具有随机保费的二维扰动稀疏风险模型的破产概率(英文)  

Ruin Probability for a Two-Dimensional Perturbed Risk Model with Thinning Dependence and Stochastic Premiums

作　　者：周昀[1] 祝东进[2] 

机构地区：[1]上海财经大学统计与管理学院,上海200433 [2]安徽师范大学数学与计算机学院,芜湖241000

出　　处：《应用概率统计》2014年第4期398-414,共17页Chinese Journal of Applied Probability and Statistics

基　　金：supported by National Natural Science Foundation of China(11201006);Humanities and Social Science Project of Ministry of Education(12YJC910012);the Colleges and Universities of Anhui Province Natural Science Foundation Grand Project(KJ2012ZD01)

摘　　要：本文研究了具有随机保费以及稀疏结构的二元风险模型下的破产问题.通过对具有稀疏结构的风险模型进行转换,我们将模型简化为保费收入和理赔独立的风险模型.当理赔为"轻尾分布"时,通过鞅方法得到了破产概率的上界估计.理赔为重尾分布时,我们得到了一类重尾分布下破产概率的渐近估计.This mansuscript focuses on a kind of two-dimensional risk model with stochastic premium income and the model allows for dependence between premiums and claims. By Laplace transform- s, we prove that the model proposed in this paper can be reduced into a kind of risk model with stochastic premium incomes, and the premium income is independent of the claim process. When the individual claims are the ＂light-tailed＂ case, an upper bound for ruin probability is derived by martingale approach. When the claims belong to a kind of heavy-tailed distribution, the asymptotic estimation for ruin probability is given when the initial surplus tends to infinity.

关 键 词：二维风险模型 破产概率 稀疏相依 上界 渐近估计 

分 类 号：O211.3[理学—概率论与数理统计]