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本文研究了一类带常利率的,并且索赔过程由进入过程驱动的风险保险模型。在进入过程是一般更新过程以及索赔额是正则尾分布的条件下,得到了当初始资本趋于无穷时,破产概率的渐近行为,类似的结论对于进入过程是齐次泊松过程的情形也同样成立。
This paper studies a class of risk insurance model with a constant interest rate and the claim process driven by the entry process. Under the condition that the entry process is a general update and the claim amount is a regular tail distribution, the asymptotic behavior of bankruptcy probability is obtained when the initial capital tends to infinity. A similar conclusion is also the case of homogeneous Poisson process for the entry process The same holds.