带投资收益的更新风险模型的渐近分析及其应用研究金融学专业论文.docxVIP

ABSTRACTprecise ABSTRACT precise large deviations of the present value of the claim under the framework of the heavy-tailed integrated risk model．In addition．we analyse various factors which have impacts surplus processes in this model with simulation．Finally,we apply the the- oretical results to the risk measure and the optimal investment strategy．The details follows： In chapter 1，we state research background and research significance．we demon- strate the rationality and feasibility of the subject selection from the perspective of models and problems．After briefly describing the research context and research status of risk models，the main content of this dissertation proposed． In chapter 2，we give the preliminary knowledge which is necessary for the main result of the dissertation．It mainly the following aspects．The first is relevant theory about IAvy process，containing K州(hinchine representation theorem，IMvy- It6 decomposition，classification of IAvy processes，It6 formula of I_石vy processes and stochastic exponential and on．Secondly,we introduce the definition and classifica- tion of heavy-tailed distributions，especially including properties of the subexponential distribution class，the dominant variation class and the regular variation class． In chapter 3，we study the uniformly asymptotic estimation of the finite time ruin probability in the hea州ailed integrated risk model with time dependent structure． Firstly,the integrated risk model is introduced，which asslunes that insurance compa- ny invests its reserve both in bond and in stock under constant mix strategy．The risky asset is modelled by exponential Kvy process and the bond brings constant interest rate．Secondly,Specific dependence structure is imposed on claim sizes and corresponding inter-arrival times，and its rationality is verified under common copula structures．Then，assuming claim sizes belong to￡n D，uniformly asymptotic estima- tion of the finite time ruin probabifity are obtained under the pure risk inv