| 王开永,林金官,杨洋.多重延迟的关键更新定理及其在风险理论中的应用[J].数学年刊A辑,2015,36(2):217~232 |
| 多重延迟的关键更新定理及其在风险理论中的应用 |
| The Key Renewal Theorem with Multi-delay andApplications to Risk Theory |
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| DOI： |
| 中文关键词: 广义局部次指数分布族, 关键更新定理, 多重延迟, 平稳更新风险模型 |
| 英文关键词:Extensively local subexponential distributions, Key renewal theorem,
Multi-delay, Stationary renewal risk model |
| 基金项目:本文受到国家自然科学基金 (No.11401418, No.11171065, No.71471090), 国家自然科学基金数学天元基金(No.11226211),
中国博士后基金(No.2012M520963) 和江苏省自然科学基金(No.BK2012165)的资助. |
| Author Name | Affiliation | E-mail | | WANG Kaiyong | Corresponding author. School of Mathematics and Physics, Suzhou University
of Science and Technology, Suzhou 215009, Jiangsu, China
Department of
Mathematics, Southeast University, Nanjing 210096, China.Department of Mathematics, Southeast University, Nanjing 210096, China.College of Science, Nanjing Audit University, Nanjing 210029, China. | beewky@163.com | | LIN Jinguan | 东南大学数学系, 南京 210096. | jglin@seu.edu.cn | | YANG Yang | 南京审计学院理学院, 南京 210029. | yyangmath@gmail.com |
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| 中文摘要: |
| 利用广义局部次指数分布族的性质, 讨论了带有多重延迟且Lundberg指数不存在时的关键更新定理, 所得结果包含了重尾和轻尾的情形. 将此结果应用到平稳更新风险模型,
得到了该模型在破产时亏损额分布的局部渐近性质. |
| 英文摘要: |
| Using the properties of the extensively local subexponential distribution class,
the authors investigate the key renewal theorem with multi-delay and without the Lundberg
exponent. The obtained results contain the heavy-tailed and light-tailed cases. Applying
the results to the stationary renewal risk model, the local asymptotics for the distribution
of the deficit at ruin are obtained. |
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