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国家自然科学基金(11171101): 作品数：18被引量：43H指数：5; 导出分析报告; 相关作者：杨向群周杰明欧辉李应求莫晓云更多>>; 相关机构：湖南师范大学湖南财政经济学院长沙理工大学湖南大学更多>>; 相关期刊：《Acta Mathematicae Applicatae Sinica》《应用概率统计》《Acta Mathematica Scientia》《中国科学院大学学报（中英文）》更多>>; 相关主题：英文DIVIDEND再保险分红MARKOV链更多>>; 相关领域：理学经济管理更多>>

A Joint Laplace Transform for Pre-exit Diffusion of Occupation Times被引量：6: 《Acta Mathematica Sinica,English Series》2017年第4期509-525,共17页Ye CHEN Xiang Qun YANG Ying Qiu LI Xiao Wen ZHOU; Supported by NSFC(Grant Nos.11171101,11171044,11571052 and 11671132);Key Laboratory of High Performance Computing and Stochastic Information Processing(HPCSIP);Education Ministry of China,Hu’nan Normal University;Natural Science Foundation of Hu’nan Province(Grant No.2016JJ4061);Scientific Research Pro ject of Hu’nan University of Arts and Science(Grant No.15ZD05); For a < r < b, the approach of Li and Zhou(2014) is adopted to find joint Laplace transforms of occupation times over intervals(a, r) and(r, b) for a time homogeneous diffusion process before it first exits from eithe...; 关键词：Laplace transform occupation time time-homogeneous diffusion exit time Brownian motion with alternating drift skew Brownian motion

The mean correcting martingale measures for exponential additive processes: 《Applied Mathematics(A Journal of Chinese Universities)》2016年第1期81-88,共8页YAO Luo-gen YANG Gang YANG Xiang-qun; Supported by the Foundation for Innovative Research Groups of the National Natural Science Foundation of China(71221061);National Natural Science Foundation of China(11171101);National Social Science Fund of China(11BTJ011;15BJY122);Social Sciences Foundation of Ministry of Education of China(12YJAZH173);Aid program for Science and Technology Innovative Research Team in Higher Educational Institutions of Hunan Province; The mean correcting martingale measure for the stochastic process defined as the exponential of an additive process is constructed. Necessary and sufficient conditions for the existence of mean correcting martingale a...; 关键词：Mean correcting martingale measure additive processes option pricing.

基于MAP风险模型的最优分红问题研究: 《数学物理学报（A辑）》2016年第1期176-186,共11页陈旭杨向群; 国家自然科学基金(11401204,11171101)资助~~; 在保险公司财务核算和分红均发生在随机时间点的假设条件下,讨论保险公司的最优分红问题.假设保险公司的盈余过程是经过MAP(马氏到达过程)的相过程调制的复合泊松过程,保险公司对盈余过程的观测和分红都发生在MAP的跳点上,以最大化期望...; 关键词：折现分红总量随机观察 MAP 贝尔曼方程

通胀风险下的鲁棒最优投资组合与再保险问题研究（英文）被引量：6: 《应用概率统计》2016年第1期89-100,共12页欧辉黄娅杨向群周杰明; supported by the National Natural Science Foundation of China(11171101,11571189);the Construct Program of the Key Discipline in Hunan Province; 本文研究了一个保险公司带通胀风险的鲁棒最优投资组合与再保险问题,其中保险公司对模型不确定性是含糊厌恶的.我们假设保险公司不仅可以购买比例再保险,还可以在风险资产和无风险资产中进行投资.在模型不确定性框架中,本文的优化目标...; 关键词：鲁棒控制幂效用投资组合再保险通胀

OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT FOR A CONSTANT ELASTICITY OF VARIANCE MODEL UNDER VARIANCE PRINCIPLE被引量：5: 《Acta Mathematica Scientia》2015年第2期303-312,共10页周杰明邓迎春黄娅杨向群; supported by the NSFC(11171101); This article studies the optimal proportional reinsurance and investment problem under a constant elasticity of variance （CEV） model. Assume that the insurer＇s surplus process follows a jump-diffusion process, the ...; 关键词：Constant elasticity of variance Hami!ton-Jacobi-Bellman equation jump-diffusion process exponential utility REINSURANCE

Optimal Dividend Strategy in Compound Binomial Model with Bounded Dividend Rates被引量：7: 《Acta Mathematicae Applicatae Sinica》2014年第4期859-870,共12页Ji-yang TAN Xiang-qun YANG; Supported by the National Natural Science Foundation of China(No.61272294,11171101);Hunan Provincial Natural Science Foundation of China(14JJ2069); We consider the compound binomial model, and assume that dividends are paid to the shareholders according to an admissible strategy with dividend rates bounded by a constant.The company controls the amount of dividend...; 关键词：compound binomial model optimal dividend strategy TRANSFORMATION

变化环境中带有随机控制函数的受控分枝过程的收敛速度(英文)被引量：5: 《中国科学院大学学报（中英文）》2014年第2期160-164,共5页方亮杨向群李应求; Supported by NSFC of China(11171101,11171044);Key Laboratory of High Performance Computing and Stochastic Information Processing(HPCSIP,Hunan Normal University)(Ministry of Education of China);Open Fund Project of Key Research Institute of Philosophies and Social Sciences in Hunan Universities(12FEFM06);Hunan Provincial Natural Science Foundation of China(11JJ2001,13JJ6048);Research Fund for Doctoral Program of Higher Education of China(20104306110001);Planned Science and Technology Project of Hunan Province(2010fj 6036,2009fi3098);Scientific Research Fund of Hunan Provincial Education Department(12C0027,08C120,09C113,09C059); 研究变化环境中带有随机控制函数的受控分枝过程经过正规化后极限的收敛速度.; 关键词：受控分枝过程随机控制函数变化环境

EXPECTED PRESENT VALUE OF TOTAL DIVIDENDS IN THE COMPOUND BINOMIAL MODEL WITH DELAYED CLAIMS AND RANDOM INCOME被引量：8: 《Acta Mathematica Scientia》2013年第6期1639-1651,共13页周杰明莫晓云欧辉杨向群; supported by the NSFC(11171101);Doctoral Fund of Education Ministry of China(20104306110001);the Graduate Research and Innovation Fund of Hunan Province(CX2011B197); In this paper, a compound binomial model with a constant dividend barrier and random income is considered. Two types of individual claims, main claims and by-claims, are defined, where every by-claim is induced by the...; 关键词：compound binomial model main claim by-claim DIVIDEND random income

Option Pricing by Mean Correcting Method for Non-Gaussian Lvy Processes: 《Acta Mathematica Sinica,English Series》2013年第10期1927-1938,共12页Luo Gen YAO Gang YANG Xiang Qun YANG; Supported by National Natural Science Foundation of China(Grant No.11171101);National Social Science Fund of China(Grant No.11BTJ011);Research Projects of Humanities and Social Sciences Foundation of Ministry of Education of China(Grant No.12YJAZH173)1); For a non-Gaussian Levy model, it is shown that if the model exists a trivial arbitrage-free interval, option pricing by mean correcting method is always arbitrage-free, and if the arbitrage-free interval is non-trivi...; 关键词：Non-Gaussian Levy processes mean correcting method option pricing

确定环形Markov链的Q-矩阵被引量：1: 《数学学报（中文版）》2013年第5期735-750,共16页向绪言杨向群邓迎春; 国家自然科学基金资助项目(11171101);湖南省自然科学基金(09JJ6016;13JJ3114);教育厅优秀青年科研基金(10B073)资助项目; 给出了Markov链中任一状态集的逗留时间或击中时间的分布(混合指数分布),以及其分布的各阶微分与Q-矩阵之间的约束方程组.利用该约束关系及环形链结构的先验信息,采用Markov链反演方法证明了:对于有限状态环形Markov链,其Q-矩阵能由其...; 关键词：MARKOV链环状模型可逆性 Q-矩阵逗留时间击中时间

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