重尾索赔条件下基于进入过程的保险风险模型的破产概率

Properties of ruin probability for a risk model based on the policy entrance process under heavily-tailed claims

推广了基于保单进入过程的保险风险模型,构造了允许保单在保期内多次索赔的LIG模型,并在保单进入过程为非齐次Poisson过程,索赔额分布属于S族的条件下,得到了有限时间破产概率的渐近等价表达。

An insurance risk model based on the policy entrance process, called as LIG model, was constructed. This model allows a pohcy to claim more than once during its validity-term. Under the basic assumptions of the entrance process is a non-homogeneous Poisson, and the claim size belongs to F, the family of subexponential distributions, an asymptotical equality expression of the finite time ruin probability was obtained.