| GCRM模型的精细大偏差 |
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| 引用本文： | 朱宗元,王秋霞,林俊山,时涛.GCRM模型的精细大偏差[J].泰山医学院学报,2006,27(3):205-207. |
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| 作者姓名： | 朱宗元 王秋霞 林俊山 时涛 |
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| 作者单位： | 1. 泰山医学院管理学院,山东,泰安,271000
2. 微山一中,山东,济宁,277600 |
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| 摘 要： | 目的 研究GCRM风险模型的大偏差破产概率。方法 在索赔量分布属于ERV重尾类时，讨论索赔盈余过程尾概率的渐近行为。结果 得到GCRM模型索赔盈余过程{S（t）}的精细大偏差。结论 GCRM模型在索赔量分布属于ERV重尾类时，{S（t）}的尾概率与索赔量尾分布及索赔强度存在渐近关系。
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| 关 键 词： | GCRM模型 精细大偏差 破产概率 |
| 文章编号： | 1004-7115（2006）03-0205-03 |
| 收稿时间： | 2006-04-28 |
| 修稿时间： | 2006年4月28日 |
Precise large deviations for GCRM model |
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| ZHU Zong-yuan,WANG Qiu-xia,LIN Jun-shan,SHI Tao.Precise large deviations for GCRM model[J].Journal of Taishan Medical College,2006,27(3):205-207. |
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| Authors: | ZHU Zong-yuan WANG Qiu-xia LIN Jun-shan SHI Tao |
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| Institution: | 1. management college, Taishan Medical University, Taian 271016 ,China; 2. Weishan middle school No. 1 , Jining 277600 ,China |
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| Abstract: | Objective:To study the large deviations of ruin probability under the GCRM risk model.Methods:Under the assumption that the claims size distribution was heavy-tailed,asymptotic behavior of the tail probabilities of the claim surplus process was investigated.Results:The Precise large deviations of claim surplus process S(t) for GCRM model was obtained.Conclusion:When the claims size distribution is heavy-tailed,there is asymptotic relation between the tail proba- bilities of the claim surplus process and claims size distribution and intensity process. |
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| Keywords: | GCRM risk model precise large deviations ruin probability |
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