重尾延迟索赔风险模型下破产概率的渐近性

The Asymptotics for the Ruin Probabilities of a Risk Model with Delayed Heavy-Tailed Claims

本文对于一类带重尾延迟索赔的风险模型,给出了其无限时破产概率的渐近性和有限时破产概率的一致渐近性,并给出了数值分析的结果.理论分析和数值模拟的结果都表明,当初始资本和运营时间都较大时,赔付的延迟对破产概率的影响几乎可以忽略.

In this paper,for a kind of risk models with heavy-tailed and delayed claims,we derivethe asymptotics of the in nite-time ruin probability and the uniform asymptotics of the nite-time ruinprobability.The numerical simulation results are also presented.The results of theoretical analysis andnumerical simulation show that the inuence of the delay for the claim payment is nearly negligible to theruin probability when the initial capital and running-time are all large.