科研之友
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摘要
Let us consider a discrete-time insurance risk model with insurance and financial risks, where the insurance net loss within period i and the stochastic discount factor over the interval ( i - 1, i] follow a certain dependence structure for each fixed i >= 1. Under the assumption that the distribution of net insurance loss within one time period is consistently varying-tailed, precise estimates for finite and infinite time ruin probabilities are derived. Furthermore, these estimates are uniform on the time horizon.
- 出版日期2015-11-17
- 单位东南大学; 南京审计大学
