一类带投资和副索赔的二维时依风险模型破产概率的渐近估计  

Asymptotic estimates for the bidimensional time-dependent risk model with investments and by-claims

作　　者：李会杰[1] 倪佳林 傅可昂[1] 

机构地区：[1]浙江工商大学统计与数学学院,浙江杭州310018

出　　处：《高校应用数学学报（A辑）》2017年第3期283-294,共12页Applied Mathematics A Journal of Chinese Universities(Ser.A)

基　　金：浙江省自然科学基金(LY17A010004);教育部人文社会科学研究青年基金(17YJC910002);浙江省一流学科A类(浙江工商大学统计学);国家自然科学基金(11301481;11371321)

摘　　要：考虑一类二维风险模型,其中两个保险公司共同承担所有的索赔,且每个(主)索赔都会引起一个副索赔.假定两个保险公司均将其资产投资到金融市场中,其投资回报服从几何Levy过程.在索赔分布属于C族以及索赔额与索赔到达时间间隔具有某种相依结构的条件下,对该二维风险模型盈余过程的有限时破产概率进行渐近估计.Consider a bidimensional risk model, in which two insurance companies divide between them the claims in some specified proportions, and every main claim induces a delayed by-claim. Suppose that the surpluses of the two companies are invested into portfolios whose returns follow a geometric Levy process. When the claim-size distribution is consistently-varying tailed, and the inter-arrival time and claim-size follow some dependence structure, asymptotic estimates for the ruin probabilities of this bidimensional risk model are derived.

关 键 词：二维风险模型 投资回报 副索赔 一致变尾 破产概率 

分 类 号：O211.4[理学—概率论与数理统计]