带有NQD相依索赔的总索赔贴现尾的一致渐近性  

Uniform asymptotics for the tail of the discounted aggregate claims with NQD claim sizes

作　　者：崔永芳 王开永[1] CUI Yongfang;WANG Kaiyong(School of Mathematical Sciences,SUST,Suzhou 215009,China)

机构地区：[1]苏州科技大学数学科学学院,江苏苏州215009

出　　处：《苏州科技大学学报（自然科学版）》2021年第3期24-30,共7页Journal of Suzhou University of Science and Technology（Natural Science Edition）

基　　金：国家自然科学基金资助项目(11401418);教育部人文社科基金项目(18YJC910004);江苏省“333高层次人才培养工程”资助项目。

摘　　要：考虑了一类带有随机收益的风险模型,其中投资组合的价格过程用几何Lévy过程刻画。当索赔额具有一致变化分布时,对于索赔额是负象限相依的情况,得到了总索赔贴现尾的一致渐近性。得到的结论推广了这类风险模型的相关结果。This paper considers a risk model with stochastic return,in which the price process of the investment portfolio is expressed as a geometric Lévy process.When the claim sizes have consistently varied distributions,the uniform asymptotics of the tail of the discounted aggregate claims has been obtained for the negatively quadrant dependent claim sizes,which extends some corresponding results of this risk model.

关 键 词：一致渐近性 总索赔贴现 LÉVY过程 重尾分布 

分 类 号：O211.4[理学—概率论与数理统计]