上尾渐近独立重尾索赔风险模型的有限时间破产概率的一致渐近性  

Uniform asymptotics of the finite-time ruin probability of risk model with upper tail asymptotically independent and heavy-tailed claims

作　　者：马皓杰 王开永[1] MA Haojie;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）》2022年第3期18-24,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);江苏省“333高层次人才培养工程”资助项目。

摘　　要：讨论了具有相依结构的常利率非标准风险模型,在此模型中,索赔额具有上尾渐近独立结构,索赔到达过程为一般计数过程。当索赔额的分布属于某一重尾分布族时,利用概率极限理论和加权和的方法,得到了这类非标准风险模型的有限时间破产概率的一致渐近公式。This paper discussed a nonstandard risk model with a constant interest rate and a dependence structure,in which the claim sizes formed an upper tail asymptotic independence structure and their claim arrival process was a general counting process.When the distributions of the claim sizes came to a heavy-tailed distribution class,we obtained the uniform asymptotic formula of the finite-time ruin probability of this nonstandard risk model using the probability limit and the weighted sums.

关 键 词：一致渐近 有限时间破产概率 常利率 上尾渐近独立 

分 类 号：O211.4[理学—概率论与数理统计]