国家自然科学基金(70501028)

作品数：3被引量：5H指数：1
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相关期刊：《Science China Mathematics》《Acta Mathematicae Applicatae Sinica》更多>>
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Ruin probability of the renewal model with risky investment and large claims被引量：4
《Science China Mathematics》2009年第7期1539-1545,共7页WEI Li School of Finance,Renmin University of China,Beijing 100872,China 
supported by National Natural Science Foundation of China (Grant Nos.10571167,70501028);the Beijing Sustentation Fund for Elitist (Grant No.20071D1600800421);the National Social Science Foundation of China (Grant No.05&ZD008);the Research Grant of Renmin University of China (Grant No.08XNA001)
The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper.For claim sizes with common distribution of extended regular variation,we study the asym...
关键词：ASYMPTOTICS extended regular variation renewal risk model risky investment strategy ruin probability 60G70 60K30 60K37 
The Ruin Probability in the Presence of Extended Regular Variation and Optimal Investment
《Acta Mathematicae Applicatae Sinica》2008年第4期649-654,共6页Li Wei 
Supported by the National Natural Science Foundation of China(No.10571167,No.70501028);Beijing Sustentation Fund for Elitist(Grant No.20071D1600800421);National Social Science Foundation of China(Grant No.05&ZD008).
Considering the classical model with risky investment, we are interested in the ruin probability that is minimized by a suitably chosen investment strategy for a capital market index. For claim sizes with common distr...
关键词：Classical risk model extended regular variation optimal investment strategy ruin probability 
Some Results behind Dividend Problems被引量：1
《Acta Mathematicae Applicatae Sinica》2006年第4期681-686,共6页Ming Zhou Li Wei Jun-yi Guo 
Supported by the National Natural Science Foundation of China(No.70501028,No.10571092)
We consider the basic dividend problem of the compound Poisson model with constant barrier strategy. Some results concealed behind the dividend problem are made explicit in the present work. Different methods and some...
关键词：Compound Poisson process discount dividend payments integro-differential equation change of measure shift operator 
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