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风险投资和大额索赔下有限时间破产概率

Finite Time Ruin Probability with Risky Investment and Large Claims
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摘要 考察了带风险投资的更新风险模型的有限时间破产概率。在索赔额分布属于L∩D族的场合下,该模型分析了大额个体索赔情形下保险公司破产概率的渐近行为,并得到了有限时间破产概率的渐近表达式。 The finite time ruin probability of renewal risk model with risky investment and large claims were considered.In this model,when the claim size distribution belonged to L∩D,the asymptotic behavior of insurance company＇s ruin probability under large individual claims is analyzed and obtained the asymptotic formula of finite time ruin probability.
作者 吴贤君
机构地区 暨南大学统计学系
出处 《科学技术与工程》 北大核心 2012年第12期2907-2911,共5页 Science Technology and Engineering
关键词 更新风险模型 L∩D族 有限时间破产概率 渐近表达式 renewal risk model class L∩D finite time ruin probability asymptotic formula
分类号 F840.4 [经济管理—保险]
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参考文献15

  • 1Paulsen J.Ruin models with investment income.Probability Surveys,2008;416-434.
  • 2Asmussen S.Hojgaard B.Approximations for finite horizon ruin prob-abilities in the renewal model.Scand Actuar J,1999;2:106-119.
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二级参考文献31

  • 1Asmussen S, Hojgaard B. Approximations for finite horizon ruin probabilities in the renewal model. Scand Actuar J, 1999:106-119 (1999).
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科学技术与工程
2012年 第12期

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