| 重尾索赔下变保费率干扰风险模型的大偏差 |
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| 引用本文： | 胡学平,陈昱,吴耀华.重尾索赔下变保费率干扰风险模型的大偏差[J].中国科学技术大学学报,2011,41(12). |
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| 作者姓名： | 胡学平 陈昱 吴耀华 |
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| 作者单位： | 1. 中国科学技术大学统计与金融系,安徽合肥230026;安庆师范学院数学与计算科学学院,安徽安庆246133
2. 中国科学技术大学统计与金融系,安徽合肥,230026 |
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| 基金项目： | 国家自然科学基金(10871188,10801124); 安徽省教育厅自然科学基金重点项目(KJ2010A234)资助 |
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| 摘 要： | 考虑一类重尾索赔下变保费率带干扰项的风险模型,当索赔到达过程为一般非负整值过程,索赔额的分布属于重尾分布一致变化族时,利用分析和概率的有关理论得到了索赔剩余过程的精细大偏差,从而推广了文献Wei X,YuJ,Hu Y.Large deviations and finite time ruin probability for perturbed risk with variable premium rate.Acta Mathematical Scientia,2007,27(4):616-623]中有关结论.
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| 关 键 词： | 带干扰风险模型 重尾分布 随机和 精细大偏差 |
Large deviation of perturbed risk model with heavy-tailed claims and variable premium rate |
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| HU Xueping
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CHEN Yu
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WU Yaohua.Large deviation of perturbed risk model with heavy-tailed claims and variable premium rate[J].Journal of University of Science and Technology of China,2011,41(12). |
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| Authors: | HU Xueping CHEN Yu WU Yaohua |
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| Institution: | HU Xueping1,2,CHEN Yu1,WU Yaohua1(1.Department of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China,2.School of Mathematics and Computation Science,Anqing Teachers College,Anqing 246133,China) |
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| Abstract: | A perturbed risk model with variable premium rates and heavy-tailed claims was considered.The precise large deviation for the claim surplus process of this risk model was obtained by means of some relative theories in analysis and probability theory,when the claim process is a nonnegative inter-valued one and the distributions of heavy-tailed claims belong to the consistently varying category.Also,a result in Ref.Wei X,Yu J,Hu Y.Large deviations and finite time ruin probability for perturbed risk with vari... |
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| Keywords: | perturbed risk model heavy-tailed distribution random sums precise large deviation |
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