| 有限次索赔时间间隔服从不同分布的复合更新风险模型下的破产概率 |
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| 引用本文： | 张雯.有限次索赔时间间隔服从不同分布的复合更新风险模型下的破产概率[J].湖北大学学报(自然科学版),2009,31(4):347-351. |
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| 作者姓名： | 张雯 |
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| 作者单位： | 湖北大学数学与计算机科学学院; |
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| 基金项目： | 湖北省教育厅优秀中青年人才项目(Q20071002)资助 |
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| 摘 要： | 讨论了更具一般意义的复合更新风险模型下的破产概率，在假定索赔分布属于重尾分布族和服从不同分布的索赔时间间隔为有限的前提下，得到了所期望的破产概率的尾等价式．这一结果恰与经典的Cramfir-Lunderg模型下的结论一致．
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| 关 键 词： | 重尾分布 破产概率 更新过程 复合更新风险模型 |
Ruin probabilites for limited inter-occurrence times of large claims that have different distributions in compound renewal risk model |
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| ZHANG Wen.Ruin probabilites for limited inter-occurrence times of large claims that have different distributions in compound renewal risk model[J].Journal of Hubei University(Natural Science Edition),2009,31(4):347-351. |
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| Authors: | ZHANG Wen |
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| Institution: | School of Mathematics and Computer Science;Hubei University;Wuhan 430062;China |
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| Abstract: | This paper discussed ruin probability in more general compound renewal risk model. On the assumption that claims size belonged to the heavy-tailed class and the int times which had different distributions were limited, it got a desired tail-equivalence relationship of ruin probability, which was surprisingly in accordance with all that proved in classical Cramér-Lundberg model. |
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| Keywords: | heavy-tailed distribution ruin probability renewal process compound renewal risk model |
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