重尾索赔条件下基于进入过程的保险风险模型的破产概率

J4 ›› 2010, Vol. 45 ›› Issue (10): 122-126.

• 论文 • 上一篇

重尾索赔条件下基于进入过程的保险风险模型的破产概率

肖鸿民1，白建明2*

1.西北师范大学数学与信息科学学院, 甘肃兰州 730070；
2.兰州大学管理学院, 甘肃兰州 730000

收稿日期:2009-06-28 出版日期:2010-10-16 发布日期:2010-10-19
通讯作者: 白建明(1966-),男,副教授，博士，主要研究方向为应用随机过程.
作者简介:肖鸿民(1967-),女,副教授,博士,主要研究方向为概率极限理论与保险数学.Email: xiaohm9@126.com
基金资助:
国家自然科学基金资助项目(10861087); 西北师范大学科技创新工程资助项目(NWNUKJCXGC-03-52)

Properties of ruin probability for a risk model based on the policy entrance process under heavily-tailed claims

XIAO Hong-min1, BAI Jian-ming2*

1. College of Mathematics and Information Science, Northwest Normal University, Lanzhou 730070, Gansu,China;
2. School of Management, Lanzhou University, Lanzhou 730000, Gansu, China

Received:2009-06-28 Online:2010-10-16 Published:2010-10-19

摘要/Abstract

摘要：

推广了基于保单进入过程的保险风险模型, 构造了允许保单在保期内多次索赔的LIG模型, 并在保单进入过程为非齐次Poisson过程, 索赔额分布属于S族的条件下, 得到了有限时间破产概率的渐近等价表达。

关键词: 保险风险模型; LIG模型; S族; 破产概率

Abstract:

An insurance risk model based on the policy entrance process, called as LIG model, was constructed. This model allows a policy to claim more than once during its validity-term. Under the basic assumptions of the entrance process is a non-homogeneous Poisson, and the claim size belongs to S, the family of subexponential distributions, an asymptotical equality expression of the finite time ruin probability was obtained.

Key words: insurance risk model; LIG model; class S; ruin probability

肖鸿民1，白建明2*. 重尾索赔条件下基于进入过程的保险风险模型的破产概率[J]. J4, 2010, 45(10): 122-126.

XIAO Hong-min1, BAI Jian-ming2*. Properties of ruin probability for a risk model based on the policy entrance process under heavily-tailed claims[J]. J4, 2010, 45(10): 122-126.

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重尾索赔条件下基于进入过程的保险风险模型的破产概率

Properties of ruin probability for a risk model based on the policy entrance process under heavily-tailed claims

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