Full-Text Search：

## The Asymptotic of Finite Time Ruin Probabilities for Risk Model with Variable Interest Rates

Yu Jinyou1,2 Hu Yijun2 Wei Xiao3(1Guanghua School of Management,Peking University,Beijing,100871)(2School of Mathematics and Statistics,Wuhan University,Hubei,430072)(3School of Insurance and CIAS,Central University of Finance and Economics,Beijing,100081)
Consider a discrete time risk model Un=Un-1+Yn)(1+rn)-Xn,n=1,2,…,where U0=x0 is the initial reserve of an insurance company,rn the interest rates,Yn the total amount of premiums,Xn the total amount of claims and Un the reserve at time n.Under some mild conditions on Yn and rn,we obtain the uniform asymptotics relation for the finite time ruin probabilities ψ(x,N)～sum from k=1 to N(FX((1+r1)…(1+rn)x)) as x→∞,where ψ(x,N)=P min 0≤n≤N Un0|U0=x,N≥1,FX(x) is the tail distribution of X1,and the uniformity is with respect to N≥1.
【Fund】： Supported by the National Natural Science Foundation of China(10671149 10801139);; Key Project of Philosophy and Social Sciences Research of the Ministry of Education(07JZD0010)
【CateGory Index】： F224;F840
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
 【References】
 Chinese Journal Full-text Database 1 Hits
 1 CHEN Yu,SU Chun(Dept.of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China);Finite time ruin probability with constant interest force[J];Journal of University of Science and Technology of China;2006-09
 【Co-references】
 Chinese Journal Full-text Database 10 Hits
 1 ;发达国家保险公司破产原因及对我国的启示[J];Insurance Studies;2007-08 2 JIANG Tao (School of Finance,Zhejiang Gongshang Univ.,Hangzhou 310018,China);Insensitivity to negative dependence of the finite time ruin probability for renewal model with constant interest force[J];Applied Mathematics A Journal of Chinese Universities(Ser.A);2009-04 3 SU Chun TANG Qihe & JIANG TaoDepartment of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China;A contribution to large deviations for heavy-tailed random sums[J];中国科学A辑(英文版);2001-04 4 Wu Rong, Wang Guojing (College of Mathematics Science, Nankai University, Tianjin, 300071);SURPLUS DISTRIBUTION OF CLASSICAL RISK PROCESS PERTURBED BY DIFFUSION AT THE TIME OF RUIN[J];JOURNAL OF NANKAI UNIVERSITY;1999-03 5 Cheng Shixue(Information School, Renmin University of China, Beijing, 100872, P. R. China);The Survey for Researches of Ruin Theory[J];Advances In Mathematics;2002-05 6 KONG Fanchao CAO Long WANG Jinliang TANG Qihe*Department of Mathematics, Anhui University, Hefei 230039, China. **Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China.;RUIN PROBABILITIES FOR LARGE CLAIMS IN EQUILIBRIUM RENEWAL MODEL[J];Chinese Annals of Mathematics,series A;2002-04 7 KONG Fanchao CAO Long Department of Mathematics, Anhui University, Heifei 230039, China.;SOME RESULTS ABOUT RUIN PROBABILITY IN RENEWAL RISK MODEL AND DELAYED RENEWAL RISK MODEL[J];Chinese Annals of Mathematics,series A;2003-01 8 JIANG Tao (School of Finance,Zhejiang Gongshang University,Hangzhou 310018,China);Ruin probability for risky investment of insurance capital[J];Journal of Systems Engineering;2008-02 9 CAI ZONG WU (Hang zhou University);RATE OF CONVERGENCE IN THE SLLN FOR DEPENDENT RANDOM VARIABLES[J];Chinese Journal of Applied Probability and Statistics;1989-03 10 JIANG Tao(School of Finance,Nanjing University of Finance and Economics,Nanjing 210003,China);Finite Time Ruin Probability in Erlangian Risk Model with Constant Interest Force[J];Chinese Journal of Management Science;2006-01
Similar Journals
 > Finance and Accounting for International Commerce > Science Technology and Industry > Jiangsu Sciende and Technology Information > Commercial Research > Budget Management & Accounting > Journal of Taiyuan Urban Vocational College > Journal of Yangtze University(Natural Science Edition) Sci & Eng V > World Vision > China Money > Ihome