吉林师范大学学报(自然科学版)
吉林師範大學學報(自然科學版)
길림사범대학학보(자연과학판)
JILIN NORMAL UNIVERSITY JOURNAL(NATURAL SCIENCE EDITION)
2015年
2期
73-78
,共6页
胡莎娜%王传玉%周金乐
鬍莎娜%王傳玉%週金樂
호사나%왕전옥%주금악
风险模型%破产概率%次指数分布%非平稳过程%相依索赔
風險模型%破產概率%次指數分佈%非平穩過程%相依索賠
풍험모형%파산개솔%차지수분포%비평은과정%상의색배
risk model%ruin probability%sub-exponential distributions%non-stationary processes%time-correlated
考虑一类相依索赔的二元风险模型,在该模型中假设发生主副两种索赔,主索赔尾部是次指数分布的非平稳到达过程的风险过程,当主索赔次数满足大偏差原理时,获得了主副索赔额均服从次指数分布时的有限水平和无限水平的破产概率与整体尾部的渐进表达式。
攷慮一類相依索賠的二元風險模型,在該模型中假設髮生主副兩種索賠,主索賠尾部是次指數分佈的非平穩到達過程的風險過程,噹主索賠次數滿足大偏差原理時,穫得瞭主副索賠額均服從次指數分佈時的有限水平和無限水平的破產概率與整體尾部的漸進錶達式。
고필일류상의색배적이원풍험모형,재해모형중가설발생주부량충색배,주색배미부시차지수분포적비평은도체과정적풍험과정,당주색배차수만족대편차원리시,획득료주부색배액균복종차지수분포시적유한수평화무한수평적파산개솔여정체미부적점진표체식。
This paper considered a risk model with time-correlated claims,in which it was assumed that every lord claim can randomly produce a delayed claim and lord claim tail is a non-stationary arrival risk process under sub-exponential distributions. We obtained the asymptotic expression of claims that obeys ruin probability and ensemble tail in finite level and infinite level under subexponential distributions when times of lord claim satisfy the large deviation principle.