重尾索赔下保费收入随机化风险模型的破产概率  

Ruin Probability of Risk Model with Stochastic Premium under Heavy- tailed Claims

作　　者：乔克林[1] 刘琼琼[1] 张娟[1] 

机构地区：[1]延安大学数学与计算机科学学院,陕西延安716000

出　　处：《延安大学学报（自然科学版）》2015年第4期13-17,共5页Journal of Yan'an University：Natural Science Edition

基　　金：陕西省教育厅自然科学基金(2013JK0576);陕西省高水平大学建设专项资金资助项目(2012SXTS07);延安市科研计划项目(2014ZC-6)

摘　　要：研究了重尾索赔下保费收取随机化且带常利率的风险模型,假定索赔计数过程为Poisson过程、保费到达过程为一般普通更新过程且索赔分布属于S族,利用概率论知识及随机过程的方法,得出了该模型在t时刻盈余为负的概率渐近等价式;然后在模型中令常利率δ=0,讨论得到当索赔属于L~＊_（m）族时,此模型在有限时间（0,t]内破产概率的渐近表达式。The risk model of stochastic premium with constant interest force under heavy- tailed claims is studied.It is assumed that the claim number process is poisson process and premium- arrival process is ordinary renewal process,meanwhile the loss distribution belongs to the class S. By using probability theory and the methods of stochastic process,an asymptotic equivalent form of probability that negative earnings at the time t is obtained. Then let be constant interest force δ = 0 in the risk model,when the loss distribution belongs to the family of L＊（ m）,another asymptotic equivalent form of ruin probability in the limited time（ 0,t] is obtained.

关 键 词：L＊(m)族 常利率 风险模型 破产概率 

分 类 号：O211.9[理学—概率论与数理统计]