具有潜在索赔的风险模型在重尾赔付下的极限性质  

The limit properties for a risk model with heavy-tailed potential claims

作　　者：肖鸿民[1] 赵婕[1] 宋国龙[1] 

机构地区：[1]西北师范大学数学与统计学院,甘肃兰州730070

出　　处：《西北师范大学学报（自然科学版）》2015年第2期9-11,23,共4页Journal of Northwest Normal University(Natural Science)

基　　金：国家自然科学基金资助项目(71261023)

摘　　要：研究一类带有潜在索赔的风险模型.假设索赔额序列是独立同分布的重尾随机变量序列,不同保单发生实际索赔的概率不同.当潜在索赔额序列服从S族时,得到了有限时间破产概率的渐近表达式.In this paper a risk model with prospective-claim is studied,in which the customers＇potential claims are heavy-tailed random variables with independent identically distribution.Different insurance policy holders are allowed to have different probabilities to make actual claims.When customers＇potential claims belong to class S,an asymptotic expression of the finite-time ruin probability is derived.

关 键 词：有限时间破产概率 独立随机变量 S族 潜在索赔 更新过程 

分 类 号：O211.4[理学—概率论与数理统计]