徐林, 吴丽媛, 祝东进. 带有常值利息力的可变保费Cox风险模型下破产概率的渐近估计[J]. 应用概率统计, 2013, 29(5): 480-488.
引用本文: 徐林, 吴丽媛, 祝东进. 带有常值利息力的可变保费Cox风险模型下破产概率的渐近估计[J]. 应用概率统计, 2013, 29(5): 480-488.
Xu Lin, Wu Liyuan, Zhu Dongjin. Asymptotic Ruin Probability for Cox Risk Model with Variable Premium Rate and Constant Interest Force[J]. Chinese Journal of Applied Probability and Statistics, 2013, 29(5): 480-488.
Citation: Xu Lin, Wu Liyuan, Zhu Dongjin. Asymptotic Ruin Probability for Cox Risk Model with Variable Premium Rate and Constant Interest Force[J]. Chinese Journal of Applied Probability and Statistics, 2013, 29(5): 480-488.

带有常值利息力的可变保费Cox风险模型下破产概率的渐近估计

Asymptotic Ruin Probability for Cox Risk Model with Variable Premium Rate and Constant Interest Force

  • 摘要: 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.

     

    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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