相依随机保费风险模型的有限时间破产概率  

The Finite-time Ruin Probability in a Dependent Random Premium Rates Risk Model

作　　者：毕秀春 张曙光[2] BI Xluchun;ZHANG Shuguang(Iinstitute of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233030, China;Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China)

机构地区：[1]安徽财经大学统计与应用数学学院,蚌埠233030 [2]中国科学技术大学统计与金融系,合肥230026

出　　处：《应用数学学报》2019年第3期345-355,共11页Acta Mathematicae Applicatae Sinica

基　　金：国家自然科学基金(11401556,11471304)资助项目

摘　　要：本文研究了带随机保费率的更新风险模型的有限时间破产概率问题。在强次指数索赔分布的假设下,我们得到了在有限时间t内破产概率的等价式。我们的结果对t≥f(x)一致成立,其中f(x)是一个无穷递增函数,极限过程是初始准备金x趋于无穷。In this paper we investigate the finite time ruin probability in the renewal risk model with dependent random premium rates. Under the assumption of strongly subexpo nential claim distribution, we obtain the tail behaviour of the ruin probability within finite time t, as initial risk reserve x tends to infinity. The asymptotic formula holds uniformly for t ≥ f(x), where f(x) is an infinitely increasing function.

关 键 词：破产概率 更新风险模型 重尾分布 强次指数分布 随机保费率 

分 类 号：O211.3[理学—概率论与数理统计] O213.2[理学—数学]