Estimates for the Finite-time Ruin Probability with Insurance and Financial Risks  

作　　者：Min ZHOU Kai-yong WANG Yue-bao WANG 

机构地区：[1]Department of Mathematics,Soochow University [2]Beijing Normal University-Hongkong Baptist University United International College [3]School of Mathematics and Physics,Suzhou University of Science and Technology

出　　处：《Acta Mathematicae Applicatae Sinica》2012年第4期795-806,共12页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China (No.10671139)

摘　　要：The paper gives estimates for the finite-time ruin probability with insurance and financial risks. When the distribution of the insurance risk belongs to the class L（γ） for some γ〉0 or the subexponential distribution class, we abtain some asymptotic equivalent relationships for the finite-time ruin probability, respectively. When the distribution of the insurance risk belongs to the dominated varying-tailed distribution class, we obtain asymptotic upper bound and lower bound for the finite-time ruin probability, where for the asymptotic upper bound, we completely get rid of the restriction of mutual independence on insurance risks, and for the lower bound, we only need the insurance risks to have a weak positive association structure. The obtained results extend and improve some existing results.The paper gives estimates for the finite-time ruin probability with insurance and financial risks. When the distribution of the insurance risk belongs to the class L（γ） for some γ〉0 or the subexponential distribution class, we abtain some asymptotic equivalent relationships for the finite-time ruin probability, respectively. When the distribution of the insurance risk belongs to the dominated varying-tailed distribution class, we obtain asymptotic upper bound and lower bound for the finite-time ruin probability, where for the asymptotic upper bound, we completely get rid of the restriction of mutual independence on insurance risks, and for the lower bound, we only need the insurance risks to have a weak positive association structure. The obtained results extend and improve some existing results.

关 键 词：finite-time ruin probability dominated varying tail insurance risk financial risk 

分 类 号：O211.67[理学—概率论与数理统计]