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| 离散时间风险模型下有限时间破产概率的近似 | |
| 引用本文： | 宗志迅,李志民,郭红财. 离散时间风险模型下有限时间破产概率的近似[J]. 安庆师范学院学报(自然科学版), 2013, 0(1): 27-30 |
| 作者姓名： | 宗志迅 李志民 郭红财 |
| 作者单位： | 安徽工程大学数学与应用数学学院 |
| 摘 要： | 本文研究离散时间风险模型且个体净风险是重尾的有限时间内破产概率。在考虑利率的个体净风险的分布函数满足一些合理的假设条件下,利用随机变量加权和的概率方法,得到保险公司的有限时间破产概率近似表达式。 |
| 关 键 词： | 个体净风险 重尾分布 亚指数分布 有限时间破产概率 |
Estimates of the Ruin Probability in the Discrete Time Risk Model |
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| ZONG Zhi-xun,LI Zhi-min,GUO Hong-cai. Estimates of the Ruin Probability in the Discrete Time Risk Model[J]. Journal of Anqing Teachers College(Natural Science Edition), 2013, 0(1): 27-30 | |
| Authors: | ZONG Zhi-xun LI Zhi-min GUO Hong-cai |
| Affiliation: | (Coll.of Math.and Phy.,Anhui Polytechnic University,Wuhu,Anhui 241000,China) |
| Abstract: | This paper investigates probabilities of the ruin within finite horizon for a discrete time risk model,in which the net individual risks are heavy-tailed.Under some mild conditions on the distribution functions of the net individual risks with interest factor,and using the probability technology of weighted sums of random variables,we obtain the asymptotical formula for the finite time ruin probability of insurance company. |
| Keywords: | the net individual risks heavy-tailed distribution Subexponential distribution finite time ruin probability |
| 本文献已被 CNKI 等数据库收录！ | |