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题名: A new risk model based on policy entrance process and its weak convergence properties
作者: Li, ZH; Kong, XB
收录类别: SCIE ; EI
出版日期: 2007-05
刊名: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
卷号: 23, 期号:3, 页码:235-246
英文摘要: In this paper, we construct a new risk model based on the policy entrance process. The model is concerned with n kinds of independent policies, and each policy is allowed to claim more than once before it expires. As each kind of policy is issued according to a non-homogeneous Poisson process, the long run behaviour of the new risk process is investigated. When the tail of the claim size distribution is regularly varying, the standardized risk process is proved to converge to a stable law. When each kind of policy is issued according to a homogeneous Poisson process, we also give a diffusion approximation of the new risk process. Copyright (C) 2007 John Wiley & Sons, Ltd.
关键词: risk process ; validity time ; domain of attraction ; weak convergence ; alpha-stable distribution ; regularly varying ; subexponential distribution ; Brownian motion
作者部门: Lanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R China
通讯作者: Kong, XB (reprint author), Lanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R China.
学科分类: Operations Research & Management Science; Mathematics
文章类型: Article
语种: 英语
DOI: 10.1002/asmb.669
ISSN号: 1524-1904
WOS记录号: WOS:000247499100004
EI记录号: 20072610670646
Citation statistics:
内容类型: 期刊论文
URI标识: http://ir.lzu.edu.cn/handle/262010/117935
Appears in Collections:数学与统计学院_期刊论文

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