应用数学2017，Vol.30Issue(2)：284-290,7.
一类相依索赔离散风险模型的有限时间破产概率估计
Asymptotic for the Finite-time Ruin Probability of a Discrete-time Risk Model with Dependent Insurance Risks
摘要
Abstract
The finite-time ruin probability of a discrete-time risk model with dependent claims and heavy-tailed claim-innovations is investigated in this paper.The claims are assumed to follow a one-sided linear process with independent and identically distributed innovations.The risk-free and risky investments of an insurer lead to stochastic discount factors,which are independent of the claim-innovations.The premium rate is a constant.When the common distribution of the claim-innovations is heavy-tailed,we establish an asymptotic estimate for the finite-time ruin probability.关键词
相依索赔/单边线性过程/离散时间风险模型/重尾索赔噪声项Key words
Dependent insurance risk/One-sided linear process/Discrete-time risk model/Heavy-tailed claim-innovation分类
数理科学引用本文复制引用
刘荣飞..一类相依索赔离散风险模型的有限时间破产概率估计[J].应用数学,2017,30(2):284-290,7.基金项目
国家自然科学基金(71501025),四川省科技厅应用基础计划项目(2016JY0257) （71501025）
