常数比例投资下基于进入过程风险模型的渐近破产概率
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摘要：
研究了带投资的基于进入过程多险种的风险模型的破产概率,其中允许保险公司将其资产按常数比例投资于满足几何布朗运动的股票市场,其余部分投资于非负利率的债券市场,假设索赔额分布属于D族且两两拟渐近独立,根据伊藤公式,给出保险公司资产的表达式,最终得到了有限时间的破产概率.
The asymptotic behavior of ruin probabilities was investigated in a risk model based on the policy entrance process,in which the insurance company is allowed to invest a constant fraction of its wealth in a stock market which is described byageometric Brownian motion and the remaining wealth in a bond with nonnegative interest force.For this model,in the presence of pairwise quasi-asymptotically independent and dominant varying tailed claims,the expression of the wealth process was derived by the its formula,and the finite-time ruin probabilities were obtained.
作者：
肖鸿民 何艳
机构地区：
西北师范大学数学与统计学院
出处：
《betway官方app 学报：自然科学版》 CAS 北大核心 2015年第2期14-19,共6页
基金：
国家自然科学基金(71261023)
关键词：
保险风险模型 两两拟渐近独立 D族 几何布朗运动 破产概率
small insurance risk model pairwise quasi-asymptotical independence class D ruin probability
分类号：
O211.4 [理学—概率论与数理统计]
