负相依赔付下延迟风险模型的破产概率  

Ruin probability for a delayed-claims risk model under ND claims

作　　者：肖鸿民[1] 李红[1] 

机构地区：[1]西北师范大学数学与信息科学学院,兰州730070

出　　处：《兰州大学学报（自然科学版）》2012年第3期118-122,共5页Journal of Lanzhou University(Natural Sciences)

基　　金：国家自然科学基金项目(71061012);甘肃省高校研究生导师项目(1001-10)

摘　　要：考虑一类带常数利息力的延迟索赔更新风险模型,该模型中包含了两种索赔:主索赔和延迟索赔.在主索赔额、延迟索赔额序列各自为负相依同分布且属于重尾分布L∩D族随机变量序列的情形下,得到了有限时间破产概率的渐近等价表达式.A renewal risk model for delayed claims with constant interest force was considered, in which each main claim might induce a delayed claim after a random time delay. Under the assumptions that the sequences of the main and delayed claims are negatively dependent random variables with a common distribution and that the claim Sizes belong to the heavy-tailed distribution class C∩D, an asymptotical equality expression of the finite time ruin probability was obtained.

关 键 词：延迟索赔更新风险模型 常利息力 破产概率 负相依 渐近表达式 

分 类 号：O211.6[理学—概率论与数理统计]