Poisson ARCH(1)过程的中偏差及其应用

吉林大学学报(理学版)

Poisson ARCH(1)过程的中偏差及其应用

宇世航

齐齐哈尔大学理学院, 黑龙江齐齐哈尔 161006

收稿日期:2015-01-28 出版日期:2015-09-26 发布日期:2015-09-29
通讯作者: 宇世航 E-mail:qqhrysh@163.com

Moderate Deviation Princilie and Its Applicationfor Poisson ARCH(1) Process

YU Shihang

College of Science, Qiqihar University, Qiqihar 161006, Heilongjiang Province, China

Received:2015-01-28 Online:2015-09-26 Published:2015-09-29
Contact: YU Shihang E-mail:qqhrysh@163.com

摘要/Abstract

摘要：

给出Poisson ARCH(1)过程的中偏差存在形式, 并将Poisson ARCH(1)过程应用到一个离散风险模型中, 利用获得的中偏差结果, 对其有限破产概率进行了渐近等价估算.

关键词: Poisson ARCH(1)过程, 中偏差, 有限破产概率

Abstract:

The author provided the exact forms of moderate deviation for the Poisson ARCH(1) process. In addition, the author used Poisson ARCH(1) process to model the claim frequency in the risk model. With the help of moderate deviation result, the author derived the uniform asymptotic formula for the finitetime ruin probability.

Key words: Poisson ARCH(1) process, moderate deviation principle, finitetime ruin probability

中图分类号:

O212.7

宇世航. Poisson ARCH(1)过程的中偏差及其应用[J]. 吉林大学学报(理学版), 2015, 53(05): 921-924.

YU Shihang. Moderate Deviation Princilie and Its Applicationfor Poisson ARCH(1) Process[J]. Journal of Jilin University Science Edition, 2015, 53(05): 921-924.