带常值利息力的更新模型下绝对破产概率的渐近估计

The Asymptotic Estimate of Absolute Ruin Probabilities in the Renewal Risk Model with Constant Force of Interest

  • 摘要: 本文研究一类具有常值利息力的更新风险模型. 对于理赔分布为重尾族类的若干情形, 考虑理赔来到时刻的盈余, 并将盈余过程离散化, 进而利用更新函数和卷积, 得到该模型当盈余趋向于无穷大时有限时间内绝对破产概率的渐近表达式.

     

    Abstract: In this paper, absolute ruin problems for a kind of renewal risk model with constant interest force are studied. For certain situations of the claim distribution with heavy tail, consider the surplus of the arrival time, and discrete the surplus process, then use the method of renewal function and convolution, we present the asymptotic properties of absolute ruin probability when the initial surplus tends to infinity.

     

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