变保费率扰动风险模型的有限时间破产概率和大偏差

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Large Deviations and Finite Time Ruin Probability for Perturbed
Risk Model with Variable Premium Rate

Wei Xiao;Yu Jinyou; Hu Yijun

School of Insurance, Central University of Finance and Economics, Beijing 100081

Received:2005-06-12 Revised:2006-04-20 Online:2007-08-25 Published:2007-08-25
Contact: Wei Xiao

Abstract

Abstract: In this paper, the authors consider a perturbed risk model with variable premium rate and heavy-tailed claims. The precise large deviation for the claim surplus process of this risk model is obtained. The Cramer-Lundberg type limiting results for the finite time ruin probability are also given.

Key words: Variable premium rate, Brownian Motion, Perturbed risk model, Precise large deviation, Ruin probability

CLC Number:

60F10

Wei Xiao;Yu Jinyou; Hu Yijun. Large Deviations and Finite Time Ruin Probability for Perturbed
Risk Model with Variable Premium Rate[J].Acta mathematica scientia,Series A, 2007, 27(4): 616-623.

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Large Deviations and Finite Time Ruin Probability for Perturbed
Risk Model with Variable Premium Rate

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Large Deviations and Finite Time Ruin Probability for PerturbedRisk Model with Variable Premium Rate

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Large Deviations and Finite Time Ruin Probability for Perturbed
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