UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE

doi:10.1016/S0252-9602(10)60070-7

数学物理学报(英文版) ›› 2010, Vol. 30 ›› Issue (3): 688-700.doi: 10.1016/S0252-9602(10)60070-7

UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE

明瑞星, 何晓霞, 胡亦钧, 刘娟

School of Mathematics and Information Sciences, Jiangxi Normal University, Nanchang 330022, China School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China；College of Science, Wuhan University of Science and Technology, Wuhan 430081, China；School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China；Mathematics and Statistics, Hubei Normal University, Huangshi 435002, China

收稿日期:2006-12-19 修回日期:2008-10-07 出版日期:2010-05-20 发布日期:2010-05-20
基金资助:
Partially supported by the National Natural Science Foundation of China (10671149), the Ministry of Education of China, the Natural Science Foundation of Jiangxi (2008GQS0035), and the Foundation of the Hubei Provincial Department of Education (B20091107)

UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE

MING Rui-Xing, HE Xiao-Xia, HU Yi-Jun, LIU Juan

School of Mathematics and Information Sciences, Jiangxi Normal University, Nanchang 330022, China School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China；College of Science, Wuhan University of Science and Technology, Wuhan 430081, China；School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China；Mathematics and Statistics, Hubei Normal University, Huangshi 435002, China

Received:2006-12-19 Revised:2008-10-07 Online:2010-05-20 Published:2010-05-20
Supported by:
Partially supported by the National Natural Science Foundation of China (10671149), the Ministry of Education of China, the Natural Science Foundation of Jiangxi (2008GQS0035), and the Foundation of the Hubei Provincial Department of Education (B20091107)

摘要/Abstract

摘要：

We consider a discrete time risk model in which the net payout (insurance risk){X_k,, k=1,2, …} are assumed to take real values and belong to the heavy-tailed class L ∩ D and the discount factors (financial risk) {Y_k, k=1, 2, …} concentrate on [θ, L], where 0<θ<1, L<∞, {X_k, k=1, 2, …}, and {Y_k, k=1, 2, …} are assumed to be mutually independent. We investigate the asymptotic behavior of the ruin probability within a finite time horizon as the initial capital tends to infinity, and figure out that the convergence holds uniformly for all n≥1, which is different from Tang Q H and Tsitsiashvili G (Adv Appl Prob, 2004, 36: 1278--1299).

关键词: Random interest rate, finite time ruin , probability, uniformity

Abstract:

Key words: Random interest rate, finite time ruin , probability, uniformity

中图分类号:

60K99

明瑞星, 何晓霞, 胡亦钧, 刘娟. UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE[J]. 数学物理学报(英文版), 2010, 30(3): 688-700.

MING Rui-Xing, HE Xiao-Xia, HU Yi-Jun, LIU Juan. UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE[J]. Acta mathematica scientia,Series B, 2010, 30(3): 688-700.

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UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE

UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE

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