The probabilities of the following events are first discussed in this paper: the insurance company survives to any fixed time k and the surplus at time k equals x≥1 . The formulas for calculating such prob...The probabilities of the following events are first discussed in this paper: the insurance company survives to any fixed time k and the surplus at time k equals x≥1 . The formulas for calculating such probabilities are deduced through analytical and probabilistic arguments respectively. Finally, other probability laws relating to risk are determined based on the probabilities mentioned above.展开更多
The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper.For claim sizes with common distribution of extended regular variation,we study the asym...The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper.For claim sizes with common distribution of extended regular variation,we study the asymptotic behaviour of the ruin probability.As a corollary,we establish a simple asymptotic formula for the ruin probability for the case of Pareto-like claims.展开更多
文摘The probabilities of the following events are first discussed in this paper: the insurance company survives to any fixed time k and the surplus at time k equals x≥1 . The formulas for calculating such probabilities are deduced through analytical and probabilistic arguments respectively. Finally, other probability laws relating to risk are determined based on the probabilities mentioned above.
基金supported by National Natural Science Foundation of China (Grant Nos.10571167,70501028)the Beijing Sustentation Fund for Elitist (Grant No.20071D1600800421)+1 种基金the National Social Science Foundation of China (Grant No.05&ZD008)the Research Grant of Renmin University of China (Grant No.08XNA001)
文摘The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper.For claim sizes with common distribution of extended regular variation,we study the asymptotic behaviour of the ruin probability.As a corollary,we establish a simple asymptotic formula for the ruin probability for the case of Pareto-like claims.
