CAJ | 학술논문

本文研究了一类Cox模型下的理赔为重尾分布时破产概率的渐近估计。假设保费收取费率是Cox计数过程的强度过程的函数，通过更新技巧得到了有限时间破产概率的递推方程和终极破产概率的积分方程，利用归纳递推的方法，得到了终极破产概率的渐近估计。
본문연구료일류Cox모형하적리배위중미분포시파산개솔적점근고계。가설보비수취비솔시Cox계수과정적강도과정적함수，통과경신기교득도료유한시간파산개솔적체추방정화종겁파산개솔적적분방정，이용귀납체추적방법，득도료종겁파산개솔적점근고계。
This paper focuses on ruin probability for Cox model with variable premium rate and constant investment return when the claims have heavy tailed distribution. By considering the “skeleton process” of Cox risk model, a recursive equation for finite time ruin probabilities are derived in terms of “renewal techniques” and asymptotic estimation for finite time ruin probabilities and ul-timate ruin probability are obtained by inductive method.