带有NQD相依索赔的总索赔贴现尾的一致渐近性

Uniform asymptotics for the tail of the discounted aggregate claims with NQD claim sizes

考虑了一类带有随机收益的风险模型,其中投资组合的价格过程用几何Lévy过程刻画。当索赔额具有一致变化分布时,对于索赔额是负象限相依的情况,得到了总索赔贴现尾的一致渐近性。得到的结论推广了这类风险模型的相关结果。

This paper considers a risk model with stochastic return,in which the price process of the investment portfolio is expressed as a geometric Lévy process.When the claim sizes have consistently varied distributions,the uniform asymptotics of the tail of the discounted aggregate claims has been obtained for the negatively quadrant dependent claim sizes,which extends some corresponding results of this risk model.