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随机意外大灾风险模型的破产概率
  • ISSN号：1003-3998
  • 期刊名称：数学物理学报
  • 时间：2012
  • 页码：257-262
  • 分类：O211.3[理学—概率论与数理统计;理学—数学] O213.2[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]中国科学技术大学统计与金融系,合肥230026
  • 相关基金：国家重点基础研究发展计划（2007CB814901）、国家自然科学基金（11171179,11171321）和山东省自然科学基金（ZR2010AQ015）资助
  • 相关项目：极值理论在风险理论中的应用研究
作者： 毕秀春|张曙光|Bi Xiuchun|Zhang Shuguang|
关键词： 破产概率, 更新风险模型, 重尾分布, 广义更新风险模型., Ruin probability, Renewal risk model, Heavy-tailed distribution, Generalized renewal risk model.
中文摘要：

论文针对现实生活中存在非同质性意外大额赔付的情况，在更新风险模型的基础上，进一步建立广义更新风险模型，给出了在有意外大额赔付情况下保险公司破产概率的尾等价式，此结果表明了突如其来的大额索赔可能会导致保险公司破产．

英文摘要：

This paper sets up a generalized renewal risk model based on zhe reality of existing unexpected heavy-tailed claims and gives tail equivalence relationship for the ruin probability, which indicates that unexpected heavy-tailed claims can result in ruin.

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期刊信息
  • 《数学物理学报：A辑》
  • 北大核心期刊（2011版）
  • 主管单位:中国科学院
  • 主办单位:中国科学院武汉物理与数学研究所
  • 主编：李邦河 陈贵强 朱熹平
  • 地址：湖北省武汉市武昌小洪山西路30号武汉71010信箱
  • 邮编：430071
  • 邮箱：actams@wipm.ac.cn
  • 电话：027-87199206
  • 国际标准刊号：ISSN：1003-3998
  • 国内统一刊号：ISSN：42-1226/O
  • 邮发代号:38-214
  • 获奖情况:
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国数学评论（网络版）,德国数学文摘,日本日本科学技术振兴机构数据库,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:5382