带风险投资的有限时间破产概率估计

Estimates of the finite time ruin probability with risky investments

研究一个离散时间风险模型的有限时间破产概率,在模型中保险公司将准备金用于风险投资.这种投资将会给保险公司带来金融风险,它与具有重尾分布的个体净风险X构成一独立同分布的随机变量组.当保险风险与金融风险的联合分布函数为相关结构FGM分布时,得到有限时间破产概率的近似式.

This paper investigates the probability ruin of finite horizon for a discrete time risk model,in which the reserve of an insurance business is invested in a risky asset. This investigation will bring financial risk, accompanied by the individual risk form an independent and identically distributed random pair. The net individual risk is heavy-tailed and the distribution function of financial risk fulfills some con- straints,with a general asymptotic formula for the finite-time ruin probability obtained.