非平稳到达的二元相依风险模型的破产概率研究

Ruin Probabilities with Time-correlated for Risk Processes with Non-stationary Arrivals

考虑一类相依索赔的二元风险模型,在该模型中假设发生主副两种索赔,主索赔尾部是次指数分布的非平稳到达过程的风险过程,当主索赔次数满足大偏差原理时,获得了主副索赔额均服从次指数分布时的有限水平和无限水平的破产概率与整体尾部的渐进表达式.

This paper considered a risk model with time-correlated claims,in which it was assumed that every lord claim can randomly produce a delayed claim and lord claim tail is a non-stationary arrival risk process under sub-exponential distributions. We obtained the asymptotic expression of claims that obeys ruin probability and ensemble tail in finite level and infinite level under subexponential distributions when times of lord claim satisfy the large deviation principle.