位置：成果数据库 > 期刊 > 期刊详情页
The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
  • ISSN号：1005-1031
  • 期刊名称：Applied Mathematics-A Journal of Chinese Universit
  • 时间：2014.6
  • 页码：194-204
  • 分类：O211.1[理学—概率论与数理统计;理学—数学] F840[经济管理—保险]
  • 作者机构：[1]School of Mathematics and Statistics, Nanjing Audit University, Nanjing 211815, China., [2]School of Economics and Management, Southeast University, Nanjing 210096, China, [3]Department of Mathematics, Southeast University, Nanjing 210096, China., [4]College of Mathematics, Physics and Information Engineering, Jiaxing University, Jiaxing 314001, China
  • 相关基金：Supported-by the National Natural Science Foundation of China（l1001052, 11171065, 11326175）, China Postdoctoral Science Foundation （2012M520964）, Natural Science Foundation of Jiangsu Province of China （BK20131339）, Postdoctoral Research Program of Jiangsu Province （1302015C）, Qing Lan Project and Project of Construction for Superior Subjects of Statistics ＆ Audit Science and Technology of Jiangsu Higher Education Institutions.
  • 相关项目：具有复杂相关结构的几类统计模型的理论与应用研究
作者： 杨洋|林金官|Zhong-quan Tan|
关键词： 有限时间破产概率, 保险风险, 金融, 随机向量, 独立同分布, 风险模型, 离散时间, 保险公司, Asymptotics, long-tailed and dominatedly-varying-tailed distribution, financial and insurancerisks, finite-time ruin probability, bivariate Sarmanov distribution.
中文摘要：

考虑一个分离时间的保险风险模型。在时期 i 以内， i 1， X < 潜水艇 class= “ a-plus-plus ” > i 和 Y < 潜水艇 class= “ a-plus-plus ” > i 分别地表示网保险损失和一个保险公司的随机的折扣因素。假定那 {(X < 潜水艇 class= “ a-plus-plus ” > i , Y < 潜水艇 class= “ a-plus-plus ” > i ), i 1 } 形成跟随普通 bivariate Sarmanov 分布的独立、相等分布式的随机的向量的一个序列。面对重尾巴的网保险损失，一个 asymptotic 公式为有限时间的毁灭概率被导出。

英文摘要：

Consider a discrete-time insurance risk model. Within period i, i≥ 1, Xi and Yi denote the net insurance loss and the stochastic discount factor of an insurer, respectively. Assume that {（Xi, Yi）, i≥1） form a sequence of independent and identically distributed random vectors following a common bivariate Sarmanov distribution. In the presence of heavy-tailed net insurance losses, an asymptotic formula is derived for the finite-time ruin probability.

同期刊论文项目
高斯过程及相关随机场之极值的渐近性分析
期刊论文 15
具有复杂相关结构的几类统计模型的理论与应用研究
期刊论文 77 著作 1
同项目期刊论文
COMPLETE MOMENT CONVERGENCE OF MOVING AVERAGE PROCESSES UNDER rho-MIXING ASSUMPTION
基于M估计的线性混合效应模型中方差的齐性检验(英文)
多元t-copula尾相依的单调性(英文)
A wavelet estimator in a nonparametric regression model with repeated measurements under martingale
Strong consistency of estimators in partially linear models for longitudinal data with mixingdepende
The large sample properties of the solutions of general estimating equations
基于M估计的线性混合模型的局部影响分析
基于M估计的具有一致相关线性混合效应模型中相关系数的齐性检验
Bayesian Analysis of Student t Linear Regression with Unknown Change-Point and Application to Stock
时间相依更新风险模型中无限时绝对破产概率的 渐近性
Diagnostics in generalized nonlinear models based on maximum Lg-likelihood estimation
Asymptotic properties of wavelet estimators in semiparametric regression models under dependent erro
SOME NEW RESULTS ON WEIGHTED GEOMETRIC MEAN FOR COPULAS
On estimation of measurement error models with replication under heavy-tailed distributions
Outlier Detection in Adaptive Functional-Coefficient Autoregressive Models Based on Extreme Value Th
Empirical likelihood inference in mixtures of semiparametric varying coefficient EV models for longi
含方程误差的重复测量误差模型参数估计
复合相依离散时风险模型的有限时破产概率
基于估计的线性混合效应模型自相关和随机效应检验
Complete q-order moment convergence of moving average processes under phi-mixing assumptions
Semiparametric regression estimation for longitudinal data in models with martingale difference erro
Testing for the shape parameter of generalized extreme value distribution based on the -likelihood r
Bayesian Inference for Generalized Linear Mixed Model Based on the Multivariate t Distribution in Po
Empirical likelihood for varying-coefficient semiparametric mixed-effects errors-in-variables models
Asymptotics for Tail Probability of Random Sums with a Heavy-Tailed Number and Dependent Increments
基于最大L_q似然估计的广义非线性模型的统计诊断(英文)
Modified maximum spacings method for generalizedextreme value distribution and applicationsin real d
混合效应随机微分方程的贝叶斯分析(英文)
带有常数利息率的相依复合风险模型中有限时破产概率的一致渐近性(英文)
Diagnostics on nonlinear model with scale mixtures ofskew-normal and first-order autoregressive erro
An approximately optimal non-parametric procedure for analyzing exchangeable binary data with random
Wavelet Estimator in Nonparametric RegressionModel with Dependent Error’s Structure
Construction of main effects plans orthogonal through theblock factor based on level permutation
Construction of main-effect plans orthogonal through theblock factor
Diagnostics of Variance of the Error in MixedEffects Linear Models Based on M-estimation
Local Linear Estimation for Spatiotemporal ModelsBased on Least Absolute Deviation
Bayesian variable selection in multinomial probit modelfor classifying high-dimensional data
Two-step estimation of the volatility functions in diffusionmodels with empirical applications
Nonparametric estimation in generalizedvarying-coefficient models based on iterativeweighted quasi-l
Orthogonality-projection-based estimation for semi-varyingcoefficient models with heteroscedastic er
Asymptotics of a wavelet estimator in the nonparametricregression model with repeated measurements u
Uniform tail asymptotics for the aggregate claimswith stochastic discount in the renewal risk models
Generalized variable resolution designs
Heteroscedasticity diagnostics invarying-coefficient partially linear regressionmodels and applicati
非线性回归模型的经验似然诊断
Heteroscedasticity and/or Autocorrelation Checks in Longitudinal Nonlinear Models with Elliptical an
Empirical likelihood inference in mixture of semiparametric varying-coefficient models for longitudi
Dose-Finding Based on Bivariate Efficacy-Toxicity Outcome Using Archimedean Copula
具有高斯过程误差的函数型线性模型的统计诊断(英文)
Empirical Likelihood Estimation for Population Pharmacokinetic Study Based on Generalized Linear Mod
On complete convergence for strong mixing sequences
Orthogonal Arrays Robust to A Specified Set ofNonnegligible Effects
基于广义双曲线分布的我国股票市场VaR风险度量研究
基于MCMC抽样的金融贝叶斯半参数GARCH模型研究
带常利率相依风险模型的有限时破产概率
模糊数据中异常点的一种识别方法
基于M估计的线性混合效应模型中方差的齐性检验
系数为LR型模糊数的模糊回归模型的参数估计
基于模糊Cook距离的模糊线性回归模型的统计诊断
多中心临床试验疗效一致性评价方法
Orthogonal Arrays Robust to a Specified Set of Nonnegligible Effects
基于M估计的非线性纵向数据模型的异常点检验
自然联系函数下自适应设计广义线性模型的渐近性质
Limit laws for the maxima of stationary chi-processes under random index
A note on the almost sure central limit theorem for the product of some partial sums
Estimation and test procedures for composite quantile regression with covariates missing at random&l
Finite-time Ruin Probability of Aggregate Gaussian Processes
Uniform asymptotics for ruin probabilities in a nonstandard compound renewal risk model
The limit theorems for maxima of stationary Gaussian processes with random Index
Piterbarg’s max-discretization theorem for stationary vector Gaussian processes observed on differen
Some Asymptotic Results on Extremes of Shepp Statistics for Gaussian Random Walk
Extremes of Shepp statistics for fractional Brownian motion
关于高斯随机游动之Shepp统计量的极值的一些渐近结果（英文）
Maxima and sum for discrete and continuous time Gaussian processes
离散与连续时间强相依高斯过程最大值与和的渐近关系
期刊信息
  • 《高校应用数学学报：英文版（B辑）》
  • 主管单位: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：杭州玉泉浙江大学数学系
  • 邮编：310027
  • 邮箱：amjcu B@eju.edu.cn
  • 电话：0571-87951602
  • 国际标准刊号：ISSN：1005-1031
  • 国内统一刊号：ISSN：33-1171/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,荷兰文摘与引文数据库,美国科学引文索引（扩展库）
  • 被引量:26