相依计数变量风险模型的大偏差

Large Deviations in Risk Models Based on Dependent Count Random Variables

考虑每期索赔计数变量之间基于泊松AR(1)相依结构的离散风险模型,利用特征函数的唯一性,得到了其累积索赔总额的概率分布等价形式,并建立了重尾索赔下索赔总额的精细大偏差.

We considered discrete-time risk model in which a dependent structure of Poisson AR（1） is introduced between the claim numbers for each period.With the help of uniqueness of characteristic function,we derived probability distribution equivalent form of accumulated aggregate claim amount,and then established large deviation results for the sum of heavy-tailed claim sizes.