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Ornstein-Uhlenback type Omega model
  • ISSN号：0465-7942
  • 期刊名称：《南开大学学报：自然科学版》
  • 时间：0
  • 分类：O172[理学—数学;理学—基础数学] O211.62[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]College of Mathematical Science, Tianjin Normal University, Tianjin 300387, China, [2]School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, China
  • 相关基金：Acknowledgements The authors would like to thank the anonymous referees for valuable comments and suggestions to improve the earlier version of this paper. This work was supported by the National Natural Science Foundation of China （Grant Nos. 11401436, 11226204, 11171164, 11271385）, the Doctoral Fund Program of Tianjin Normal University （Grant No. 52XB1204）, and the MOE Youth Project in Humanities and Social Sciences （NO. 14YJCZH048）.
作者： Xiulian WANG[1], Wei WANG[1], Chunsheng ZHANG[2]
关键词： ω模型, OU型, Laplace变换, 罚金折现期望, 盈余过程, 保险公司, 惩罚函数, 高级应用, Omega model, Ornstein-Uhlenbeck type Omega model, probabilityof bankruptcy, Gerber-Shiu function at bankruptcy, occupation time
中文摘要：

我们为一个保险公司与内在的 Ornstein-Uhlenbeck 类型剩余过程考虑终止模型并且获得一些有用结果。为在有经常的破产率和线性破产率的破产的期望的打折的惩罚功能的明确的表情被导出。基于剩余进程的随机的观察，我们特别在零点在破产为期望的打折的惩罚函数检验可辨性。最后，我们作为李和周的一个重要例子在职业时间给 Laplace 变换[副词。Appl。Probab， 2013， 45 (4 ) ：1049-1067 ] 。

英文摘要：

We consider the Omega model with underlying Ornstein-Uhlenbeck type surplus process for an insurance company and obtain some useful results. Explicit expressions for the expected discounted penalty function at bankruptcy with a constant bankruptcy rate and linear bankruptcy rate are derived. Based on random observations of the surplus process, we examine the differentiability for the expected discounted penalty function at bankruptcy especially at zero. Finally, we give the Laplace transforms for occupation times as an important example of Li and Zhou [Adv. Appl. Probab., 2013, 45（4）： 1049-1067].

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期刊信息
  • 《南开大学学报：自然科学版》
  • 中国科技核心期刊
  • 主管单位:教育部
  • 主办单位:南开大学
  • 主编：田建国
  • 地址：天津南开区卫津路94号
  • 邮编：300071
  • 邮箱：
  • 电话：022-23501681
  • 国际标准刊号：ISSN：0465-7942
  • 国内统一刊号：ISSN：12-1105/N
  • 邮发代号:6-174
  • 获奖情况:
  • 中国期刊方阵“双效”期刊
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国化学文摘（网络版）,德国数学文摘,英国动物学记录,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:4822