带有常值利息力的可变保费Cox风险模型下破产概率的渐近估计(英文)  

Asymptotic Ruin Probability for Cox Risk Model with Variable Premium Rate and Constant Interest Force

作　　者：徐林[1] 吴丽媛[1] 祝东进[1] 

机构地区：[1]安徽师范大学数学计算机科学学院,芜湖241003

出　　处：《应用概率统计》2013年第5期480-488,共9页Chinese Journal of Applied Probability and Statistics

基　　金：supported by National Natural Science Foundation of China(11126238,11201006);Humanities and Social Science Projects of Ministry of Education of China(2012YJC2748)

摘　　要：本文研究了一类Cox模型下的理赔为重尾分布时破产概率的渐近估计.假设保费收取费率是Cox计数过程的强度过程的函数,通过更新技巧得到了有限时间破产概率的递推方程和终极破产概率的积分方程,利用归纳递推的方法,得到了终极破产概率的渐近估计.This paper focuses on ruin probability for Cox model with variable premium rate and constant investment return when the claims have heavy tailed distribution. By considering the ＇,skeleton process＂ of Cox risk model, a recursive equation for finite time ruin probabilities are derived in terms of ＂renewal techniques＂ and asymptotic estimation for finite time ruin probabilities and ul- timate ruin probability are obtained by inductive method.

关 键 词：COX风险模型 重尾分布 可变保费 破产概率 

分 类 号：O212.3[理学—概率论与数理统计]