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总览 评价 李津竹 （ 南开大学数学学院,天津市 300071； ） 摘要： 本文研究一类同时带有主索赔和延迟索赔的风险模型。文章假设主索赔额和延迟索赔额都服从重尾分布,具体而言,都服从正规变化分布。在延迟索赔额有界的条件下,文章得到了带有利率和无利率模型
李津竹
（
南开大学数学学院,天津市 300071； ）
摘要：
本文研究一类同时带有主索赔和延迟索赔的风险模型。文章假设主索赔额和延迟索赔额都服从重尾分布,具体而言,都服从正规变化分布。在延迟索赔额有界的条件下,文章得到了带有利率和无利率模型下的渐近破产概率。值得一提的是,文章的分析方法允许每个主索赔和其延迟索赔之间存在特定的相依结构。
关键词：
概率；渐近；延迟索赔；可忽略联合尾；正规变化；破产
LI Jin-Zhu
（
School of Mathematical Sciences, Nankai University, Tianjin 300071； ）
Abstract：
This paper investigates a kind of risk model in whicheach main claim induces a delayed claim called by-claim. The paperassumes that both main claims and by-claims are heavy tailed, morespecifically, are regularly varying at infinity. Under theassumption that the delay times are bounded, the paper obtains theasymptotic ruin probabilities for both risk models without and withthe constant force of interest. It is worth saying that thetreatment in this paper allows a special dependent structure on eachmain claim and its by-claim.
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