双投资策略风险模型下破产概率的渐近估计

Asymptotic ruin probabilities of a risk model with double investment strategies

保险公司在不同盈余水平下采取不同的投资策略。由伊藤公式和风险中性假设得到总资本盈余过程的表达式,并假设索赔过程属于D族且成对拟渐近独立,最终得到了有限时间破产概率以及最终破产概率的渐近估计,并进行了相应的数值模拟。

Insurance companies adopt different strategies under different levels of surplus. The expression of the surplus process was obtained by Itō formula and risk-neutral assumption, and then assuming the claims process belongs to D, and are pair-wise quasi-asymptotically independent. Finally the asymptotic estimations of rain probability in finite-time and infinite-time are obtained and the corresponding numerical simulation has carried on.