| 重尾索赔条件下基于进入过程的保险风险模型的破产概率 |
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| 引用本文： | 肖鸿民,白建明. 重尾索赔条件下基于进入过程的保险风险模型的破产概率[J]. 山东大学学报(理学版), 2010, 45(10): 122-126 |
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| 作者姓名： | 肖鸿民 白建明 |
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| 作者单位： | 1. 西北师范大学数学与信息科学学院,甘肃,兰州,730070
2. 兰州大学管理学院,甘肃,兰州,730000 |
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| 基金项目： | 国家自然科学基金资助项目，西北师范大学科技创新工程资助项目 |
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| 摘 要： | 推广了基于保单进入过程的保险风险模型,构造了允许保单在保期内多次索赔的LIG模型,并在保单进入过程为非齐次Poisson过程,索赔额分布属于S族的条件下,得到了有限时间破产概率的渐近等价表达。
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| 关 键 词： | 保险风险模型 LIG模型 S族 破产概率 |
| 收稿时间： | 2009-06-28 |
Properties of ruin probability for a risk model based on the policy entrance process under heavily-tailed claims |
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| XIAO Hong-min,BAI Jian-ming. Properties of ruin probability for a risk model based on the policy entrance process under heavily-tailed claims[J]. Journal of Shandong University, 2010, 45(10): 122-126 |
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| Authors: | XIAO Hong-min BAI Jian-ming |
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| Affiliation: | 1. College of Mathematics and Information Science, Northwest Normal University, Lanzhou 730070, Gansu,China;2. School of Management, Lanzhou University, Lanzhou 730000, Gansu, China |
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| Abstract: | An insurance risk model based on the policy entrance process, called as LIG model, was constructed. This model allows a policy to claim more than once during its validity-term. Under the basic assumptions of the entrance process is a non-homogeneous Poisson, and the claim size belongs to S, the family of subexponential distributions, an asymptotical equality expression of the finite time ruin probability was obtained. |
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| Keywords: | insurance risk model LIG model class S ruin probability |
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