Ruin probability of the renewal model with risky investment and large claims  

作　　者：WEI Li School of Finance,Renmin University of China,Beijing 100872,China 

出　　处：《Science China Mathematics》2009年第7期1539-1545,共7页中国科学：数学（英文版）

基　　金：supported by National Natural Science Foundation of China (Grant Nos.10571167,70501028);the Beijing Sustentation Fund for Elitist (Grant No.20071D1600800421);the National Social Science Foundation of China (Grant No.05&ZD008);the Research Grant of Renmin University of China (Grant No.08XNA001)

摘　　要：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.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.

关 键 词：ASYMPTOTICS extended regular variation renewal risk model risky investment strategy ruin probability 60G70 60K30 60K37 

分 类 号：O211.67[理学—概率论与数理统计]