具有随机保费风险模型破产概率的下界及渐近表示(英文)  

LOWER BOUNDS AND ASYMPTOTIC EXPRESSION FOR RUIN PROBABILITIES IN A RISK MODEL WITH RANDOM INCOME

作　　者：包振华[1] 胡春华[2] 

机构地区：[1]辽宁师范大学数学学院,大连116029 [2]湖南大学金融学院,长沙410079

出　　处：《经济数学》2008年第4期344-350,共7页Journal of Quantitative Economics

摘　　要：本文研究一类推广的风险模型,其保费收入过程不再是时间的线性函数.利用寿命分布类D-NBU我们获得了破产概率的一些下界.利用破产概率所满足的一个更新方程,我们还得到了关于破产概率的一个渐近表达式.This paper considers a generalized risk model in which the premium income process is no longer a linear function of the time. Some lower bounds for the ruin probabilities are derived in terms of D-NBU distribution. Based on the renewal equation satisfied by the ruin probability, the asymptotic expression is then proviede.

关 键 词：渐近表达式 离散寿命分布类 下界 破产概车 

分 类 号：O211.4[理学—概率论与数理统计]