对于在次指数组下一种离散风险模型破产概率的一致渐近估计（英文）  

A uniform asymptotic estimate for ruin probability of a discrete-time risk model with subexponential innovations

作　　者：申林川 陈昱[1] 

机构地区：[1]中国科学技术大学管理学院统计与金融系,安徽合肥230026

出　　处：《中国科学技术大学学报》2017年第11期885-893,共9页JUSTC

基　　金：Supported by the National Key Research and Development Plan(2016YFC0800104);National Nature Science Foundation of China(71771203)

摘　　要：考虑递归等式T_n=X_n+T_(n-1)Y_n,其中X_n和Y_n相互独立,等式右边的T_(n-1)独立于(X_n,Y_n).假设X_n的分布函数属于次指数族,并且具有非零的下Karamate指数,同时(X_n,Y_n)满足一定的相依结构,对等式中T_n的尾部概率进行了估计.The recursive equation Tn=Xn＋Tn-1 Yn was considered,in which Xnand Ynare two independent random variables,and Tn-1 on the right-hand side is independent of（Xn,Yn）.Under the assumption that Xn follows a subexponential distribution with a nonzero lower Karamata index,and that（Xn,Yn）fulfills a certain dependence structure,some asymptotic formulas were obtained for the tail probabilities of Tnin this equation.

关 键 词：渐近性 下Karamata指数 次指数族 一致性 

分 类 号：O157.4[理学—数学]