伍锦棠, 李效虎. 多元重尾索赔下的渐近有限时间破产概率[J]. 应用概率统计, 2018, 34(1): 21-36. DOI: 10.3969/j.issn.1001-4268.2018.01.003
引用本文: 伍锦棠, 李效虎. 多元重尾索赔下的渐近有限时间破产概率[J]. 应用概率统计, 2018, 34(1): 21-36. DOI: 10.3969/j.issn.1001-4268.2018.01.003
WU JinTang, LI XiaoHu. Asymptotic Finite-Time Ruin Probability for Multivariate Heavy-Tailed Claims[J]. Chinese Journal of Applied Probability and Statistics, 2018, 34(1): 21-36. DOI: 10.3969/j.issn.1001-4268.2018.01.003
Citation: WU JinTang, LI XiaoHu. Asymptotic Finite-Time Ruin Probability for Multivariate Heavy-Tailed Claims[J]. Chinese Journal of Applied Probability and Statistics, 2018, 34(1): 21-36. DOI: 10.3969/j.issn.1001-4268.2018.01.003

多元重尾索赔下的渐近有限时间破产概率

Asymptotic Finite-Time Ruin Probability for Multivariate Heavy-Tailed Claims

  • 摘要: 本文研究进行多线生意的保险公司.在同时面临1阶上象限尾相依重尾索赔的情形下,基于所谓的k-out-of-n破产集, 我们得到Radon测度的显示表达并推导出有限时间内部分支线公司破产时的渐近破产概率.我们给出了具体阐释主要结论的数值例子.

     

    Abstract: This note deals with an insurance company with multiple lines of business. In the context of heavy-tailed heterogeneous claim amounts with the 1st upper-orthant tail dependence, based on the so-called k-out-of-n ruin set, we can exhibit the Radon measure mu and derive the asymptotic ruin probability for some of all lines business to ruin in a finite time. One numerical example is also presented to illustrate our main results.

     

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