重尾延迟索赔风险模型下破产概率的渐近性  

The Asymptotics for the Ruin Probabilities of a Risk Model with Delayed Heavy-Tailed Claims

作　　者：崔召磊[1] 于长俊[2] CUI Zhaolei;YU Changjun(School of Mathematics and Statistics, Changshu Institute of Technology, Suzhou, 215500, China;School of Science, Nantong University, Nantong, 226019, China)

机构地区：[1]常熟理工学院数学与统计学院,苏州215500 [2]南通大学理学院,南通226019

出　　处：《应用概率统计》2018年第4期416-426,共11页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金数学天元基金项目(批准号:11426139;11226208)资助

摘　　要：本文对于一类带重尾延迟索赔的风险模型,给出了其无限时破产概率的渐近性和有限时破产概率的一致渐近性,并给出了数值分析的结果.理论分析和数值模拟的结果都表明,当初始资本和运营时间都较大时,赔付的延迟对破产概率的影响几乎可以忽略.In this paper,for a kind of risk models with heavy-tailed and delayed claims,we derivethe asymptotics of the innite-time ruin probability and the uniform asymptotics of the nite-time ruinprobability.The numerical simulation results are also presented.The results of theoretical analysis andnumerical simulation show that the inuence of the delay for the claim payment is nearly negligible to theruin probability when the initial capital and running-time are all large.

关 键 词：重尾分布 有限时破产概率 无限时破产概率 数值模拟 

分 类 号：O211.9[理学—概率论与数理统计]