基于进入过程的二维相依风险模型的有限时间破产概率  

Finite-time ruin probability of a bidimensional dependent risk model based on entrance process

作　　者：肖鸿民 王占魁 XIAO Hong-min;WANG Zhan-kui(College of Mathematics and Statistics,Northwest Normal University,Lanzhou 730070,Gansu,China)

机构地区：[1]西北师范大学数学与统计学院,甘肃兰州730070

出　　处：《西北师范大学学报（自然科学版）》2020年第2期38-44,共7页Journal of Northwest Normal University(Natural Science)

基　　金：国家自然科学基金资助项目(71261023)。

摘　　要：讨论基于进入过程的二维风险模型.假设保险公司有两种业务,相同业务的索赔额之间满足上尾渐近独立,不同业务的两计数过程满足一定的相依结构,在索赔分布属于D∩L族的条件下得到了二维相依风险模型有限时间破产的概率渐近表达式.This paper discusses the two-dimensional risk model based on the entry process.Assuming that an insurance company has two kinds of businesses.The claim-size of the same business are upper tail asymptotically independent,and the two counting processes of different business satisfy a certain dependence structure.The asymptotic estimate of ruin probability with finite time is obtained under the condition that the claim distribution belongs to the intersection of the dominated-variation class and the class of long-tailed distributions.

关 键 词：二维风险模型 利息力 上尾渐近独立 破产概率 

分 类 号：O211.4[理学—概率论与数理统计]