作　　者： (李会杰）; (倪佳林）; (傅可昂）;

机构地区： 浙江工商大学统计与数学学院,浙江杭州310018

出　　处： 《高校应用数学学报（A辑）》 2017年第3期283-294,共12页

摘　　要： 考虑一类二维风险模型,其中两个保险公司共同承担所有的索赔,且每个(主)索赔都会引起一个副索赔.假定两个保险公司均将其资产投资到金融市场中,其投资回报服从几何Levy过程.在索赔分布属于C族以及索赔额与索赔到达时间间隔具有某种相依结构的条件下,对该二维风险模型盈余过程的有限时破产概率进行渐近估计. Consider a bidimensional risk model, in which two insurance companies divide between them the claims in some specified proportions, and every main claim induces a delayed by-claim. Suppose that the surpluses of the two companies are invested into portfolios whose returns follow a geometric Levy process. When the claim-size distribution is consistently-varying tailed, and the inter-arrival time and claim-size follow some dependence structure, asymptotic estimates for the ruin probabilities of this bidimensional risk model are derived.

关 键 词： 二维风险模型 投资回报 副索赔 一致变尾 破产概率