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相依风险模型中破产概率的渐近性与统计分析 英文版【2025|PDF|Epub|mobi|kindle电子书版本百度云盘下载】

相依风险模型中破产概率的渐近性与统计分析 英文版
  • 杨洋著 著
  • 出版社： 北京：科学出版社
  • ISBN：9787030479099
  • 出版时间：2016
  • 标注页数：148页
  • 文件大小：23MB
  • 文件页数：160页
  • 主题词：保险业务－破产－风险分析－英文

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图书目录

Preface1

Chapter 1 Introduction1

1.1 Risk process and ruin probabilities4

1.2 C1aim size distributions and claim arrival process7

1.2.1 Claim size and heavy-tailed or light-tailed distributions7

1.2.2 The arrival process10

1.3 The Cramér-Lundberg Estimate12

Chapter 2 Risk Model with no Interest Rate17

2.1 Veraverbeke’s theorem17

2.2 Infinite-time ruin probabilities in two dependent risk models28

2.2.1 Infinite-time ruin probability with modulated claim sizes31

2.2.2 Infinite-time ruin probabilitywith NUQD claim sizes35

2.3 Finite-time ruin probabilities with NLQD inter-arrival times36

2.4 Supremum of a dependent random walk with subexponential imcrements53

Chapter 3 Risk Model with Interest Rate66

3.1 Finite-time ruin probabilities with dominatedly-varying-tailed claim sizes67

3.1.1 Some existing results in the independence case67

3.1.2 Asymptotics and uniform asymptotics for finite-time ruin probabilities in the dependence case69

3.2 Further results on asymptotics and uniform asymptotics for ruin probabilities with dominatedly-varying-tailed claim sizes84

3.3 Finite-time ruin probabilities with subexponential claim sizes in the dependent compound renewal risk model93

3.3.1 Compound renewal risk model and dependence structures93

3.3.2 Finite-time ruin probabilities with subexponential individual claim sizes97

3.3.3 Simulation study107

Chapter 4 Discrete-time Risk Model with Insurance and Financial Risks111

4.1 Randomly weighted sums in the independence case112

4.1.1 Randomly weighted finite sums112

4.1.2 Randomly weighted infinite sums114

4.2 Randomly weighted sums in the dependence case115

4.2.1 Randomly weighted finite sums with dependent primary random variables115

4.2.2 Randomly weighted finite sums with dependence between the primary random variable and the random weight116

4.2.3 Randomly weighted infinite sums with dependent primary random variables128

Bibliography141

编后记148

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