双投资策略风险模型下破产概率的渐近估计  

Asymptotic ruin probabilities of a risk model with double investment strategies

作　　者：徐天明[1] 吴清太[1] 

机构地区：[1]南京农业大学理学院,江苏南京210095

出　　处：《山东大学学报（理学版）》2014年第1期92-98,共7页Journal of Shandong University(Natural Science)

基　　金：国家自然科学基金资助项目(71173109);中央高校基本科研业务费专项资金项目(Y0201100265)

摘　　要：保险公司在不同盈余水平下采取不同的投资策略。由伊藤公式和风险中性假设得到总资本盈余过程的表达式,并假设索赔过程属于D族且成对拟渐近独立,最终得到了有限时间破产概率以及最终破产概率的渐近估计,并进行了相应的数值模拟。Insurance companies adopt different strategies under different levels of surplus. The expression of the surplus process was obtained by Itō formula and risk-neutral assumption, and then assuming the claims process belongs to D, and are pair-wise quasi-asymptotically independent. Finally the asymptotic estimations of rain probability in finite-time and infinite-time are obtained and the corresponding numerical simulation has carried on.

关 键 词：连续时间风险模型 双投资策略 破产概率 

分 类 号：O211.6[理学—概率论与数理统计] F840[理学—数学]