RISK_PROCESS

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Absolute Ruin Problems for the Risk Processes with Interest and a Constant Dividend Barrier被引量：1
《Wuhan University Journal of Natural Sciences》2011年第3期199-205,共7页YUAN Haili HU Yijun QIN Qianqing 
Supported by the National Natural Science Foundation of China (10971157);the Fundamental Research Funds for the Central Universities
In this paper, the absolute ruin in the compound Poisson risk model with interest and a constant dividend barrier is investigated. First, integro-differential equations satisfied by the expected discounted dividend pa...
关键词：compound Poisson risk model INTEREST constant dividend barrier dividend payment DURATION 
Optimal Dividend Strategies in a Double Compound Poisson Risk Process
《Wuhan University Journal of Natural Sciences》2011年第2期133-138,共6页LI Shijun MING Ruixing HUANG Longshengt 
Supported by the Natural Science Foundation of Jiangxi Province (2008GQS0035);the Foundation of Zhejiang Provincial Education Department Research Projects (Y200803009)
In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certai...
关键词：double compound Poisson process the value function integro-differential equation threshold dividend strategy generalized Lundberg’s fundamental equation 
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 
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