Erlang风险模型有限时间的破产概率

Erlang风险模型广泛应用于排队论、控制论以及金融风险过程.本文在索赔来到(claim-arrival)为Erlang过程,索赔额服从帕雷托分布以及具有常数利息力度的假设下,得到了有限时间内破产概率的渐近表达公式.该结果实质性地推广了Kluppelberg and Stadtmuller[1]和Tang[2]的结果:前者考虑了无穷时间的破产概率,而后者考虑的过程局限为泊松的.由破产模型与排队模型之间的联系可知,本文的结果在管理科学中有许多应用.

Finite Time Ruin Probability in Erlangian Risk Model with Constant Interest Force

Erlangian risk model is widely used in queueing theory,control theory and finance risk models.Under the assumptions that the claim-arrival follows Erlangian process,the claim-size is Paretian distributed and the constant interest force exists,this paper obtains the asymptotic formula of finite-time ruin probability,that essentially extends the corresponding results of reference^[1] which only deals with ultimate time ruin probability,and reference^[2] which merely limits the model to the Poisson case.By the relationship between ruin model and queueing model we know that the results we obtain can be applied to management science in many aspects.