带有Sarmanov相依结构正则变化尾的金融风险模型的破产概率

doi:10.3969/j.issn.0253-2778.2015.08.002

中国科学技术大学学报 ›› 2015, Vol. 45 ›› Issue (8): 627-632.DOI: 10.3969/j.issn.0253-2778.2015.08.002

带有Sarmanov相依结构正则变化尾的金融风险模型的破产概率

陈昱

中国科学技术大学管理学院统计与金融系,安徽合肥 230026

收稿日期:2015-02-06 修回日期:2015-05-26 出版日期:2015-08-31 发布日期:2015-08-31
作者简介:CHEN Yu (corresponding author), female, born in 1978, PhD/associate Prof. Research field: limit theory in risk theory.

Ruin probability of the Sarmanov structure among finance and insurance risks with regularly varying tails

CHEN Yu

Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China

Received:2015-02-06 Revised:2015-05-26 Online:2015-08-31 Published:2015-08-31
Contact: CHEN Yu

摘要/Abstract

摘要： 研究了一类离散时间保险风险模型，其中，保险风险和金融风险服从多元联合Sarmanov分布，并获得了破产概率的渐近形式.

关键词: 破产概率, Sarmanov分布, 正则变化, 拟渐近独立

Abstract: A discrete-time insurance risk model was considered, in which the insurance risks and financial risks follow jointly multivariate Sarmanov distributions, and the asymptotic formula for ruin probability was obtained.

Key words: ruin probability, Sarmanov distribution, regular varying, quasi-asymptotically independent

陈昱，高文雪. 带有Sarmanov相依结构正则变化尾的金融风险模型的破产概率[J]. 中国科学技术大学学报, 2015, 45(8): 627-632.

CHEN Yu, GAO Wenxue. Ruin probability of the Sarmanov structure among finance and insurance risks with regularly varying tails[J]. Journal of University of Science and Technology of China, 2015, 45(8): 627-632.

带有Sarmanov相依结构正则变化尾的金融风险模型的破产概率

Ruin probability of the Sarmanov structure among finance and insurance risks with regularly varying tails

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