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带利息力的延迟风险模型破产概率的渐近行为

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考虑带利息力的延迟索赔风险模型的渐近行为,利用损失过程的矩母函数和盈余过程的函数性质,得到破产概率的渐近行为,并运用随机模拟的方法验证渐近行为的正确性.
Asymptotic behavior of the ruin probability of a delayed risk model with interest force
Considering the asymptotic behavior of a delayed claim risk model with interest force,the asymptotic behavior of the ruin probability is obtained by using the moment generating function of the loss process and the functional properties of the surplus process.And the correctness of the as-ymptotic behavior is verified by the stochastic simulation method.

delayed claimruin probabilityinterest forcesasymptotic behavior

周欣、严钧

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扬州大学数学科学学院,江苏扬州 225009

延迟索赔 破产概率 利息力 渐近行为

2024

扬州大学学报(自然科学版)
扬州大学

扬州大学学报(自然科学版)

影响因子:0.473
ISSN:1007-824X
年,卷(期):2024.27(6)