带有扰动项的常利率延迟风险模型的有限时破产概率的渐近估计

摘要

讨论了带有扰动项的常利率延迟相依风险模型,在此模型中,索赔额与索赔来到时间间隔分别具有某一相依结构,且索赔来到时刻构成一个延迟的准更新记数过程.当索赔额的分布属于某一重尾分布族时,文中得到了上述风险模型的有限时破产概率的渐近性质.%This paper investigated a delayed and dependent risk model perturbed by diffusion with a constant interest rate,in which the claim sizes and inter-arrival times have some dependent structures,and the claim arrival times constitute a delayed quasi renewal counting process.When the distribution of the claim sizes is heavy-tailed,the asymptotics of the finite-time ruin probability of the above risk model has been obtained.