重尾分布S下延迟索赔风险过程的精细大偏差  

The precise large deviations for a delayed-claims risk process of heavy-tailed variables in S

作　　者：肖鸿民 赵弘宇 王占魁 Xiao Hongmin;Zhao Hongyu;Wang Zhankui(College of Mathematics and Statistics,Northwest Normal University,Lanzhou 730070,China)

机构地区：[1]西北师范大学数学与统计学院,兰州730070

出　　处：《河南师范大学学报（自然科学版）》2020年第3期1-5,F0002,共6页Journal of Henan Normal University(Natural Science Edition)

基　　金：国家自然科学基金(71261023)。

摘　　要：讨论了一类非经典风险模型(延迟索赔风险模型)的极限性质.假设主索赔额序列和延迟索赔额序列均是同分布的重尾随机变量序列.在索赔额属于S族的条件下,利用鞅论得到了损失过程的部分和与随机和的精细大偏差.This paper discusses the limit properties of a class of non-classical risk models that is called as delayed-claim risk models.It is assumed that both the main claim amount sequence and the delayed-claim amount sequence are identically distributed heavy-tailed random variable sequences.Under the condition that the claim distrution belongs to S class,the precise large deviation between the partial sum and the random sum of the the prospective-loss process is obtained by using martingale theory.

关 键 词：延迟索赔 S族 停时 精细大偏差 

分 类 号：O211.4[理学—概率论与数理统计]