关于经典风险模型破产概率及其局部解的一个注记

A Note on the Asymptotic Relationship for Ruin Probability in Classical Risk Model

利用梯高分布工具和等价量性质，得到了经典风险模型在调节系数不存在且索赔额分布F∈S^＊（v）（v〉0）时破产概率及其局部渐进解的相关定理，克服了已有文献中十分繁杂的论证过程．作为特例，当索赔额服从广义逆高斯分布时，给出了破产概率及其局部解的渐进结果．最后，对影响破产概率及其局部渐进解的一些参数进行了数值分析。

The asymptotic relationship and local asymptotic relationship for the ruin probability under the absence of the adjustment coefficient as well as the claim distribution F S （v）（v 〉 0） have been obtained, which overcame the complicated argument involved in the existing literatures. In a special case, the asymptotic relationship and local asymptotic relationship for the ruin probability were derived when the claim sum was within the generalized inverse Gauss distribution. Further, a numerical simulation was performed on some parameters having influence of the asymptotic relationship and local asymptotic relationship for the ruin probability