摘要翻译：
本文研究了具有比例再保险和金融盈余投资的离散风险过程在有限时间内的破产概率。假定单位区间上的总损失有一个轻尾分布--指数分布和一个重尾分布--帕累托分布。由递推方程确定了有限时域5和10的破产概率。此外，对于指数分布，给出了由Lundberg调整系数确定的破产概率的上界。对于Pareto分布，调整系数不存在，因此给出了初始资本趋于无穷大时破产概率的渐近逼近。所得数值结果以表格形式给出，并以图表形式说明。
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英文标题：
《Ruin probability of a discrete-time risk process with proportional
reinsurance and investment for exponential and Pareto distributions》
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作者：
Helena Jasiulewicz, Wojciech Kordecki
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最新提交年份：
2015
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a light-tailed distribution -- exponential distribution and a heavy-tailed distribution -- Pareto distribution. The ruin probability for finite-horizon 5 and 10 was determined from recurrence equations. Moreover for exponential distribution the upper bound of ruin probability by Lundberg adjustment coefficient is given. For Pareto distribution the adjustment coefficient does not exist, hence an asymptotic approximation of the ruin probability if an initial capital tends to infinity is given. Obtained numerical results are given as tables and they are illustrated as graphs.
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