cox风险型的poisson逼近.pdfVIP

摘要 本文在t塑墨堕塑鏖蕉猩{A(t))t0擅匿且有界的情况下，证明 了以{入(眦))￡o为索赔风险强度的Cox风险过程弱收敛于古典风险过 程，进一步我们可以得到Cox风险模型的有限时破产概率及最终破 产概率分别收敛于古典风险模型的相应参数．A为有界平稳独立跳 强度过程是上述情形的一个特例．同时我们应用分析的方法证明了 m…—～———————_——～ 中的一个猜测． ABSTRACT risk with Inthis we thatCox riskin— paperproved processstationary weakly totheclassicalrisk underthe converged process tensity{A(nt))t≥o conditionthatthe risk was and intensity stationary ergodic process{A(￡))￡≥o that finite bounded the timeruin andthe Furthermore，weproved probability ruin tothe of ultimate the probabilityconvergedcorrespondingobjects clas— sicalriskmodel．ThesameconclusionwastrueifAwasbounded stationary was a case．Andwe independentjumpintensity，whichjustspecial proved the the ofCoxrisk con— method，that exponent by analytic Lundberg process of tothe classical whenAwas verged exponent process Lundberg stationary with finite solveda independentjumpintensity states．Thereby，wespe