共查询到3条相似文献,搜索用时 0 毫秒
1.
Jinxia Zhu 《统计学通讯:理论与方法》2013,42(20):3298-3307
This article is devoted to studying a dual Markov-modulated risk model, which can properly represent, to some extent, surplus processes of companies that pay costs continuously and have occasional gains. We consider both the finite and infnite horizon ruin probabilities under this dual model. Upper and lower bounds of Lundberg type are derived for these ruin probabilities. We also obtain a time-dependent version of Lundberg type inequalities. 相似文献
2.
《随机性模型》2013,29(3):281-297
Abstract This paper investigates the finite time ruin probability in the renewal risk model. Under some mild assumptions on the tail probabilities of the claim size and of the inter-occurrence time, a simple asymptotic relation is established as the initial surplus increases. In particular, this asymptotic relation is requested to hold uniformly for the horizon varying in a relevant infinite interval. The uniformity allows us to consider that the horizon flexibly varies as a function of the initial surplus, or to change the horizon into any nonnegative random variable as long as it is independent of the risk system. 相似文献
3.
Xiaodong Bai 《统计学通讯:理论与方法》2013,42(10):1721-1732
This article deals with the renewal risk model, in which there exists some asymptotic dependence relation between claim sizes and the inter-arrival times, and claim sizes are subexponential. Under this setting, we investigate the tail behaviour of random time ruin probability as the initial risk reserve x tends to infinity. We obtain the similar asymptotic formula as the previous results. 相似文献