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RISK_PROCESS: 作品数：33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：《外文科技期刊数据库（文摘版）医药卫生》《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

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.

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

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

Asymptotic Behavior on Cox Risk Process Perturbed by Diffusion: 《Chinese Quarterly Journal of Mathematics》2009年第3期325-332,共8页王慧丽史忠科任志平; Supported by the National High Technology Research and Development Program of China(863 Program)(2007AA06Z217);Supported by the CNPC Innovation Foundation(07E1013);supported by the Doctorate Foundation of Northwestern Polytechnical University(cx200912); In this paper, the asymptotic behavior on the Cox risk model perturbed by diffusion is studied. The sufficient and necessary conditions for the process when it weakly convergence to Normal distribution and th.e rate o...; 关键词：Cox process weakly compact at infinity weak convergence convergence rate

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

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

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

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