东南大学学报（自然科学版）2012，Vol.42Issue(6)：1243-1248,6.DOI:10.3969/j.issn.1001-0505.2012.06.040
带常利率相依风险模型的有限时破产概率
Finite-time ruin probability of dependent risk model with constant interest rate
摘要
Abstract
In order to obtain the risk measure of a dependent risk model with a constant interest rate, the asymptotic estimates of the finite-time ruin probability are obtained for the above model by using the probability limiting theory and stochastic process. Applying the weighted formula of the finite-time ruin probability, the uniform asymptotics of the weight sums and the way dealing with the dependence structures, the effects of the dependence of the claim sizes, the dependence of the inter-arrival times and the distribution of the claim sizes on the finite-time ruin probability of the risk model with a constant interest rate are investigated. The obtained results show that when the claim sizes have a dominated varying-tailed distribution and a dependence structure similar to the asymptotic independence and the inter-arrival times have a wide dependence structure, the finite-time ruin probability of the risk model with a constant interest rate has some asymptotic properties. These asymptotics have relations with the distribution of the claim sizes, the constant interest rate, the initial capital, and the time range. With the increase in the time range and the claim sizes, the upper and lower bounds of the finite-time ruin probability will increase; with the increase in the constant interest rate and the initial capital, the upper and lower bounds of the finite-time ruin probability will decrease. However, the dependence structures of the claim sizes and the inter-arrival times have little effect on the finite-time ruin probability.关键词
相依风险模型/有限时破产概率/控制变化尾/渐近性Key words
dependent risk model/ finite-time ruin probability/ dominated varying tail/ asymptotics分类
数理科学引用本文复制引用
王开永,林金官..带常利率相依风险模型的有限时破产概率[J].东南大学学报（自然科学版）,2012,42(6):1243-1248,6.基金项目
国家自然科学基金资助项目(11071182,11171065)、国家自然科学基金数学天元基金资助项目(11226211)、江苏省自然科学基金资助项目(BK2012165,BK2011058)、中国博士后科学基金资助项目(2012M520963)、苏州科技学院院科研基金资助项目. （11071182,11171065）
