RISK_PROCESS

作品数：33被引量：54H指数：5
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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 
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 
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 
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