国家自然科学基金(10871102)

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Upper Bounds for Ruin Probabilities under Stochastic Interest Rate and Optimal Investment Strategies被引量：2
《Acta Mathematica Sinica,English Series》2012年第7期1421-1430,共10页Jin Zhu LI Rong WU 
Supported by National Basic Research Program of China (973 Program, Grant No. 2007CB814905);National Natural Science Foundation of China (Grant No. 10871102)
In this paper, we study the upper bounds for ruin probabilities of an insurance company which invests its wealth in a stock and a bond. We assume that the interest rate of the bond is stochastic and it is described by...
关键词：Cox Ingersoll-Ross model jump-diffusion model optimal investment Ornstein Uhlen- beck （O-U） process ruin probability stochastic interest rate 
基于鞅方法的连续时间复合二项风险模型破产问题分析
《天津工业大学学报》2012年第3期86-88,共3页张毅 谢宁 王姗姗 
国家自然科学基金项目(10871102)
作为离散时间复合二项模型的连续化版本,连续时间复合二项模型的极限形式即为经典风险模型.先将风险模型纳入PDMP框架,借助广义生成算子理论,推导出模型期望折扣罚函数满足的(脉冲)积分微分方程,并对初始准备金为整数的情形给出其满足...
关键词：广义生成算子 期望折扣罚函数 破产概率 
均值-方差准则下的投资连结寿险合同对冲问题被引量：2
《数学物理学报（A辑）》2011年第5期1141-1149,共9页毕俊娜 郭军义 
国家自然科学基金(10871102);高等学校博士学科点专项科研基金(20090031110001)资助
该文考虑了在均值-方差最优准则下,投资连结寿险合同的风险对冲问题.重点考虑了一类重要的投资连结寿险,即定期寿险合同.假设保费在最初一次性收取且保险人可以将自己的资产投资到一个无风险资产(债券)以及一个风险资产(股票)中,风险资...
关键词：均值-方差准则 对冲策略 投资连结寿险 有效策略. 
保费依赖向后重现时间过程风险模型的破产概率上界(英文)
《数学进展》2011年第4期501-511,共11页何敬民 吴荣 崔家峰 
Supported by NSFC(No.10901086,No.10871102);National Basic Research Program of China(973 Program,No.2007CB814905);the Research Fund for the Doctorial Program of Higher Education
本文研究带利率的风险模型,它的索赔计数过程是一个更新计数过程,保费收入依赖于向后重现时间过程.通过鞅方法和递推技术,得到破产概率的两个指数型上界.最后,还研究了几个具体的例子,并且给出上界的数量比较.
关键词：向后重现时间过程 最终破产概率 上鞅 最优停时定理 
MARKOV-MODULATED MEAN-VARIANCE PROBLEM FOR AN INSURER被引量：2
《Acta Mathematica Scientia》2011年第3期1051-1061,共11页王伟 毕俊娜 
supported by National Basic Research Program of China(973 Program)(2007CB814905);the National Natural Science Foundation of China(10871102);the Research Fund for the Doctorial Program of Higher Education
In this paper, we consider an insurance company which has the option of investing in a risky asset and a risk-free asset, whose price parameters are driven by a finite state Markov chain. The risk process of the insur...
关键词：Markov chain MEAN-VARIANCE efficient strategy efficient frontier Lagrange multiplier 
On Optimality of the Barrier Strategy for the Classical Risk Model with Interest被引量：2
《Acta Mathematicae Applicatae Sinica》2011年第1期75-84,共10页Ying Fang Rong Wu 
Supported by National Basic Research Program of China (973 Program) (No. 2007CB814905);National Natural Science Foundation of China (No. 10871102,10926161 and 71071088);the Research Fund for the Doctorial Program of Higher Education
In this paper, we consider the optimal dividend problem for a classical risk model with a constant force of interest. For such a risk model, a sufficient condition under which a barrier strategy is the optimal strateg...
关键词：Optimal dividend strategy barrier strategy confluent hypergeometric function INTEREST 
绝对破产下的总负持续时间(英文)
《天津师范大学学报（自然科学版）》2011年第1期21-24,28,共5页孙国红 裴新年 李慧 张丽维 
Financial support from National Basic Research Program of China(973Program,2007CB814905);the National Natural Science Foundation of China(10871102);the Natural Science Foundation of Tianjin(08JCYBJC02200)
考虑常利率下的贷款复合泊松模型,讨论了在绝对破产情况下的总的负持续时间,利用马氏性推导并解出总的负持续时间的拉普拉斯变换.
关键词：古典风险模型 绝对破产 负持续 借款利息 
Smoothness of Certain Functions in Two Kinds of Risk Models with a Barrier Dividend Strategy
《Acta Mathematicae Applicatae Sinica》2010年第4期661-668,共8页Wei Wang Jing-min He Rong Wu 
Supported by National Basic Research Program of China (973 Program) (Grant No.2007CB814905);the National Natural Science Foundation of China (Grant No.10871102);the the Research Fund for the Doctorial Program of Higher Education
In this paper,we study the smoothness of certain functions in two kinds of risk models with a barrier dividend strategy.Mainly using technique from the piecewise deterministic Markov processes theory,we prove that the...
关键词：Piecewise deterministic Markov process weak infinitesimal generator barrier strategy 
Ruin Probabilities for a Risk Model with Two Classes of Claims被引量：1
《Acta Mathematica Sinica,English Series》2010年第9期1749-1760,共12页Tong Ling LV Jun Yi GUO Xin ZHANG 
Supported by the National Natural Science Foundation of China (Grant No. 10871102);National Basic Research Program of China (973 Program) 2007CB814905
In this paper we consider a risk model with two kinds of claims, whose claims number processes are Poisson process and ordinary renewal process respectively. For this model, the surplus process is not Markovian, howev...
关键词：Markov vector process piecewise-deterministic Markov process （PDMP） infinitesimal generator exponential martingale ruin probability 
带干扰的广义Erlang(n)风险模型破产前首次达到给定水平的时间(英文)
《南开大学学报（自然科学版）》2010年第4期106-112,共7页孙国红 张春生 
Supported by the Natural Science Foundation of Tianjin(08JCYBJC02200);the Natural Science Foundation of China(10871102);National Basic Research Program of China(973 Program) (2007CB814905)
主要讨论了带干扰的广义Erlang(n)风险模型破产前首次达到给定水平的时间的拉普拉斯变换.推导并解出这一拉普拉斯变换所满足的具有一定边界条件的积分-微分方程,当索赔服从指数分布时,给出了显式解.
关键词：SPARRE ANDERSEN风险模型 广义Erlang(n)索赔间隔 扩散过程 积分-微分方程 
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