相依随机保费风险模型的有限时间破产概率

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相依随机保费风险模型的有限时间破产概率毕秀春¹, 张曙光²1. 安徽财经大学统计与应用数学学院, 蚌埠 233030;
2. 中国科学技术大学统计与金融系, 合肥 230026 The Finite-time Ruin Probability in a Dependent Random Premium Rates Risk Model BI Xiuchun¹, ZHANG Shuguang²1. Institute of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233030, China;
2. Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China

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摘要本文研究了带随机保费率的更新风险模型的有限时间破产概率问题.在强次指数索赔分布的假设下，我们得到了在有限时间t内破产概率的等价式.我们的结果对t ≥ f（x）一致成立，其中f（x）是一个无穷递增函数，极限过程是初始准备金x趋于无穷.

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收稿日期: 2012-02-15

PACS:	O211.3
	O213.2

基金资助:国家自然科学基金（11401556，11471304）资助项目.

引用本文:

毕秀春, 张曙光. 相依随机保费风险模型的有限时间破产概率[J]. 应用数学学报, 2019, 42(3): 345-355. BI Xiuchun, ZHANG Shuguang. The Finite-time Ruin Probability in a Dependent Random Premium Rates Risk Model. Acta Mathematicae Applicatae Sinica, 2019, 42(3): 345-355.

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