A Local Asymptotic Behavior for Ruin Probability in the Renewal Risk Model  

作　　者：MODIBO Diarra 

机构地区：[1]School of Mathematics and Statistics,Wuhan University

出　　处：《Wuhan University Journal of Natural Sciences》2007年第3期407-411,共5页武汉大学学报（自然科学英文版）

基　　金：Supported by the National Natural Science Foundation of China (70273029)

摘　　要：Let R（t）=u＋ct-∑ I=1^N（t） Xi,t≥0 be the renewal risk model, with Fx（x）being the distribution function of the claim amount X. Let ψ（u） be the ruin probability with initial surplus u. Under the condition of Fx（x） ∈ S^＊（γ）,y ≥ 0, by the geometric sum method, we derive the local asymptotic behavior for ψ（u,u ＋ z] for every 0 （ z （ oo, On one hand, the asymptotic behavior of ψ（u） can be derived from the result obtained. On the other hand, the result of this paper can be applied to the insurance risk management of an insurance company.Let R（t）=u＋ct-∑ I=1^N（t） Xi,t≥0 be the renewal risk model, with Fx（x）being the distribution function of the claim amount X. Let ψ（u） be the ruin probability with initial surplus u. Under the condition of Fx（x） ∈ S^＊（γ）,y ≥ 0, by the geometric sum method, we derive the local asymptotic behavior for ψ（u,u ＋ z] for every 0 （ z （ oo, On one hand, the asymptotic behavior of ψ（u） can be derived from the result obtained. On the other hand, the result of this paper can be applied to the insurance risk management of an insurance company.

关 键 词：renewal risk model subexponential class ruin probability 

分 类 号：O211.9[理学—概率论与数理统计]