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RISK_PROCESS: 作品数：32被引量：54H指数：5; 导出分析报告; 相关作者：孟辉更多>>; 相关机构：南开大学更多>>; 相关期刊：《Journal of Applied Mathematics and Physics》《Wuhan University Journal of Natural Sciences》《Journal of Donghua University(English Edition)》《Applied Mathematics and Mechanics(English Edition)》更多>>; 相关基金：国家自然科学基金国家重点基础研究发展计划国家社会科学基金Scientific Research Foundation for the Returned Overseas Chinese Scholars, State Education Ministry更多>>

Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin被引量：1: 《Applied Mathematics(A Journal of Chinese Universities)》2020年第3期349-358,共10页DONG Hua ZHAO Xiang-hua; Supported by the National Natural Science Foundation of China(11701319,11571198).; The spectrally negative Lévy risk model with random observation times is considered in this paper,in which both dividends and capital injections are made at some independent Poisson observation times.Under the absolu...; 关键词：Spectrally negative Lévy risk model Randomized observation Barrier dividend Capital injection Absolute ruin

Joint Distribution for the Risk Process with Premiums Depending on the Current Reserve: 《Journal of Donghua University(English Edition)》2017年第4期540-544,共5页何敬民张炜李曼曼方鑫; Ministry of Education in China(MOE)Youth Projects of Humanities and Social Sciences(Nos.14YJCZH048,15YJCZH204);National Natural Science Foundations of China(Nos.11401436,11601382,11101434,11571372);National Social Science Foundation of China(No.15BJY122);Hunan Provincial Natural Science Foundation of China(No.13JJ5043);Mathematics and Interdisciplinary Sciences Project,Central South University; With the ever-evolving of modern risk theory,more and more attention should be paid to the modification of the classical risk theory. In this paper a risk process with premiums dependent on the current reserve is cons...; 关键词：time of ruin surplus immediately before ruin deficit at ruin strong Markov property

Integro-Differential Equations for a Jump-Diffusion Risk Process with Dependence between Claim Sizes and Claim Intervals: 《Journal of Applied Mathematics and Physics》2016年第11期2061-2068,共8页Heli Gao; The classical Poisson risk model in ruin theory assumed that the interarrival times between two successive claims are mutually independent, and the claim sizes and claim intervals are also mutually independent. In thi...; 关键词：Jump-Diffusion Risk Process Diffusion Geometric Brownian Motion Gerber-Shiu Function

Optimal Control for Insurers with a Jump-diffusion Risk Process: 《Chinese Quarterly Journal of Mathematics》2015年第4期562-569,共8页吴锟肖建武罗荣华; Supported by the Humanity and Social Science Foundation of Ministry of Education of China(10YJC790296);Supported by the National Natural Science Foundation of China(71073020); In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and...; 关键词：HJB equation variance principle jump-diffusion process

Optimal Investment with Multiple Risky Assets for an Insurer with Modified Periodic Risk Process: 《Journal of Systems Science & Complexity》2015年第4期997-1014,共18页ZHAO Hui RONG Ximin; supported by the Natural Science Foundation of Tianjin under Grant No.09JCYBJC01800; This paper considers the optimal investment problem for an insurer in the sense of maximizing the adjustment coefficient of the risk process.The authors propose a modified periodic risk model in which the periodic ris...; 关键词：Adjustment coefficient modified periodic risk model multiple risky assets optimalinvestment ruin probability.

Exponential martingale for compound Poisson process with latent variable and its applications: 《Applied Mathematics(A Journal of Chinese Universities)》2015年第2期210-216,共7页YAN Jun; Supported by National Natural Science Foundation of China(11301461);Natural Science Foundation of Jiangsu Province(BK20130435);University Natural Science Foundation of Jiangsu Province(13KJB110031); In this article, we construct an exponential martingale for the compound Poisson process with latent variable. With the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic r...; 关键词：Exponential martingale partly shifted risk process ruin probability risk measure

Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy: 《Frontiers of Mathematics in China》2014年第5期1073-1088,共16页Yuhua LU Rong WU; Acknowledgements This work was supported by the National Natural Science Foundation of China （Grant No. 11171179）.; We consider a dividends model with a stochastic jump perturbed by diffusion. First, we prove that the expected discounted dividends function is twice continuously differentiable under the condition that the claim dist...; 关键词：Expected discounted dividends ruin time integro-differentialequation Laplace transform barrier strategy

Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information被引量：2: 《Frontiers of Mathematics in China》2014年第4期965-982,共18页Jie XIONG Shuaiqi ZHANG Hui ZHAO Xihuan ZENG; Acknowledgements This work was supported in part by FDCT 076/2012/A3, SRG022- FST12-XJ, the Natural Science Foundation of Hebei Province （Grant No. A2014202202）, and the National Natural Science Foundation of China （Grant No. 11301376）.; We study optimal investment and proportional reinsurance strategy in the presence of inside information. The risk process is assumed to follow a compound Poisson process perturbed by a standard Brownian motion. The in...; 关键词：Inside information INVESTMENT REINSURANCE jump diffusion

Asymptotic Results for Tail Probabilities of Sums of Dependent and Heavy-Tailed Random Variables被引量：2: 《Chinese Annals of Mathematics,Series B》2012年第4期557-568,共12页Kam Chuen YUEN Chuancun YIN; supported by the National Natural Science Foundation of China (No. 11171179);the Research Fund for the Doctoral Program of Higher Education of China (No. 20093705110002); Abstract Let X1, X2,... be a sequence of dependent and heavy-tailed random variables with distributions F1, F2,.. on （-∞,∞）, and let T be a nonnegative integer-valued random variable independent of the sequence {X...; 关键词：Asymptotic tail probability COPULA Heavy-tailed distribution Partialsum Risk process

The Maximum Surplus Distribution before Ruin in an Erlang（n） Risk Process Perturbed by Diffusion被引量：2: 《Acta Mathematica Sinica,English Series》2011年第9期1869-1880,共12页Zhen Zhong ZHANG Jie Zhong ZOU Yuan Yuan LIU; Supported by National Natural Science Foundation of China （Grant Nos. 10901164 and 11071037）, the Scientific Research Foundation for the Returned Overseas Chinese Scholars, State Education Ministry and Natural Science Foundation of CQ CSTC （Grant No. 2009BB8221）; In this paper, we consider the distribution of the maximum surplus before ruin in a generalized Erlang（n） risk process （i.e., convolution of n exponential distributions with possibly different parameters） perturbe...; 关键词：Sparre Anderson risk model generalized Erlang（n） inter-claim times integro-differential equation diffusion process maximum surplus distribution

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