Finite time ruin probabilities and large deviations for generalized compound binomial risk models

被引：2
|
作者：
Hu, YJ [1 ]
机构：
[1] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China
来源：
ACTA MATHEMATICA SINICA-ENGLISH SERIES | 2005年 / 21卷 / 05期
基金：
中国国家自然科学基金;
关键词：
ruin probability; (generalized) compound binomial risk model; large deviations;
D O I：
10.1007/s10114-004-0487-z
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we extend the classical compound binomial risk model to the case where the premium income process is based on a Poisson process, and is no longer a linear function. For this more realistic risk model, Lundberg type limiting results for the finite time ruin probabilities are derived. Asymptotic behavior of the tail probabilities of the claim surplus process is also investigated.
引用
收藏
页码：1099 / 1106
页数：8
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