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COMPLETE MONOTONICITY OF THE PROBABILITY OF RUIN AND DE FINETTI＇S DIVIDEND PROBLEM
  • ISSN号：1009-6124
  • 期刊名称：《系统科学与复杂性学报：英文版》
  • 时间：0
  • 分类：O156.4[理学—数学;理学—基础数学] O211.67[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]School of Mathematical Sciences,Qufu Normal University, School of Mathematical Science and Computing Technology,Central South University
  • 相关基金：This paper was supported by the National Natural Science Foundation of China under Grant No. 11171179 and the Research Fund for the Doctoral Program of Higher Education of China under Grant No. 20093705110002.Acknowledgement We would like to thank the anonymous referees who gave us many constructive suggestions and valuable comments on the previous version of this paper.
作者： Hua DONG Chuancun YIN
关键词： 完全单调性, 破产概率, 古典风险模型, 副产品, Barrier strategy, classical risk model, complete monotonicity, log-convexity, optimaldividend problem, perturbed classical risk model.
中文摘要：

这份报纸学习毁灭的概率的完全的 monotonicity 在古典风险模型和古典风险为那建模被散开使不安。作为一个副产品，作者由于 Loeffen (2008 ) 在最佳的红利问题上把一个其他的证明给结果。

英文摘要：

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 proof to a result on the optimal dividend problem due to Loeffen （2008）.

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期刊信息
  • 《系统科学与复杂性学报：英文版》
  • 主管单位:中国科学院
  • 主办单位:中国科学院系统科学研究所
  • 主编：
  • 地址：北京东黄城根北街16号
  • 邮编：100080
  • 邮箱：
  • 电话：010-62541831 62541834
  • 国际标准刊号：ISSN：1009-6124
  • 国内统一刊号：ISSN：11-4543/O1
  • 邮发代号:82-545
  • 获奖情况:
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,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,美国工程索引,美国科学引文索引（扩展库）,英国科学文摘数据库
  • 被引量:125