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个人信息Personal Information
副教授
硕士生导师
性别：女
毕业院校：浙江大学
学位：博士
所在单位：数学科学学院
学科：概率论与数理统计. 金融数学与保险精算
办公地点：数学楼607
联系方式：xshen@dlut.edu.cn
电子邮箱：xshen@dlut.edu.cn
论文成果
当前位置: xinmeishen >> 科学研究 >> 论文成果Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
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论文类型：期刊论文
发表时间：2013-07-01
发表刊物：STATISTICS & PROBABILITY LETTERS
收录刊物：SCIE、Scopus
卷号：83
期号：7
页面范围：1787-1799
ISSN号：0167-7152
关键字：Ruin probability; Two-dimensional; Extended regular variation distributions
摘要：This paper considers a two-dimensional discrete time risk model with constant interest rates, and individual net losses in ERV (-alpha, -beta), the class of extended regular variations with indices 0 < alpha <= beta < infinity. Some asymptotic results for both finite-time and infinite-time ruin probabilities under two types of ruin times are established. The two components of net losses are allowed to be generally dependent. (c) 2013 Published by Elsevier B.V.