RISK_PROCESS

作品数：32被引量：54H指数：5
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Ruin Probabilities in the Risk Process with Random Income被引量：2
《Acta Mathematicae Applicatae Sinica》2008年第2期195-202,共8页Zhen-hua Bao Zhong-xing Ye 
National Basic Research Program of China(973 Program No.2007CB814903);the National Natural Science Foundation of China(No.70671069)
We extend the classical risk model to the case in which the premium income process, modelled as a Poisson process, is no longer a linear function. We derive an analog of the Beekman convolution formula for the ultimat...
关键词：Beekman convolution formula Defective renewal equation Ruin probability Zero-truncated geo-metric distribution 
Optimal Proportional Reinsurance for Controlled Risk Process which is Perturbed by Diffusion被引量：6
《Acta Mathematicae Applicatae Sinica》2007年第3期477-488,共12页Zhi-bin Liang 
the National Natural Science Foundation of China(No.10571092)
In this paper, we study optimal proportional reinsurance policy of an insurer with a risk process which is perturbed by a diffusion. We derive closed-form expressions for the policy and the value function, which are o...
关键词：Stochastic control Hamilton-Jacobi-Bellman equation JUMP-DIFFUSION brownian motion diffusion approximation proportional reinsurance 
Moments of the Time of Ruin,Surplus Before Ruin and the Deficit at Ruin in the Erlang(N) Risk Process
《Acta Mathematicae Applicatae Sinica》2006年第4期599-606,共8页Yong-sheng Xing Rong Wu 
Supported by the National Natural Science Foundation of China(No.10571092)
In this paper we consider the ＂penalty＂ function in the Erlang（n） risk model. Using the integro- differential equation we established, we obtain the explicit expressions for the moments of Erlang（2） risk model. ...
关键词：Penalty function Erlang（n） risk model integro-differential equation light-tailed distribution 
Explicit Expressions for the Ruin Probabilities of Erlang Risk Processes with Pareto Individual Claim Distributions
《Acta Mathematicae Applicatae Sinica》2004年第3期495-506,共12页LiWei Hai-liangYang 
Supported by Postdoctoral Scientific Foundation of China,a CRGC grant from the University of Hong Kong and a grant from the Research Grants Council of the Hong Kong Special Administrative Region,China (Project No.HKU 7139/01H).
In this paper we first consider a risk process in which claim inter-arrival times and the time until the first claim have an Erlang (2) distribution. An explicit solution is derived for the probability of ultimate rui...
关键词：Ruin probability Erlang process Pareto distribution Laplace transform removable singularity contour integration 
Ruin Probabilities under a Markovian Risk Model被引量：7
《Acta Mathematicae Applicatae Sinica》2003年第4期621-630,共10页Han-xingWang Da-fanFang Mao-ningTang 
Supported by the National Natural Science Foundation of China (No.19971072).
In this paper, a Markovian risk model is developed, in which the occurrence of the claims is described by a point process {N(t)} t≥0 with N(t) being the number of jumps of a Markov chain during the in...
关键词：Risk processes ruin probabilities Markov chains 
Distribution of Deficit at Ruin for a PDMP Insurance Risk Model
《Acta Mathematicae Applicatae Sinica》2003年第3期521-528,共8页Guo-jingWang Su-pingQian RongWu 
the National Natural Science Foundation of China (Grant No. 10271087);National Science Foundation of Jiangsu education Ministry (Grant No. 02KJB110002).the National Natural Science Foundation of China (Grant No. 10271062);the Research Fund for th
In this paper we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We mainly discuss the distribution of the deficit at ruin for the risk process. We derive the integrodi differ...
关键词：Integro-differential equation risk process deficit at ruin survivor function 
Ruin Theory for the Risk Process Described by PDMPs被引量：2
《Acta Mathematicae Applicatae Sinica》2003年第1期59-70,共12页Guo-jingWang Chun-shengZhang RongWu 
Supported by the National Natural Sciences Foundation of China (No.19971047);Doctoral Foundation of Suzhou University.
Abstract In this paper we consider the risk process that is described by a piecewise deterministic Markov processes (PDMP). We first present the construction of the risk process and then discuss some ruin problems for...
关键词：Keywords Risk process survivor function ruins probability integro-differential equation supremum distribution bevor ruin 
Some Results for Classical Risk Process with Stochastic Return on Investments
《Acta Mathematicae Applicatae Sinica》2002年第4期685-692,共8页Guo-jing Wang, Rong WuDepartment of Mathematics, Suzhou University, Suzhou 215006, China Department of Mathematics, Nankai Univercity, Tianjin 300071, China 
the National Natural Science Foundation of China (No.19971047).
In this paper, we discuss the classical risk process with stochastic return on investment. We prove some properties of the ruin probability, the supremum distribution before ruin and the surplus distribution at the t...
关键词：Ruin probability supremum distribution before ruin surplus distribution at the time of ruin integro-differential equation 
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