基于相依风险模型破产概率的渐近估计及其实证分析

Asymptotic Estimates for Ruin Probability and Empirical Analysis in the Dependent Risk Model

本文研究了重尾相依风险模型,其中索赔额是一列上广义负相依随机变量,索赔时间间隔是—列广义负相依随机变量,并且两个序列是相互独立的,得到了保险公司最终破产概率的渐近结果。并且利用中国人民财产保险股份有限公司2008年的重大赔付数据,对该公司的最终破产概率进行了实证分析。

This paper investigates the dependent heavy-tailed risk model, where the claim sizes are a sequence of upper extended negatively dependent random variables, and the inter-arrival times are a sequence of extended negatively dependent random variables, which are independent of the claim sizes. We obtain an asymptotic result on the ultimate ruin probability of an insurance company. Besides, we conduct an empirical analysis of the ultimate ruin probability with the large claim data from PICC （Peoples Insurance Company of China） Property and Casualty Company Limited in the year 2008.