摘要
在本文中,我们研究了一个离散时间风险模型的破产概率．在此风险模型中,保险公司的剩余资本被用于进行风险投资．我们运用纯概率的手法建立了无限时间破产概率的渐近显式, 从而将Tang和Tsitsiashvili(2003)近期的一个结果推广到了无限时间的场合．
In this paper, we investigate the ruin probabilitY of a discrete-time risk model, in which the surplus of an insurance business is currently invested into a risky asset. Using a purely probabilistic treatment, we establish explicit asymptotic relations for the infinite-time ruin probabilities, hence we extend a recent result of Tang and Tsitsiashvili （2003） to the infinite-time case.
出处
《应用概率统计》
CSCD
北大核心
2006年第2期151-158,共8页
Chinese Journal of Applied Probability and Statistics
基金
This work was supported by the Guangdong Natural Science Foundation(Project No.980415)
关键词
渐近式
正则变化
破产概率
随机方程
Asymptotics, regular variation, ruin probability, stochastic equation
