RISK_PROCESS

作品数：32被引量：54H指数：5
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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 
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 
Markov process functionals in finance and insurance被引量：7
《Applied Mathematics(A Journal of Chinese Universities)》2009年第1期21-26,共6页GENG Xian-min LI Liang 
Supported by the National Natural Science Foundation of China (10671197)
The Markov property of Markov process functionals which are frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Markov property of some important Markov process ...
关键词：Markov process functional process with independent increments risk process 
ASYMPTOTIC THEORY FOR A RISK PROCESS WITH A HIGH DIVIDEND BARRIER被引量：1
《Applied Mathematics(A Journal of Chinese Universities)》2007年第3期253-258,共6页Zong Zhaojun Hu Feng 
Supported by the NNSF of China(10471076);the Science Foundation of Qufu Normal University.
A modified classical model with a dividend barrier is considered. It is shown that there is a simple approximation formula for the time of ruin when the level of dividend barrier is high and the claim sizes have a dis...
关键词：asymptotic theory time of ruin dividend barrier. 
EXPECTED DISCOUNTED PENALTY FUNCTION AT RUIN FOR RISK PROCESS PERTURBED BY DIFFUSION UNDER INTEREST FORCE被引量：1
《Applied Mathematics(A Journal of Chinese Universities)》2005年第3期289-296,共8页Zhao Xia Ouyang Zisheng 
SupportedbytheNationalNaturalScienceFoundationofChina(10471076),NationalPlanningProjectofSocialScienceofChina(04BTJ010),theKeyProjectofChineseMinistryofEducation(104053),ShangdongFoundationofNaturalScience(Y2004A05)andShandongPlanningProjectofSocialScien
In this article, the risk process perturbed by diffusion under interest force is considered, the continuity and twice continuous differentiability for Фδ（u,w） are discussed,the Feller expression and the integro-di...
关键词：risk process perturbed by diffusion under interest force expected discounted penalty at ruin twice continuous differentiability integro-differential equation. 
RUIN PROBLEM FOR A CLASS OF RISK PROCESSES PERTURBED BY DIFFUSION被引量：7
《Applied Mathematics(A Journal of Chinese Universities)》2002年第4期435-441,共7页SiJiandong WangZhenyu WangGuojing 
In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is co...
关键词：risk process ruin probability Lundberg inequality Lundberg exponent Brownian motion Poisson process. 
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