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《Chinese Journal of Applied Probability and Statistics》 2010-01
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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
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【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
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