Some lower bounds for the ruin probabilities are derived in terms of D-NBU distribution. Based on the renewal equation satisfied by the ruin probability, the asymptotic expression is then proviede.
作者 包振华 胡春华
机构地区 辽宁师范大学数学学院 湖南大学金融学院
出处 《经济数学》 2008年第4期344-350,共7页 Journal of Quantitative Economics
关键词 渐近表达式 离散寿命分布类 下界 破产概车 Asymptotic expression, discrete lifetime distribution classes, lower bounds, ruin probabilities
分类号 O211.4 [理学—概率论与数理统计]
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参考文献11

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经济数学
2008年 第4期

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