时间相依的二维风险模型的折扣累积索赔的渐近性  

Asymptotics of discounted aggregate claims in a time-dependent bidimensional renewal risk model

作　　者：陈洋[1] 

机构地区：[1]苏州科技学院数理学院,江苏苏州215009

出　　处：《苏州科技学院学报（自然科学版）》2014年第4期15-21,30,共8页Journal of Suzhou University of Science and Technology （Natural Science Edition）

基　　金：江苏省自然科学基金资助项目(BK2012165;BK20131154)

摘　　要：考虑了带利率的二维更新风险模型。假设索赔额和索赔到达间隔时间都是独立同分布的随机变量,并且它们之间具有某种相依结构。当索赔额分布是次指数分布时,获得了折扣累积索赔向量的渐近性,并且发现此渐近结果会受到索赔额和索赔到达间隔时间之间相依结构的影响。This paper proposes a bidimensional renewal risk model with a constant force of interest. Both the claim sizes and inter-arrival time are supposed to be independent and identically distributed random variables,but structurally dependent. When the claim sizes are subexponentially distributed, we have obtained the asymptotic of discounted aggregate claims, which is also found affected by the dependent structure between the claim sizes and their inter-arrival time.

关 键 词：渐近性 重尾分布 时间相依 尾概率 

分 类 号：O211.4[理学—概率论与数理统计]