上尾渐近独立重尾索赔风险模型的有限时间破产概率的一致渐近性

Uniform asymptotics of the finite-time ruin probability of risk model with upper tail asymptotically independent and heavy-tailed claims

讨论了具有相依结构的常利率非标准风险模型,在此模型中,索赔额具有上尾渐近独立结构,索赔到达过程为一般计数过程。当索赔额的分布属于某一重尾分布族时,利用概率极限理论和加权和的方法,得到了这类非标准风险模型的有限时间破产概率的一致渐近公式。

This paper discussed a nonstandard risk model with a constant interest rate and a dependence structure,in which the claim sizes formed an upper tail asymptotic independence structure and their claim arrival process was a general counting process.When the distributions of the claim sizes came to a heavy-tailed distribution class,we obtained the uniform asymptotic formula of the finite-time ruin probability of this nonstandard risk model using the probability limit and the weighted sums.