RISK_PROCESS

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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 
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 
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