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D族相依理赔下依时更新风险模型破产概率的渐近估计
  • ISSN号：1000-4424
  • 期刊名称：高校应用数学学报a辑
  • 时间：2013.9.15
  • 页码：277-286
  • 分类：O211.4[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]浙江工商大学统计与数学学院,浙江杭州310018, [2]浙江财经大学数学与统计学院,浙江杭州310018
  • 相关基金：国家自然科学基金（11201422;11301481;70871103）; 浙江省自然科学基金（Y6110639;LQ12A01017;LQ12A01018）; 全国统计科学研究计划（2012LY174）; 浙江省高校人文社科重点研究基地（统计学）; 浙江省统计局2013年度统计学术类课题
  • 相关项目：线性约束矩阵最小二乘问题的解及稳定性研究
作者： 裘渔洋|李杰|傅可昂|
关键词： 控制变化尾, 上尾独立, 依时更新风险模型, 破产概率, Dominatedly varying tails, Upper tail independent, Time-dependent renewal risk model, Ruin probability
中文摘要：

考虑一非标准更新风险模型,其中理赔额与其等待时间构成一个同分布的非负随机向量序列,且每个随机向量内部具有某种相依结构.在理赔额为上尾独立的D族随机变量的假定下,建立了盈余过程有限时和无限时破产概率的渐近估计.

英文摘要：

Consider a continuous-time renewal risk model,in which the claim sizes and interarrival times form a sequence of identically distributed random pairs,with each pair obeying a dependence structure.Supposing that the claim sizes form a sequence of bivariate upper tail independent random variables with dominatedly varying tails,asymptotic estimates for the finite-time and infinite-time ruin probabilities of the surplus process are obtained.

同期刊论文项目
线性约束矩阵最小二乘问题的解及稳定性研究
期刊论文 15
长记忆重尾数据的若干极限定理及其应用研究
期刊论文 5
保险精算中有关相依风险的若干问题
期刊论文 24 会议论文 1
　重尾时间序列模型的统计分析及其金融应用
期刊论文 3
　线性约束矩阵最小二乘问题的一种新方法论
期刊论文 6
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期刊信息
  • 《高校应用数学学报：A辑》
  • 北大核心期刊（2011版）
  • 主管单位:国家教育部
  • 主办单位:浙江大学 中国工业与应用数学学会
  • 主编：林正炎 李大潜
  • 地址：杭州市玉泉浙江大学数学系
  • 邮编：310027
  • 邮箱：amjcu@zjy.edu.cn
  • 电话：0571-87951602
  • 国际标准刊号：ISSN：1000-4424
  • 国内统一刊号：ISSN：33-1110/O
  • 邮发代号:
  • 获奖情况:
  • 国内外数据库收录:
  • 美国数学评论（网络版）,德国数学文摘,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:3669