安徽工程大学学报2012，Vol.27Issue(2)：88-91,4.
带风险投资的有限时间破产概率估计
Estimates of the finite time ruin probability with risky investments
摘要
Abstract
This paper investigates the probability ruin of finite horizon for a discrete time risk model,in which the reserve of an insurance business is invested in a risky asset. This investigation will bring financial risk, accompanied by the individual risk form an independent and identically distributed random pair. The net individual risk is heavy-tailed and the distribution function of financial risk fulfills some con- straints,with a general asymptotic formula for the finite-time ruin probability obtained.关键词
金融风险/个体净风险/FGM分布/亚指数分布Key words
the financial risks/the net individual risk/farlie-gumbel-morgenstern distribution/subexponential distribution分类
数理科学引用本文复制引用
郭红财,王传玉,陈安平..带风险投资的有限时间破产概率估计[J].安徽工程大学学报,2012,27(2):88-91,4.
