摘要
我们考虑了一个具有相依结构的离散时间风险模型,其中索赔额{Xm}n≥1遵循一个具有独立同分布(i.i.d.)噪声项{εn}n≥1的单边线性过程,且噪声项和金融风险形成了一系列独立同分布的副本,这些副本是来自于具有相依结构的一个随机对(ε,Y).当乘积εY具有重尾分布时,我们建立了这种离散时间风险模型中破产概率的一些渐近估计.最后,我们使用原始的蒙特卡罗(CMC)模拟来验证我们的结果.
We consider a discrete-time risk model with dependence structures,where the claimsizes {Xn}n≥1 follow a one-sided linear process with independent and identically distributed(i.i.d.)innovations {εn}n≥1,and the innovations and financial risks form a sequence of independent and identically distributed copies of a random pair(ε,Y) with dependent components.When the productεY has a heavy-tailed distribution,we establish some asymptotic estimates of the ruin probabilities in this discrete-time risk model.Finally,we use a Crude Monte Carlo(CMC) simulation to verify our results.
作者
白明艳
彭江艳
井浩杰
BAI Mingyan;PENG Jiangyan;JING Haojie(School of Mathematical Sciences,University of Electronic Science and Technology of China,Chengdu,611731,China)
出处
《应用概率统计》
CSCD
北大核心
2020年第6期569-585,共17页
Chinese Journal of Applied Probability and Statistics
基金
supported by the National Natural Science Foundation of China(Grant Nos.71871046,71501025)
the Applied Basic Project of Sichuan Province(Grant No.2016JY0257)。
关键词
渐近估计
单边线性过程
相依风险
乘积
重尾分布
asymptotic estimate
one-sided linear process
dependent risks
product
heavy-tailed distribution