一类基于进入过程的风险模型的精细大偏差  

The Precise Large Deviations for a Risk Model Based on the Policv Entrance Process

作　　者：唐风琴[1] 李泽慧[2] 陈进源[2] 

机构地区：[1]淮北师范大学数学科学学院,安徽淮北235000 [2]兰州大学数学与统计学院,兰州730000

出　　处：《数学物理学报（A辑）》2011年第3期737-751,共15页Acta Mathematica Scientia

基　　金：国家自然科学基金(10871086);高等学校博士学科点专项科研基金(20050730002)资助

摘　　要：Li和Kong提出了一类基于进入过程的具有多种独立保单的风险模型并在时间趋于无穷大时对保险公司盈余资产的渐进分布作了研究.该文探讨了这类模型的大偏差.当索赔尾部为C(consistently varying)族时,分别得到了具有单种保单和多种独立保单的模型的大偏差,所得结果丰富了相应的发射噪声过程的大偏差.Li and Kong^[1] constructed a new risk model based on the policy entrance process which involves multiple kinds of independent policies, and studied the asymptotic behavior of the surplus when time goes to infinity. In this paper the authors investigate large derivations for this model. The authors obtain the precise large deviations with both single and multiple kinds of independent policies when the tail of the claim size is consistently varying. The results extend the related large deviation results for shot noise processes.

关 键 词：大偏差 风险过程 Consistently VARYING 发射噪声过程 重尾分布 

分 类 号：O211.65[理学—概率论与数理统计] O211.66[理学—数学]