| 双投资策略风险模型下破产概率的渐近估计 |
| |
| 引用本文： | 徐天明,吴清太. 双投资策略风险模型下破产概率的渐近估计[J]. 山东大学学报(自然科学版), 2014, 0(1): 92-98 |
| |
| 作者姓名： | 徐天明 吴清太 |
| |
| 作者单位： | 南京农业大学理学院,江苏南京210095 |
| |
| 基金项目： | 国家自然科学基金资助项目（71173109）;中央高校基本科研业务费专项资金项目（Y0201100265） |
| |
| 摘 要： | 保险公司在不同盈余水平下采取不同的投资策略。由伊藤公式和风险中性假设得到总资本盈余过程的表达式,并假设索赔过程属于D族且成对拟渐近独立,最终得到了有限时间破产概率以及最终破产概率的渐近估计,并进行了相应的数值模拟。
|
| 关 键 词： | 连续时间风险模型 双投资策略 破产概率 |
Asymptotic ruin probabilities of a risk model with double investment strategies |
| |
| XU Tian-ming,WU Qing-tai. Asymptotic ruin probabilities of a risk model with double investment strategies[J]. Journal of Shandong University(Natural Science Edition), 2014, 0(1): 92-98 |
| |
| Authors: | XU Tian-ming WU Qing-tai |
| |
| Affiliation: | (College of Science, Nanjing Agricultural University, Nanjing 210095, Jiangsu, China) |
| |
| Abstract: | Insurance companies adopt different strategies under different levels of surplus. The expression of the surplus process was obtained by Itō formula and risk-neutral assumption, and then assuming the claims process belongs to D, and are pair-wise quasi-asymptotically independent. Finally the asymptotic estimations of rain probability in finite-time and infinite-time are obtained and the corresponding numerical simulation has carried on. |
| |
| Keywords: | continuous-time risk model double investment strategies ruin probabilities |
| 本文献已被 维普 等数据库收录！ |
|
