D族分布下带投资的双险种风险模型中的破产概率  

Ruin Probabilities of a Two Risk Model with Investment under Dominatedly-varying-tailed Claims

作　　者：王施施[1] 王文胜[1] 骆明旭 

机构地区：[1]杭州师范大学理学院,浙江杭州310036

出　　处：《杭州师范大学学报（自然科学版）》2017年第1期94-102,共9页Journal of Hangzhou Normal University(Natural Science Edition)

摘　　要：研究了带投资的双险种更新风险模型中的破产概率.该模型中允许保险公司将其部分盈余投资于满足几何布朗运动的Black-Scholes型资本市场,对此模型假定同一险种索赔额是两两拟渐近独立的,根据Ito公式得到公司盈余过程的表达式,基于该模型分析了当索赔额满足D族分布时破产概率渐近关系式,并由D族分布推出C族分布下破产概率的渐近关系式.The ruin probability in the two-dimensional renewal risk model is studied, in which the insurance company is allowed to invest a part of wealth in a Black-Scholes market which is described by a geometric Brownian motion. The expression of the wealth process by ItO formula is given, in the presence of claims with tails of regular varition and pairwise quasi-asymptotic dependence structure for the same type of this model. The asymptotic formula of the ruin probability is analyzed when the claim amount is satisfied with the D distribution, and through asymptotic relationship of ruin probability under D distribution, the asymptotic formula of the ruin probability with G＇ distribution is got.

关 键 词：破产概率 两两拟渐进独立 D族分布 C族分布 双险种风险模型 

分 类 号：O211.9[理学—概率论与数理统计]