二维离散时间风险模型的破产概率  

The ruin probability of a two-dimensional discrete-time risk model

作　　者：徐诚浩 王开永[1] XU Chenghao;WANG Kaiyong(School of Mathematical Sciences,Suzhou University of Science and Technology,Suzhou 215009,Jiangsu,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：《山东大学学报(理学版)》2023年第11期27-34,52,共9页Journal of Shandong University(Natural Science)

基　　金：国家自然科学基金资助项目(11971343);教育部人文社科资助项目(18YJC910004);江苏省“333高层次人才培养工程”资助项目。

摘　　要：讨论二维离散时间风险模型,在此模型中,保险公司开展2种业务,每种业务可以进行无风险和有风险的投资,即风险模型具有保险风险和金融风险。重点讨论2种业务的保险风险之间存在Sarmanov联合分布、金融风险之间可以任意相依的情形,在保险风险具有重尾的情况下,给出风险模型有限时破产概率的渐近估计。同时,进行数值模拟验证所得理论结果的精确性。A two-dimensional discrete-time risk model is considered,in which the insurance company operates two kinds of businesses and each business can put their capital into risk-free and risky portfolio.Then the risk model has insurance and financial risks.Under the assumptions that there exists a Sarmanov joint distribution between two kinds of insurance risks and there are no restrictions on the dependence structure of two kinds of financial risks,asymptotic estimates for the finite-time ruin probabilities are obtained when the distributions of insurance risks are heavy-tailed.At the same time,numerical simulation has been carried to verify the accuracy of the results.

关 键 词：二维离散时间风险模型 Sarmanov联合分布 渐近估计 有限时破产概率 

分 类 号：O211.4[理学—概率论与数理统计]