带有Sarmanov相依结构正则变化尾的金融风险模型的破产概率（英文）  

Ruin probabilityof the Sarmanov structure amongfinance and insurance risks with regularly varying tails

作　　者：陈昱[1] 高文雪 

机构地区：[1]中国科学技术大学管理学院统计与金融系,安徽合肥230026

出　　处：《中国科学技术大学学报》2015年第8期627-632,664,共7页JUSTC

基　　金：Supported by National Natural Science Foundation of China(10801124)

摘　　要：研究了一类离散时间保险风险模型,其中,保险风险和金融风险服从多元联合Sarmanov分布,并获得了破产概率的渐近形式.A discrete-time insurance risk model was considered,in which the insurance risks and financial risks follow jointly multivariate Sarmanov distributions,and the asymptotic formula for ruin probability was obtained.

关 键 词：破产概率 Sarmanov分布 正则变化 拟渐近独立 

分 类 号：O211[理学—概率论与数理统计] F830.9[理学—数学]