# [1]王开永,林金官.带常利率相依风险模型的有限时破产概率[J].东南大学学报(自然科学版),2012,42(6):1243-1248.[doi:10.3969/j.issn.1001-0505.2012.06.040] 　Wang Kaiyong,Lin Jinguan.Finite-time ruin probability of dependent risk model with constant interest rate[J].Journal of Southeast University (Natural Science Edition),2012,42(6):1243-1248.[doi:10.3969/j.issn.1001-0505.2012.06.040] 点击复制 带常利率相依风险模型的有限时破产概率() 分享到： var jiathis_config = { data_track_clickback: true };

42

2012年第6期

1243-1248

2012-11-20

## 文章信息/Info

Title:
Finite-time ruin probability of dependent risk model with constant interest rate

1 东南大学数学系, 南京 210096; 2 苏州科技学院数理学院, 苏州 215009
Author(s):
1 Department of Mathematics, Southeast University, Nanjing 210096, China
2 School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou 215009, China

Keywords:

O211.4
DOI:
10.3969/j.issn.1001-0505.2012.06.040

Abstract:
In order to obtain the risk measure of a dependent risk model with a constant interest rate, the asymptotic estimates of the finite-time ruin probability are obtained for the above model by using the probability limiting theory and stochastic process. Applying the weighted formula of the finite-time ruin probability, the uniform asymptotics of the weight sums and the way dealing with the dependence structures, the effects of the dependence of the claim sizes, the dependence of the inter-arrival times and the distribution of the claim sizes on the finite-time ruin probability of the risk model with a constant interest rate are investigated. The obtained results show that when the claim sizes have a dominated varying-tailed distribution and a dependence structure similar to the asymptotic independence and the inter-arrival times have a wide dependence structure, the finite-time ruin probability of the risk model with a constant interest rate has some asymptotic properties. These asymptotics have relations with the distribution of the claim sizes, the constant interest rate, the initial capital, and the time range. With the increase in the time range and the claim sizes, the upper and lower bounds of the finite-time ruin probability will increase; with the increase in the constant interest rate and the initial capital, the upper and lower bounds of the finite-time ruin probability will decrease. However, the dependence structures of the claim sizes and the inter-arrival times have little effect on the finite-time ruin probability.

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