检索结果-南通市图书馆

Hyper-exponential jump-diffusion model under the barrier dividend strategy

在线全文

学校读者我要写书评

暂无评论

Applied Mathematics(A Journal of Chinese Universities) 2015年第1期30卷 17-26页

作者： DONG Ying-hui CHEN Yao ZHU Hai-fei Department of Mathematics and Physics Suzhou University of Science and Technology

In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber- Shiu function are obtained via marti... 详细信息

关键词： reflected jump-diffusion process barrier strategy ruin time Gerber-Shiu function hyper-exponential distribution.

Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy

在线全文

学校读者我要写书评

暂无评论

Frontiers of Mathematics in China 2014年第5期9卷 1073-1088页

作者： Yuhua LU Rong WU School of Mathematics Sciences Qufu Normal University Qufu 273165 China School of Mathematics Sciences and LPMC Nankai University Tianjin 300071 China

We consider a dividends model with a stochastic jump perturbed by diffusion. First, we prove that the expected discounted dividends function is twice continuously differentiable under the condition that the claim distribution function has continuous density. Then we show that the expected discounted dividends function under a barrier strategy satisfies some integro-differential equation of defective renewal type, and the solution of which can be explicitly expressed as a convolution formula. Finally, we study the Laplace transform of ruin time on the modified surplus process.

关键词： Expected discounted dividends ruin time integro-differentialequation Laplace transform barrier strategy

Smoothness of Certain Functions in Two Kinds of Risk Models with a barrier Dividend strategy

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2010年第4期26卷 661-668页

作者： Wei Wang Jing-min He Rong Wu School of Mathematical Sciences and LPMC Nankai UniversityTianjin 300071China College of Science Tianjin University of TechnologyTianjin 300191China

In this paper,we study the smoothness of certain functions in two kinds of risk models with a barrier dividend *** using technique from the piecewise deterministic Markov processes theory,we prove that the function is continuously differentiable in the first risk *** the weak infinitesimal generator method of Markov processes,we prove that the function is twice continuously differentiable in the second risk ***-differential equations satisfied by them are derived.

关键词： Piecewise deterministic Markov process weak infinitesimal generator barrier strategy

The Optimal Dividend barrier in the Perturbed Compound Poisson Risk Model with Randomized Observation Time

在线全文

学校读者我要写书评

暂无评论

Journal of Systems Science & Complexity 2015年第2期28卷 451-470页

作者： LIU Xiao CHEN Zhenlong MING Ruixing School of Statistics and Mathematics Zhejiang Gongshang University

This paper considers the dividend problems in the perturbed compound Poisson risk *** that dividends can only be paid at the observation time when the surplus exceeds the barrier level and the excess is paid as *** this paper,integro-differential equations for the expected discounted dividends until ruin and the Laplace transform of ruin time are firstly *** the claim is exponentially distributed,explicit expressions for the expected discounted dividends until ruin and the Laplace transform of ruin time are also ***,the optimal dividend barrier which maximizes the expected discounted dividends until ruin is given.

关键词： barrier strategy dividend perturbed compound Poisson risk model ruin.

COMPLETE MONOTONICITY OF THE PROBABILITY OF RUIN AND DE FINETTI'S DIVIDEND PROBLEM

在线全文

学校读者我要写书评

暂无评论

Journal of Systems Science & Complexity 2012年第1期25卷 178-185页

作者： Hua DONG Chuancun YIN School of Mathematical Sciences Qufu Normal University School of Mathematical Science and Computing Technology Central South University

This paper studies the complete monotonicity of the probability of ruin in the the classical risk model and the classical risk model that is perturbed by a diffusion. As a byproduct, the authors give an alternative p... 详细信息

关键词： barrier strategy classical risk model complete monotonicity log-convexity optimaldividend problem perturbed classical risk model.

A Hyper-Erlang Jump-Diffusion Process and Applications in Finance

在线全文

学校读者我要写书评

暂无评论

Journal of Systems Science & Complexity 2016年第2期29卷 557-572页

作者： DONG Yinghui HAN Min Department of Mathematics and Physics Suzhou University of Science and Technology

This paper studies the first passage time problem for a reflected two-sided jump-diffusion risk model with the jumps having a hyper-Erlang *** authors give the explicit closed-form expression for the joint Laplace transform of the first passage time and the overshoot for the reflected ***,the formula is applied to the ruin problem under the barrier dividend strategy and the pricing of the Russian option.

关键词： barrier strategy first passage time hyper-Erlang distribution reflected jump-diffusion process Russian option.

OPTIMAL DIVIDEND STRATEGIES IN THE DIFFUSION MODEL WITH STOCHASTIC RETURN ON INVESTMENTS

在线全文

学校读者我要写书评

暂无评论

Journal of Systems Science & Complexity 2010年第6期23卷 1071-1085页

作者： Wei WANG Chunsheng ZHANG School of Mathematical Sciences and LPMC Nankai University Tianjin 300071 China.

This paper studies the optimal dividend problem in the diffusion model with stochastic return on investments. The insurance company invests its surplus in a financial market. More specially, the authors consider the case of investment in a Black-Scholes market with risky asset such as stock. The classical problem is to find the optimal dividend payment strategy that maximizes the expectation of discounted dividend payment until ruin. Motivated by the idea of Thonhauser and Albrecher （2007）, we take the lifetime of the controlled risk process into account, that is, the value function considers both the expectation of discounted dividend payment and the time value of ruin. The authors conclude that the optimal dividend strategy is a barrier strategy for the unbounded dividend payment case and is of threshold type for the bounded dividend payment case.

关键词： barrier strategy diffusion model dividend HJB equation threshold strategy.

Constant barrier Strategies in a Two-state Markov-modulated Dual Risk Model

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2011年第4期27卷 679-690页

作者： Xue-min MA Kui LUO Guang-ming WANG Yi-jun HU School of Mathematics and Statistics Wuhan University Wuhan 430072 China

In this paper, we consider the dividend problem in a two-state Markov-modulated dual risk model, in which the gain arrivals, gain sizes and expenses are influenced by a Markov process. A system of integro-differential equations for the expected value of the discounted dividends until ruin is derived. In the case of exponential gain sizes, the equations are solved and the best barrier is obtained via numerical example. Finally, using numerical example, we compare the best barrier and the expected discounted dividends in the two-state Markov-modulated dual risk model with those in an associated averaged compound Poisson risk model. Numerical results suggest that one could use the results of the associated averaged compound Poisson risk model to approximate those for the two-state Markov-modulated dual risk model.

关键词： Dual risk model Markov-modulated risk model barrier strategy