位置：成果数据库 > 期刊 > 期刊详情页
On a risk model with Markovian arrivals and tax
  • ISSN号：1005-1031
  • 期刊名称：Applied Mathematics-A Journal of Chinese Universit
  • 时间：0
  • 页码：150-158
  • 分类：O211.67[理学—概率论与数理统计;理学—数学] O177.6[理学—数学;理学—基础数学]
  • 作者机构：[1]School of Mathematics, Qufu Normal University, Qufu 273165, China., [2]School of Mathematics, Central South University, Changsha 410075, China.
  • 相关基金：Supported by the National Natural Science Foundation of China（10971230,11171179）; the Natural Science Foundation of Shandong Province（ZR2010AQ015）; the Tianyuan Fund for Mathematics（11126232）
  • 相关项目：马尔可夫到达排队系统的建模分析及算法研究
作者： Dong Hua|Liu Zai-ming|
关键词： 风险模型, 定居, 拉普拉斯变换, 税务, 保险公司, 差分方程, 纳税, 保险人, Markovian arrival process,Gerber-Shiu function,tax payment.
中文摘要：

有 Markovian 到达和税支付的一个风险模型被考虑。当保险公司处于一种有利状况时，保险公司可以作为税支付付高级收入的某个比例。首先，时间的 Laplace 变换被讨论在毁灭前穿过某个水平。第二，没有税和第一经过时间的 Laplace 变换，为概括 Gerber-Shiu 功能的明确的公式在毁灭前以原来的 Gerber-Shiu 功能被建立。最后，微分方程由期望的积累的打折的税支付满足了直到毁灭被导出。为打折的税支付的明确的表情也被给。

英文摘要：

A risk model with Markovian arrivals and tax payments is considered.When the insurer is in a profitable situation,the insurer may pay a certain proportion of the premium income as tax payments.First,the Laplace transform of the time to cross a certain level before ruin is discussed.Second,explicit formulas for a generalized Gerber-Shiu function are established in terms of the＇original＇Gerber-Shiu function without tax and the Laplace transform of the first passage time before ruin.Finally,the differential equations satisfied by the expected accumulated discounted tax payments until ruin are derived.An explicit expression for the discounted tax payments is also given.

同期刊论文项目
基于Lévy过程的最优分红策略的研究
期刊论文 59
马尔可夫到达排队系统的建模分析及算法研究
期刊论文 61
马氏调制环境下具有投资收益的 Levy 风险过程破产问题研究
期刊论文 4
同项目期刊论文
COMPLETE MONOTONICITY OF THE PROBABILITY OF RUIN AND DE FINETTI'S DIVIDEND PROBLEM
Representation theorems for generators of BSDEs in L^p spaces
The first passage time and the dividend value function for one-dimensional diffusion processes betwe
随机意外大灾风险模型的破产概率
Two-Sided First Exit Problem for Jump Diffusion Processes Having Jumps with a Mixture of Erlang Dist
Jensen’s Inequality for Generalized Peng’s -Expectations and Its Applications
BSDEs under filtration-consistent nonlinear expectations and the corresponding decomposition theorem
The Exit Time and the Dividend Value Function for One-Dimensional Diffusion Processes
The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy
L^p solutions of infinite time interval BSDEs and the corresponding g-expectationsand g-martingales
Discrete-time GI^X/Geo/1/N queue with negative customers and multiple working vacations
An M^ X /G/1 queue with randomized working vacations and at most J vacations
Discrete-Time Geo^X/G/1 Retrial Queue with General Retrial Times, Working Vacations and Vacation Int
Consistent Nonlinear Evaluations with Their Generating Functions in L^p
Exit problems for jump processes with applications to dividend problems
An extension of Paulsen–Gjessing’s risk model with stochastic return on investme
Alternative Approach to the Optimality of the Threshold Strategy for Spectrally Negative Levy Proces
Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
Convexity of Ruin Probability and Optimal Dividend Strategies for aGeneral Lévy Process
Discrete-Time GeoX/G/1 Queue with GeometricallyWorking Vacations and Vacation Interruption
ON A DISCRETE-TIME GIX/GEO/1/N-G QUEUE WITH RANDOMIZED WORKING VACATIONS ANDAT MOST J VACATIONS
Performance and reliability analysis of an M/G/1-G retrial queuewith orbital search and non-persiste
How big are the increments of G-Brownian motion
保费率巨灾索赔相依的风险模型的破产概率
Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strat
On the complete monotonicity of the compound geometric convolution with applications in risk theory
The First Passage Time Problem for Mixed-Exponential Jump Processes with Applications in Insurance a
ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LEVY PROCESS
Optimal dividend problem with a terminal value for spectrally positive Levy processes
DISCRETE-TIME GIX/GEO/1/N QUEUE WITH WORKING VACATIONS AND VACATION INTERRUPTION
The Compound Poisson Risk Model Perturbed by Diffusion with a Hybrid Dividend Strategy
Exact joint laws associated with spectrally negative L′evy processes and applications to insurance r
Dividend Payments with a Hybrid Strategy in the Compound Poisson Risk Model
Uniform Estimate for The Tail Probabilities of Randomly Weighted Sums
一类混合分红策略下的广义Erlang(n) 风险模型
一个可变保费巨灾风险模型的 局部破产概率
Optimal Dividend Problem for a Compound Poisson Risk Model
On a Dual Model with Barrier Strategy
Optimal dividend problemsfor a jump-diffusion model with capital injections and proportionaltransact
Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
Exact joint laws associated with spectrally negative L,vy processes and applications to insurance ri
The expected discounted penalty function under a renewal risk model with stochastic income
一个可变保费巨灾风险模型的局部破产概率
正态总体误差方差的经验Bayes估计及其优良性
带分红的稀疏风险模型的期望折现罚金函数
COMPLETE MONOTONICITY OF THE PROBABILITY OF RUIN AND DE FINETTI＇S DIVIDEND PROBLEM
On the distribution of dividend payments in Levy risk processes
A matrix operator approach to a risk model with two classes of claims
Probability Analysis of a Two-unit Basic Model with a Repairman Who Takes Multiple Vacations
The ruin problem in a renewal risk model with two-sided jumps
Divident problems in the dual risk model with exponentially distributed observation time
具有N策略和负顾客的反馈抢占型的M/G/1重试可修排队系统
基于排队论的一个物流模型
p-Moment Stability of Stochastic Nonlinear Delay Systems with Impulsive Jump and Markovian Switching
具有负顾客和抢占反馈的M/G/1随机休假排队系统
The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
Optimal dividend strategies in a dual model with capital injections
带负顾客和非空竭服务随机休假的M[X]/G/1可修排队系统
A class of delayed renewal risk processes with a threshold dividend strategy
Analysis of Repairable System with an Unreliable Repair Facility and a Single Vacation
随机环境中马氏链的大数定律和强大数定律
The GI/M/1 queue with start-up period and single working vacation and Bernoulli vacation interruptio
Optimal dividend problem with a terminal value for spectrally positive Lévy processes
具有投资利息的扰动复合Poisson风险模型的最优分红策略
AN M/G/1 RETRIAL QUEUE WITH GENERAL RETRIAL TIMES, WORKING VACATIONS AND VACATION INTERRUPTION
具有有限次休假的n部件串联系统可靠性分析
The perturbed compound Poisson risk model with linear dividend barrier
具有常红利边界和延迟索赔的一类离散更新风险模型
多重延误休假的单部件可修系统——一些新的可靠性指标
Estimates for the optimal control policy in the presence of regulations and heavy tails
A note on operator self-similar Gaussian vector fields
带双阈值的一类更新风险模型的Gerber-Shiu折现罚函数
Delay-independent stability of stochastic reaction-diffusion neural networks with Dirichlet boundary
Estimation of the Birnbaum-Saunders regression model with current status data
Reliability indices of a Geo/G/1/1 Erlang loss system with active breakdowns under Bernoulli schedul
基于马尔可夫到达过程的并联可修系统的可靠性分析
一类跳扩散需求存贮系统(s,S)库存控制策略研究
A class of Sparre Andersen risk process
pth Moment stability of stochastic neural networks with Markov volatilities
A discrete-time Geo/G/1 retrial queue with preemptive resume and collisions
Optimal financing and dividend control in the dual model
Discrete-time Geo(1), Geo(2)(X)/G(1), G(2)/1 retrial queue with two classes of customers and feedbac
一类具有随机保费风险模型的破产问题
Some properties of two subclasses of k-fold symmetric functions associated with Srivastava-Attiya op
带干扰广义Elang(n)风险过程的破产前最大盈余(英文)
A two-unit repaiable system with a variant vacation policy
A discrete-time Geo/G/1 retrial queue with preferred and impatient customers
Methods for estimating optimal Dickson and Waters modification dividend barrier
An MAP/G/1 G-queues with preemptive resume and multiple vacations
An M/G/1 retrial G-queue with preemptive resume and feedback under N-policy subject to the server br
On a class of mathematical ecosystems with random jumps
On the BMAP/G/1 G-queues with second optional service and multiple vacations
Analysis of the finite source MAP/PH/N retrial G-queue operating in a random environment
An M/G/1 queue with single working vacation and vacation interruption under Bernoulli schedule
考虑流动储备金和利率的风险模型的分红问题
Geo/Geo/1 retrial queue with working vacations and vacation interruption
信用风险模型中的Gerber-Shiu贴现罚函数
期刊信息
  • 《高校应用数学学报：英文版（B辑）》
  • 主管单位:教育部
  • 主办单位:浙江大学 中国工业与应用数学学会
  • 主编：林正炎 李大潜
  • 地址：杭州玉泉浙江大学数学系
  • 邮编：310027
  • 邮箱：amjcu B@eju.edu.cn
  • 电话：0571-87951602
  • 国际标准刊号：ISSN：1005-1031
  • 国内统一刊号：ISSN：33-1171/O
  • 邮发代号:
  • 获奖情况:
  • 国内外数据库收录:
  • 美国数学评论（网络版）,德国数学文摘,荷兰文摘与引文数据库,美国科学引文索引（扩展库）
  • 被引量:26