Study of a risk model based on the entrance process

被引：10

作者：

Li, ZH ^{[1
]}

Zhu, JX ^{[1
]}

Chen, F ^{[1
]}

机构：

[1] Lanzhou Univ, Dept Math, Lanzhou 730000, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2005年 / 72卷 / 01期

基金：

中国国家自然科学基金;

关键词：

insurance risk model; risk process; nonhomogeneous Poisson process; shot noise process; stable random; variable or distribution;

D O I：

10.1016/j.spl.2004.10.028

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we construct a new insurance risk model based on the entrance process and consider the asymptotic behavior of the risk process under the ultimate stability condition on the intensity of the entrance process. We find when the claim size has finite second moment the risk process is asymptotically normal and when the moment condition is dropped the risk process is asymptotically a-stable under additional restriction on the tail probability of the claim size. Our result provides a case in which the weak convergence property of the random sum of dependent and differently distributioned r.v.'s can be tackled. (c) 2004 Elsevier B.V. All rights reserved.

引用

页码：1 / 10

页数：10