带负相依重尾潜在索赔额的风险模型的有限时间破产概率

Finite-time ruin probability for a risk model with negatively dependence heavily-tailed potential claims

讨论了基于客户来到的更新风险模型,其中每张保单发生实际索赔的概率不同。在潜在索赔额序列为负相依同分布的重尾随机变量属于L∩D族的假设下,得到了有限时间破产概率的渐近表达式。

A customer-arrival-based renewal model is proposed,in which different insurance policy holders are allowed to have different probabilities to make actual claims.When the customers＇ potential claims are described as negatively dependent random variables with common distribution,in the case of the claim size belongs to class L∩D,an asymptotical expression of the finite-time ruin probability is derived.