对于大额索赔的平衡更新模型的破产概率

RUIN PROBABILITIES FOR LARGE CLAIMS IN EQUILIBRIUM RENEWAL MODEL

本文研究平衡更新风险模型的破产概率ψ（x）,这里x为保险公司初始的资本金.在假定索赔额服从重尾分布的条件下,给出了当x→∞时;ψ（x）的尾等价关系,所得结果与经典的Cramer-Lundbeng模型下的结论完全一致.

This paper investigates ruin probabilities ψ(x) in the equilibrium renewal risk model, where x is the initial capital of an insurance company. Under the assumption that the claim size is heavy-tailed, we aim at a tail equivalence relationship of ψ(x) as x→∞and obtain the desired result in the paper, which is surprisingly the same as that in the Cramer-Lundberg model.