随机保费下扰动风险模型总索赔盈余的大偏差  

Large Deviations of the Surplus of Aggregate Claims for a Perturbed Risk Model with Random Premiums

作　　者：董英华[1] 

机构地区：[1]南京信息工程大学数学与统计学院,江苏南京210044

出　　处：《经济数学》2018年第1期11-15,共5页Journal of Quantitative Economics

基　　金：中国博士后科学基金项目资助(2016M591885);江苏省博士后科研资助(1501053A);全国统计科学研究项目(2015LY83)

摘　　要：考虑随机保费下带干扰的风险模型,其中保费额和索赔额各自形成了END的随机变量序列,保费次数是由一个拟更新过程描绘,干扰项是由一个布朗运动过程来刻画.在索赔额分布属于一致变化类的条件下,给出了总索赔盈余过程的精致大偏差.Consider a perturbed risk renewal model with investment income, in which premium sizes and cliam sizes form two sequences of END random variables, respectively, the premium number is described by a quasi-renewal process, and the investment income is characterized by Brownian motion. Provided that claim-size distribution belongs to the consistent variation class, the precise large deviation for the surplus process of aggregate claims was presented.

关 键 词：应用概率论 精致大偏差 拟更新过程 END随机变量 总索赔盈余 

分 类 号：O211.9[理学—概率论与数理统计]