کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10526304 | 958451 | 2005 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Study of a risk model based on the entrance process
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Study of a risk model based on the entrance process Study of a risk model based on the entrance process](/preview/png/10526304.png)
چکیده انگلیسی
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 α-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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 72, Issue 1, 1 April 2005, Pages 1-10
Journal: Statistics & Probability Letters - Volume 72, Issue 1, 1 April 2005, Pages 1-10
نویسندگان
Zehui Li, Jinxia Zhu, Feng Chen,