对于在次指数组下一种离散风险模型破产概率的一致渐近估计

doi:10.3969/j.issn.0253-2778.2017.11.001

中国科学技术大学学报 ›› 2017, Vol. 47 ›› Issue (11): 885-893.DOI: 10.3969/j.issn.0253-2778.2017.11.001

• 研究论文:数学 • 下一篇

对于在次指数组下一种离散风险模型破产概率的一致渐近估计

中国科学技术大学管理学院统计与金融系,安徽合肥,230026

出版日期:2017-11-30 发布日期:2023-05-11

A uniform asymptotic estimate for ruin probability of a discrete-time risk model with subexponential innovations

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

Online:2017-11-30 Published:2023-05-11
Contact: CHEN Yu, PhD/associate Prof. E-mail: cyu@ustc.edu.cn
About author:SHEN Linchuan, female, born in 1994, master. Research field: Limit theory in risk theory. E-mail: linchuan@mail.ustc.edu.cn.
Supported by:
Supported by the National Key Research and Development Plan (2016YFC0800104), National Nature Science Foundation of China (71771203).

摘要/Abstract

摘要： 考虑递归等式T_n=X_n+T_n-1Y_n ,其中X_n和Y_n相互独立,等式右边的T_n-1独立于(X_n,Y_n).假设X_n的分布函数属于次指数族,并且具有非零的下Karamate指数,同时(X_n,Y_n)满足一定的相依结构,对等式中T_n的尾部概率进行了估计.

关键词: 渐近性, 下Karamata指数, 次指数族, 一致性

Abstract: The recursive equation T_n=X_n+T_n-1Y_n was considered, in which X_nand Y_n are two independent random variables, and T_n-1 on the right-hand side is independent of (X_n,Y_n). Under the assumption that X_n follows a subexponential distribution with a nonzero lower Karamata index, and that (X_n,Y_n) fulfills a certain dependence structure, some asymptotic formulas were obtained for the tail probabilities of T_nin this equation.

Key words: asympotics, the lower Karamata index, subexponentiality, uniformly

中图分类号:

O157.4

申林川, 陈昱. 对于在次指数组下一种离散风险模型破产概率的一致渐近估计[J]. 中国科学技术大学学报, 2017, 47(11): 885-893.

SHEN Linchuan, CHEN Yu. A uniform asymptotic estimate for ruin probability of a discrete-time risk model with subexponential innovations[J]. Journal of University of Science and Technology of China, 2017, 47(11): 885-893.

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对于在次指数组下一种离散风险模型破产概率的一致渐近估计

A uniform asymptotic estimate for ruin probability of a discrete-time risk model with subexponential innovations

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