Ӧ�ø���ͳ�� 2013, 29(5) 480-488 DOI:      ISSN: 1001-4268 CN: 31-1256

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�ؼ����� Cox����ģ��   ��β�ֲ�   �ɱ䱣��   �Ʋ�����.  
Asymptotic Ruin Probability for Cox Risk Model with Variable Premium Rate and Constant Interest Force
Xu Lin, Wu Liyuan, Zhu Dongjin
School of Mathematics and Computer Science, Anhui Normal University
Abstract:

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 ultimate ruin probability are obtained by
inductive method.

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