正则变化场合常数利息力度的破产概率  

Ruin Probability with Constant Interest Force and Regular Variation

作　　者：江涛[1] 

机构地区：[1]浙江工商大学金融学院,浙江杭州310018

出　　处：《数学的实践与认识》2008年第8期46-50,共5页Mathematics in Practice and Theory

基　　金：国家自然科学基金项目(70471071)

摘　　要：研究了常数利息力度下的破产概率.在索赔来到过程为更新过程,索赔额分布为Pareto型的场合下,得到了有限索赔次数破产概率的渐进表达公式.该结果推广了Kluppelberg和Stadtmuller(1998)和Qihe Tang(2005)的结果.This paper considered the ruin Probability with constant interest force. Under the assumptions that the inter-arrival process is renewal risk model and the claimsize is of Pareto-type, we obtained a asymptotic formula that ruin happens within finite claims and within a fixed horizon T. The results generalize corresponding results Of Kluppelberg ＆ Stadtmuller （1998） and Qihe Tang （2005）.

关 键 词：破产概率 常数利息力度 正则变化 

分 类 号：F820[经济管理—财政学] F224