Ruin probability and local ruin probability in the random multi-delayed renewal risk model

Gao QW; Wang YB

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Ruin probability and local ruin probability in the random multi-delayed renewal risk model

机译：随机多延迟更新风险模型中的破产概率和局部破产概率

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摘要

This paper gives asymptotic behavior of ruin probability and local ruin probability in the random multi-delayed renewal risk model. The former involves both the heavy-tailed claim case and the light-tailed claim case, while the latter only needs to discuss the heavy-tailed claim case.

机译：给出了随机多延迟更新风险模型的破产概率和局部破产概率的渐近行为。前者涉及重尾索赔案件和轻尾索赔案件，而后者只需要讨论重尾索赔案件。

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《Statistics & Probability Letters》 |2009年第5期|共9页
作者
Gao QW; Wang YB;
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原文格式 PDF
正文语种 eng
中图分类概率论（几率论、或然率论）;
关键词
RANDOM-WALK; RANDOM-VARIABLES; TAILS; DISTRIBUTIONS; ASYMPTOTICS; MAXIMUM; SUMS;

机译：随机游走;随机变量;尾巴;分布;渐近;最大;和;

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专利

1. Ruin probability and local ruin probability in the random multi-delayed renewal risk model [J] . Gao QW, Wang YB Statistics & Probability Letters . 2009,第5期

机译：随机多延迟更新风险模型中的破产概率和局部破产概率
2. RANDOM TIME RUIN PROBABILITY FOR THE RENEWAL RISK MODEL WITH HEAVY-TAILED CLAIMS [J] . Yuebao Wang, Qingwu Gao, Kaiyong Wang, Journal of industrial and management optimization . 2009,第4期

机译：带有重定额索赔的更新风险模型的随机时间破产概率
3. A Local Asymptotic Behavior for Ruin Probability in the Renewal Risk Model [J] . MING Ruixing, MODIBO Diarra, HU Yijun Wuhan University Journal of Natural Sciences . 2007,第3期

机译：更新风险模型中破产概率的局部渐近行为
4. Local Ruin Probability in the two stage-delayed Renewal Risk Model Under Heavy-tailed Claims [C] . Chun YAN, Wei LIU 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)论文集 . 2008

机译：重尾索赔下两阶段延迟更新风险模型中的局部破产概率
5. Renewal risk processes with stochastic returns on investments: A unified approach and analysis of the ruin probabilities. [D] . Constantinescu, Corina D. 2006

机译：具有随机投资回报的更新风险过程：统一的方法和破产概率的分析。
6. Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns [O] . Yinghua Dong, Dingcheng Wang -1

机译：具有随机收益的二维非标准更新风险模型中破产概率的一致渐近性
7. Phase-type approximations to finite-time ruin probabilities in the Sparre Andersen and stationary renewal risk models [O] . Stanford, David, Avram, Florin, Badescu, Andrei, 2005

机译：Sparre Andersen模型和固定更新风险模型中有限时间毁坏概率的相位类型近似

Ruin probability and local ruin probability in the random multi-delayed renewal risk model

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