在风险投资下破产概率的一个渐近显式

Explicit Asymptotics for the Ruin Probability with Risky Investment Included*

  • 摘要: 在本文中, 我们研究了一个离散时间风险模型的破产概率\bd 在此风险模型中, 保险公司的剩余资本被用于进行风险投资\bd 我们运用纯概率的手法建立了无限时间破产概率的渐近显式, 从而将Tang和Tsitsiashvili (2003)近期的一个结果推广到了无限时间的场合.

     

    Abstract: In this paper, we investigate the ruin probability of a discrete-time risk model, in which the surplus of an insurance business is currently investedinto a risky asset. Using a purely probabilistic treatment, we establishexplicit asymptotic relations for the infinite-time ruin probabilities,hence we extend a recent result of Tang and Tsitsiashvili (2003) to the infinite-time case.

     

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