数学物理学报 ›› 2009, Vol. 29 ›› Issue (3): 669-676.

• 论文 • 上一篇    下一篇

负相协更新门限超出概率与红利干扰模型中破产概率的渐近估计

  

  1. (1. 南京审计学院数学与统计学院 |南京 210029|2. 苏州大学数学科学学院 苏州 215006)
  • 收稿日期:2007-03-08 修回日期:2008-07-30 出版日期:2009-06-25 发布日期:2009-06-25
  • 基金资助:

    国家自然科学基金(10671139)和江苏省高校自然科学指导性项目(06KJD110092)资助

Asymptotic Estimate for the Probability of an Exceedance over Negatively Associated Renewal Thresholds and the Ruin Probability in Dividend Barrier Models

  1. (1. School of Mathematics and Statistics, Nanjing Audit University, Nanjing 210029|2. Department of Mathematics, Soochow University, Suzhou 215006)
  • Received:2007-03-08 Revised:2008-07-30 Online:2009-06-25 Published:2009-06-25
  • Supported by:

    国家自然科学基金(10671139)和江苏省高校自然科学指导性项目(06KJD110092)资助

摘要:

该文中, 作者得到了负相协更新门限超出概率的渐近估计, 其推广了 Robert(2005)[12] 中的相应结果. 进而通过新的方法, 得到了红利干扰模型中破产概率的渐近估计的严格证明.

关键词: 负相协, 极大值, 停时, 重尾分布, 红利干扰模型, 破产概率

Abstract:

In this paper, we obtain an asymptotic estimate for the probability of an exceedance over negatively associated renewal thresholds, which extends the corresponding result of Robert (2005)[12]. Furthermore, using a new method, we also derive a more rigorous proof of the
asymptotics for the ruin probability in dividend barrier models.

Key words: Negatively Associated, Maximum, Stopping time, Heavy-tailed distribution, Dividend barrier model, Ruin probability

中图分类号: 

  • 60G70