一类相依索赔离散风险模型的有限时间破产概率估计

Asymptotic for the Finite-time Ruin Probability of a Discrete-time Risk Model with Dependent Insurance Risks

本文研究一类具有相依索赔及重尾索赔噪声项的离散风险模型有限时间破产概率.在该模型中,索赔额服从具有独立同分布噪声项的单边线性过程;由保险公司的风险投资和无风险投资导致的随机折现因子与单边线性过程的噪声项相独立;保险公司的保费率是恒定的常数.当单边线性过程的噪声项服从重尾分布时,本文得到该离散风险模型有限时间破产概率的渐近估计.

The finite-time ruin probability of a discrete-time risk model with dependent claims and heavy-tailed claim-innovations is investigated in this paper. The claims are assumed to follow a one-sided linear process with independent and identically distributed innovations. The risk-free and risky investments of an insurer lead to stochastic discount factors, which are independent of the claim-innovations. The premium rate is a constant. When the common distribution of the claim-innovations is heavy-tailed, we establish an asymptotic estimate for the finite-time ruin probability.