国家自然科学基金(70273029)

作品数：7被引量：13H指数：1
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相关作者：胡亦钧郝茵茵何晓霞更多>>
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相关风险和模型的折扣惩罚函数的期望被引量：1
《数学杂志》2009年第1期61-65,共5页郝茵茵 胡亦钧 
国家自然科学基金资助项目(70273029)
本文研究了包含两类相关风险和模型的Gerber-Shiu函数,利用积分-微分方程和构造指数鞅,获得了破产时Gerber-Shiu函数的Laplace变换.当两类索赔额均服从指数分布时,求出了相应的显式.
关键词：惩罚函数 复合POISSON过程 积分-微分方程 破产概率 
带干扰的积分高斯过程的破产概率(英文)
《数学杂志》2008年第3期277-281,共5页何晓霞 胡亦钧 
Supported by the National Natural Science Foundation of China(70273029);the Ministry of Education of China
本文研究了带干扰的积分高斯过程的破产概率.利用经典大偏差的方法,在一定的条件下,得到了相应概率的对数渐近式及测度族的大偏差原理.结果表明在不带干扰的情形下与已有结果一致.
关键词：布朗运动 高斯过程 对数渐进 大偏差原理 
A Local Asymptotic Behavior for Ruin Probability in the Renewal Risk Model被引量：1
《Wuhan University Journal of Natural Sciences》2007年第3期407-411,共5页MODIBO Diarra 
Supported by the National Natural Science Foundation of China (70273029)
Let R（t）=u＋ct-∑ I=1^N（t） Xi,t≥0 be the renewal risk model, with Fx（x）being the distribution function of the claim amount X. Let ψ（u） be the ruin probability with initial surplus u. Under the condition of F...
关键词：renewal risk model subexponential class ruin probability 
A Large Deviation Principle for the Risk Process with Varying Premium
《Wuhan University Journal of Natural Sciences》2007年第3期412-416,共5页HE Xiaoxia MING Ruixing HU Yijun 
Supported by the National Natural Science Foundation of China (70273029)
Let u ∈ R ,for any ω 〉 0, the processes X^ε = {X^ε（t）; 0 ≤ t≤ 1} are governed by the following random evolution equations dX^ε（t）= b（X^ε（t）,v（t））dt-εdSt/ε, where S={St; 0≤t≤1} is a compound Pois...
关键词：large deviations varying premium compound Pois-son process 
ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES被引量：11
《Acta Mathematica Scientia》2006年第2期321-330,共10页刘艳 杨文权 胡亦钧 
This work was supported in part by the National Natural Science Foundation of China (10071058, 70273029) the Ministry of Education of China.
This article considers a risk model as in Yuen et al. （2002）. Under this model the two claim number processes are correlated. Claim occurrence of both classes relate to Poisson and Erlang processes. The formulae is ...
关键词：Correlated aggregate claims Poisson process Erlang process ruin functions 
Large deviations viewpoints for a heavy-tailed β-mixing sequence
《Science China Mathematics》2005年第11期1554-1566,共13页LIU Yan HU Yijun 
supported in part by the National Natural Science Foundation of China(Grant Nos.10071058,70273029);the Ministry of Education of China.
Let (Xn;n≥1) be a stationary sequence of non-negative random variables with heavy tails. Under mixing conditions, we study logarithmic asymptotics for the distributions of the partial sums sn=X1+X2+…+Xn. We obtain t...
关键词：logarithmic asymptotics large deviations heavy tails mixing 
Optimality Conditions for Static Programming with Generalized Convexity
《Journal of Shanghai Jiaotong university(Science)》2005年第3期314-317,共4页刘建林 
National Natural Science Foundation ofChina(No.70273029)
The definitions of generalized pseudoconvex,generalized quasiconvex and its stri ctly generalized convexity were presented for the static programming at locally star -shaped set using the concept of right-upper deriva...
关键词：locally star-shaped set right-upper derivative generalized convexity static programming 
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