【摘要】 本文考虑了两类时间相依且带常利率和常值保费收入率的更新风险模型的无限时绝对破产概率,其中索赔额及其到达时间间隔构成独立同分布的随机对列,以及每个随机对遵循某种相依结构.基于此,当索赔额分布属于R-∞∩S(γ),γ≥0分布族时,我们分别得到了两类时间相依结构下的无限时绝对破产概率的渐近公式和渐近上界.更多还原

【Abstract】 In this paper,we consider the infinite-time absolute ruin probabilities in two types of time-dependent renewal risk models with a constant premium rate and a constant interest rate.In the two models,we both assume that the claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs and that each pair obeys some dependence structure.We derive an asymptotic formula and an upper bound for the infinite-time absolute ruin probabilities in the two dependent cases,respectively,with the claim-size distribution belonging to the intersection of the class S(γ),γ≥0,and the class R-∞.更多还原