D族分布下带投资的双险种风险模型中的破产概率

摘要

The ruin probability in the two-dimensional renewal risk model is studied, in which the insurance company is allowed to invest a part of wealth in a Black-Scholes market which is described by a geometric Brownian motion.The expression of the wealth process by Itsup6(^(^) formula is given, in the presence of claims with tails of regular varition and pairwise quasi-asymptotic dependence structure for the same type of this model.The asymptotic formula of the ruin probability is analyzed when the claim amount is satisfied with the distribution, and through asymptotic relationship of ruin probability under distribution, the asymptotic formula of the ruin probability with distribution is got.%研究了带投资的双险种更新风险模型中的破产概率.该模型中允许保险公司将其部分盈余投资于满足几何布朗运动的Black-Scholes型资本市场,对此模型假定同一险种索赔额是两两拟渐近独立的,根据Itsup6(^(^)公式得到公司盈余过程的表达式,基于该模型分析了当索赔额满足族分布时破产概率渐近关系式,并由族分布推出族分布下破产概率的渐近关系式.