《山东大学学报(理学版)》 ›› 2023, Vol. 58 ›› Issue (11): 27-34, 52.doi: 10.6040/j.issn.1671-9352.0.2022.370
徐诚浩(
),王开永*()
Chenghao XU(),Kaiyong WANG*()
摘要：
讨论二维离散时间风险模型, 在此模型中, 保险公司开展2种业务, 每种业务可以进行无风险和有风险的投资, 即风险模型具有保险风险和金融风险。重点讨论2种业务的保险风险之间存在Sarmanov联合分布、金融风险之间可以任意相依的情形, 在保险风险具有重尾的情况下, 给出风险模型有限时破产概率的渐近估计。同时, 进行数值模拟验证所得理论结果的精确性。
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