D族分布下带投资的双险种风险模型中的破产概率

Ruin Probabilities of a Two Risk Model with Investment under Dominatedly-varying-tailed Claims

研究了带投资的双险种更新风险模型中的破产概率.该模型中允许保险公司将其部分盈余投资于满足几何布朗运动的Black-Scholes型资本市场,对此模型假定同一险种索赔额是两两拟渐近独立的,根据Ito公式得到公司盈余过程的表达式,基于该模型分析了当索赔额满足D族分布时破产概率渐近关系式,并由D族分布推出C族分布下破产概率的渐近关系式.

The ruin probability in the two-dimensional renewal risk model is studied, in which the insurance company is allowed to invest a part of wealth in a Black-Scholes market which is described by a geometric Brownian motion. The expression of the wealth process by ItO formula is given, in the presence of claims with tails of regular varition and pairwise quasi-asymptotic dependence structure for the same type of this model. The asymptotic formula of the ruin probability is analyzed when the claim amount is satisfied with the D distribution, and through asymptotic relationship of ruin probability under D distribution, the asymptotic formula of the ruin probability with G＇ distribution is got.