保险和金融风险相依的破产概率研究

The Ruin Probability with Dependent Insurance and Financial Risks

考虑一家保险公司暴露于保险风险和金融风险两种风险环境,分别用两组随机变量量化这两种风险,用离散时间风险模型表述保险公司盈余过程,研究了在保险风险和金融风险渐近独立相依假设下的保险公司有限时间破产概率问题。当保险风险的分布属于次指数分布族或长尾分布族时,分别推导了有限时间破产概率的渐近等价关系式,这将简化保险公司在风险评估中的计算问题。

Considering an insurance company exposed to an environment that contains insurance and financial risks, these two kinds of risks were quantified by two sets of random variables and the surplus process of the insurance company was described by a discrete-time risk model. This paper investigated the finite-time ruin probability with asymptotic independence insurance and financial risks. When the distributions of the insurance risk belong to the subexponential distribution class or the long-tailed distribution class, we derived some asymptotic equivalent relationships for the finite- time ruin probability, respectively. These will simplify the calculation of the insurance companies in the risk assessment.