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负相依赔付下延迟风险模型的破产概率 被引量：5

Ruin probability for a delayed-claims risk model under ND claims
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摘要 考虑一类带常数利息力的延迟索赔更新风险模型,该模型中包含了两种索赔:主索赔和延迟索赔.在主索赔额、延迟索赔额序列各自为负相依同分布且属于重尾分布L∩D族随机变量序列的情形下,得到了有限时间破产概率的渐近等价表达式. A renewal risk model for delayed claims with constant interest force was considered, in which each main claim might induce a delayed claim after a random time delay. Under the assumptions that the sequences of the main and delayed claims are negatively dependent random variables with a common distribution and that the claim Sizes belong to the heavy-tailed distribution class C∩D, an asymptotical equality expression of the finite time ruin probability was obtained.
作者 肖鸿民 李红
机构地区 西北师范大学数学与信息科学学院
出处 《兰州大学学报（自然科学版）》 CAS CSCD 北大核心 2012年第3期118-122,共5页 Journal of Lanzhou University(Natural Sciences)
基金 国家自然科学基金项目(71061012) 甘肃省高校研究生导师项目(1001-10)
关键词 延迟索赔更新风险模型 常利息力 破产概率 负相依 渐近表达式 delayed-claims renewal risk model constant interest force ruin probability negatively dependent asymptotical equality expression
分类号 O211.6 [理学—概率论与数理统计]
  • 相关文献

参考文献9

  • 1YueN K C, Guo J, NG K W. On ultimate ruin in al delayed-claims model[J]. Journal of Applied Probability, 2005, 42(1): 163-174.
  • 2MAocl C. Large deviations for risk model in which each main claim induces a delayed claim[J]. Stochas- tics: An International Journal of Probability and Stochastics Processes, 2006, 78(2): 79-89.
  • 3GAO Fu-qing, YAN Jun. Sample path large and mod- erate deviations for risk model with delayed claims [J]. Insurance: Mathematics and Economics, 2009, 45(1): 74-80.
  • 4袁海丽,胡亦钧.一类带扰动和附索赔风险模型的破产概率[J].数学杂志,2007,27(4):451-454. 被引量：1
  • 5肖鸿民,李红.重尾赔付下带常数利息力的延迟索赔风险模型的破产概率[J].西北师范大学学报（自然科学版）,2011,47(6):17-19. 被引量：5
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  • 9HAO Xue-miao, TANG Qi-he. A uniform asymptotic estimate for discounted aggregate claims with subex- ponential tails[J]. Insurance Math Econom, 2008, 43(1): 116-120.

二级参考文献11

  • 1EMBRECHTS P, KIUPPELBERG 12, MIKOSCH T. Modeling Extremal Events for Insurance and Finance[M]. Berlin: Springer, 1997.
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  • 6GAO Fu-qing, YAN Jun. Sample path large and moderate deviations for risk model with delayed claims[J]. Insurance: Mathematics and Economics, 2009. 45, 74-80.
  • 7CLINE D B H, SAMORODNITSKY G. Subexponentiality of the product of independent random variables [J]. Stochastic Processes Appl,1994, 49(1): 75-98.
  • 8CLINE D B H. Convolution product tails and domains of attraction[J]. Probability Theory and Related Fields, 1986, 72(4) : 529-557.
  • 9Yuen K.C.,Guo Junyi,Ng K.W..On ultimate ruin in a delayed-claims risk model[J].J.Appl.Prob.,2005,42:163-174.
  • 10Grandell J..Aspects of Risk Thiory[M].New York:Springer-Verlag,1991:1-15.

共引文献4

同被引文献28

  • 1WEI Li School of Finance,Renmin University of China,Beijing 100872,China.Ruin probability of the renewal model with risky investment and large claims[J].Science China Mathematics,2009,52(7):1539-1545. 被引量：4
  • 2陈昱,苏淳.有利息力情形下的有限时间破产概率[J].中国科学技术大学学报,2006,36(9):909-916. 被引量：7
  • 3GELUK J, NG K W. Tail behavior of negativelyassociated heavy-tailed sums [J]. Appl probab,2006, 43(2): 587-593.
  • 4WANG Ding-cheng,TANG Qi-he. Maxima of sumsand random sums for negatively associated randomvariables with heavy-tails [ J ]? Statistics andProbability Letters,2004, 68: 287-295.
  • 5TANG Qi-he. Insensitivity to negative dependence ofasymptotics behavior of precise large deviations [J].Electron J Probab,2006,11(4) : 107-120.
  • 6PAULAUSKAS V, SKUCAITE A. Someasymptotic results for one-sided large deviationsprobabilities!]J]. Lith Math J,2003,43(3): 318-326.
  • 7SKUCAITE A. Large deviations fou sums ofindependent heavy-tailed random variables [J]. LithMath J , 2004, 44(2): 1988-2086.
  • 8LIU Li. Precise large deviations for dependentrandom variables with heavy tails [J]. Statistics andProbability Letters,2009? 79: 1290-1298.
  • 9YUEN K C, GAOJ, NG K W. On estimate ruin ina delayed-claims model [J]. Journal of AppliedProbability? 2005,42: 163-174.
  • 10MACCI C. Large deviations for risk modle in whicheach main claim induces a delayed claim [J]. AnInternational Journal of Probability StochasticProcess,2006, 78: 79-89.

引证文献5

二级引证文献5

兰州大学学报（自然科学版）
2012年 第3期

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