云南高校图书馆联盟文献共享服务平台- 国家自然科学基金(10671149)

国家自然科学基金(10671149): 作品数：32被引量：71H指数：6; 导出分析报告; 相关作者：胡亦钧王刈禾甘师信陈红燕张淑娜更多>>; 相关机构：武汉大学襄樊学院暨南大学中国人民解放军军事经济学院更多>>; 相关期刊：《数学杂志》《统计与决策》《Wuhan University Journal of Natural Sciences》《武汉大学学报（理学版）》更多>>; 相关主题：破产概率SEQUENCESRANDOM_VARIABLESSEQUENCE英文更多>>; 相关领域：理学经济管理电子电信机械工程更多>>

SOME LIMIT THEOREMS FOR WEIGHTED SUMS OF ARRAYS OF NOD RANDOM VARIABLES被引量：2: 《Acta Mathematica Scientia》2012年第6期2388-2400,共13页甘师信陈平炎; Supported by the NNSF of China(10671149); In this paper the authors study the complete, weak and almost sure convergence for weighted sums of NOD random variables and obtain some new limit theorems for weighted sums of NOD random variables, which extend the c...; 关键词：complete convergence weak convergence almost sure convergence ARRAY weighted sum NOD random variable sequence

利率为马氏链的离散时间风险模型的破产概率(英文)被引量：5: 《应用概率统计》2012年第3期270-276,共7页何晓霞姚春胡亦钧; Supported by the National Natural Science Foundation of China(10671149);the Foundation of the Hubei Provincial Department of Education(B20091107);Hubei Province Key Laboratory of Systems Science in Metallurgical Process(Wuhan University of Science and Technology)(C201006); 本文考虑了带随机利率的离散时间风险模型.在假设利率为马氏链条件下,得到了有限时间和最终破产概率所满足的递推积分方程,以及最终破产概率的Lundberg不等式.; 关键词：离散时间风险模型破产概率递推方程 Lundberg不等式.

Rosenthal Inequality for NOD Sequences and Its Applications: 《Wuhan University Journal of Natural Sciences》2011年第3期185-189,共5页GAN Shixin CHEN Pingyan QIU Dehua; Supported by the National Natural Science Foundation of China (10671149,60574002); Rosenthal inequality for NOD （negatively＇ orthant dependent） random variable sequences is established. As its applications, two theorems of complete convergence of weighted sums for arrays of NOD random variables a...; 关键词：Rosenthal inequality ARRAY NOD （negatively orthant dependent） random variable sequence complete convergence

OPTIMAL PORTFOLIO ON TRACKING THE EXPECTED WEALTH PROCESS WITH LIQUIDITY CONSTRAINTS被引量：1: 《Acta Mathematica Scientia》2011年第2期483-490,共8页罗葵王光明胡亦钧; Supported in part by the National Natural ScienceFoundation of China (10671149);the Ministry of Education of China (NCET-04-0667); In this article, the authors consider the optimal portfolio on tracking the expected wealth process with liquidity constraints. The constrained optimal portfolio is first formulated as minimizing the cumulate variance...; 关键词：Portfolio selection wealth tracking liquidity constraints HJB equation Lagrange multiplier

Some Remarks for Sequences of Pairwise NQD Random Variables被引量：3: 《Wuhan University Journal of Natural Sciences》2010年第6期467-470,共4页GAN Shixin CHEN Pingyan; Supported by the National Natural Science Foundation of China (10671149); We first obtain the Petrov theorem for pairwise NQD（negative quadrant dependent） random variables which may have different distributions.Some well-known results are improved and extended.Next,we give an example to c...; 关键词：pairwise NQD random variable sequence convergence in probability almost sure convergence Marcinkiewicz type weak law of law numbers

一类变保费率风险模型的Gerber-Shiu惩罚函数被引量：3: 《数学杂志》2010年第6期1114-1116,共3页王刈禾胡亦钧; 国家自然基金资助项目(10671149); 本文考虑变保费风险模型,假设保费率是随时间变化的,研究了其Gerber-Shiu惩罚函数.通过无穷小方法给出Gerber-Shiu惩罚函数所满足的积分-微分方程;在指数索赔下,给出其破产时赤字的数学期望及破产时的拉普拉斯变换.; 关键词：保费率破产时 Gerber-Shiu惩罚函数赤字

ON THE EXPECTED DISCOUNTED PENALTY FUNCTION IN A MARKOV-DEPENDENT RISK MODEL WITH CONSTANT DIVIDEND BARRIER被引量：7: 《Acta Mathematica Scientia》2010年第5期1481-1491,共11页刘娟徐建成胡亦钧; supported in part by Hubei Normal University Post-graduate Foundation(2007D59 and 2007D60);the Science and Technology foundation of Hubei(D20092207);the National Natural Science Foundation of China(10671149); This article considers a Markov-dependent risk model with a constant dividend barrier. A system of integro-differential equations with boundary conditions satisfied by the expected discounted penalty function, with gi...; 关键词：Markov-dependent risk model dividend barrier Cerber-Shiu function integro-differential equation Laplace transform

A Diffusion Model for Optimal Dividend Payment and Risk Control for a Firm under Consideration of the Time Value of Ruin: 《Wuhan University Journal of Natural Sciences》2010年第5期369-374,共6页LIU Wei HU Yijun; Supported by the National Natural Science Foundation of China (10671149); In this paper,we investigate a model for an insurance company with constraint on risk control.The objective of the insurer is to find a business policy and a dividend payment scheme so as to maximize the expected disc...; 关键词：diffusion model risk control dividend payment Hamilton-Jacobi-Bellman（HJB） equation optimal policy

带有消费的最优财富追踪问题(英文): 《数学杂志》2010年第4期622-628,共7页罗葵王光明胡亦钧; Supported by the National Natural Science Foundation of China(10671149);the Ministry of Education of China(NCET-04-0667); 本文研究带有消费的最优财富追踪模型.利用Hamilton-Jacobi-Bellman方法,求得投资策略的精确表达式.最后分析了所得到的解对个体偏好的敏感性.; 关键词：投资组合选择财富追踪消费 HJB方程

ON ALMOST SURE CONVERGENCE OF WEIGHTED SUMS OF RANDOM ELEMENT SEQUENCES: 《Acta Mathematica Scientia》2010年第4期1021-1028,共8页甘师信; Supported by the National Natural Science Foundationof China (10671149); We mainly study the almost sure limiting behavior of weighted sums of the form ∑ni=1 aiXi/bn , where {Xn, n ≥ 1} is an arbitrary Banach space valued random element sequence or Banach space valued martingale differen...; 关键词：Strong law of large number almost sure convergence Lp convergence weighted sums Banach space valued random element sequence Banach space martingale difference sequence

国家自然科学基金(10671149)