多元重尾索赔下的渐近有限时间破产概率（英文）  

Asymptotic Finite-Time Ruin Probability for Multivariate Heavy-Tailed Claims

作　　者：伍锦棠[1] 李效虎 WU JinTang;LI XiaoHu(School of Mathematical Sciences,Huaqiao University,Quanzhou,362021,China;Department of Mathematical Sciences,Stevens Institute of Technology,Hoboken,NJ 07030,USA)

机构地区：[1]华侨大学数学科学学院,泉州362021 [2]斯蒂文斯理工学院数学系,美国新泽西07030

出　　处：《应用概率统计》2018年第1期21-36,共16页Chinese Journal of Applied Probability and Statistics

基　　金：supported by the Scientific Research Funds of Huaqiao University(Grant No.15BS312);the Promotion Program for Young and Middle-Aged Teacher in Science and Technology Research of Huaqiao University(Grant No.ZQN-PY503);the National Natural Science Foundations of China(Grant Nos.11171278;11701194)

摘　　要：本文研究进行多线生意的保险公司.在同时面临1阶上象限尾相依重尾索赔的情形下,基于所谓的k-out-of-n破产集,我们得到Radon测度的显示表达并推导出有限时间内部分支线公司破产时的渐近破产概率.我们给出了具体阐释主要结论的数值例子.This note deals with an insurance company with multiple lines of business.In the context of heavy-tailed heterogeneous claim amounts with the 1st upper-orthant tail dependence,based on the so-called k-out-of-n ruin set,we can exhibit the Radon measure u and derive the asymptotic ruin probability for some of all lines business to ruin in a finite time.One numerical example is also presented to illustrate our main results.

关 键 词：多元正则变化 k-out-of-n破产集 上象限尾相依 

分 类 号：O211.6[理学—概率论与数理统计] O211.9[理学—数学]