位置：成果数据库 > 期刊 > 期刊详情页
Gerber-Shiu function of a discrete risk model with and without a constant dividend barrier
  • ISSN号：0465-7942
  • 期刊名称：《南开大学学报：自然科学版》
  • 时间：0
  • 分类：O211.67[理学—概率论与数理统计;理学—数学] TB9[机械工程—测试计量技术及仪器;一般工业技术—计量学]
  • 作者机构：[1]Department of Mathematics, Tianjin Polytechnic University, Tianjin 300387, China, [2]School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, China
  • 相关基金：Acknowledgements This work was supported in part by the National Natural Science Foundation of China （Crant Nos. 11226203, 11226204, 11171164, 11271385, 11401436）.
作者： Shanshan WANG[1], Chuangji AN[2], Chunsheng ZHANG[2]
关键词： 风险模型, 离散, 联合密度函数, 柏, 屏障, 恒定, 破产赤字, 积分方程, Discrete risk model, Gerber-Shiu function, time of ruin, surplus before ruin, deficit at ruin, dividend
中文摘要：

我们与指数的主张尺寸考虑分离风险模型。我们为三个特征的联合密度函数导出有限明确的基本表达式：毁灭的时间，剩余立即在在毁灭的毁灭，和赤字前。由使用明确的联合密度功能，我们没有红利为 Gerber-Shiu 功能给简明表情。最后，我们在障碍红利策略下面为 Gerber-Shiu 功能获得一个不可分的方程。没有红利和相应同类的不可分的方程的解决方案，解决方案能被表示为 Gerber-Shiu 函数的联合。没有红利，这后者功能借助于 Gerber-Shiu 功能清楚地被给。

英文摘要：

We consider the discrete risk model with exponential claim sizes. We derive the finite explicit elementary expression for the joint density function of three characteristics： the time of ruin, the surplus immediately before ruin, and the deficit at ruin. By using the explicit joint density function, we give a concise expression for the Gerber-Shiu function with no dividends. FinMly, we obtain an integral equation for the Gerber-Shiu function under the barrier dividend strategy. The solution can be expressed as a combination of the Gerber-Shiu function without dividends and the solution of the corresponding homogeneous integral equation. This latter function is given clearly by means of the Gerber- Shiu function without dividends .

同期刊论文项目
几类含借贷利率风险过程的绝对破产与分红问题
期刊论文 6
几类风险过程的实质性破产问题
期刊论文 9
保险风险理论中的随机最优控制问题
期刊论文 44
基于多种保费准则的最优风险控制
期刊论文 5
几类带有loss-carry-forward税收的风险模型的研究
期刊论文 6
同项目期刊论文
A STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATIO
Optimal investment with multiple risky assets under short-selling prohibition in a periodic environm
Optimal dividend and equity issuance problem with proportional and fixed transaction costs
Virial Theorem for a Class of Quantum Nonlinear Harmonic Oscillators
Optimal dividend and dynamic reinsurance strategies with capital injections and proportional costs
Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk mo
Optimal dividend problem with a nonlinear regular-singular stochastic control
A Duality Result for the Generalized Erlang Risk Model
Optimal Control with Restrictions for a Diffusion Risk Model Under Constant Interest Force
Survival probabilities in a discrete semi-Markov risk model
Archimedean copulas in finite and infinite dimensions—with application to ruin problems
Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an
Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setti
On the compound Poisson risk model with dependence and a threshold dividend strategy
Optimaldividend policy: regular-impulse stochastic control.
Optimal investment with a value -at-risk constraint
Optimal Mean-Variance Problem with Constrained Controls in a Jump- Diffusion Financial Market for an
A duality for the generalized Erlang risk model 
指数保费准则下的最优投资和比例再保险
Expected discounted dividends in a discrete semi-Markov risk model
均值回归模型下最优人寿保险的购买和投资消费问题
Stochastic differential equations driven by fractional Brownian motion and Poisson point process
The hitting time for a Cox risk process
Optimal Investment, Consumption and Life Insurance in an Incomplete Market.
Construction of Positive-Operator Valued Measures via Wavefunctions of Physical Systems
Upper Bounds for Ruin Probabilities under Stochastic Interest Rate and Optimal Investment Strategies
Optimal Time-Consistent Portfolio and Contribution Selection for Defined Benefit Pension Schemes und
Optimization of risk policy and dividends with fixed transaction costs under interest rate
关于离散时间鞅理论的2个具体应用
相依对偶模型的G-S函数
带有借款利息和税收的常利率风险模型（英文）
Erlang（n）风险模型下破产时和破产前索赔次数的联合密度（英文）
广义Erlang（2）风险模型下破产时和破产前索赔次数的联合密度（英文）
常分红壁下相依对偶模型的G-S函数
Ornstein-Uhlenback type Omega model
On a Constant Interest Risk Model with Debit Interest and Tax Payments
The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy
带有借款利息和税收的常利率风险模型（英文）
基于改进蝙蝠算法的背包问题求解
带有借款利息和税收的常利率风险模型（英文）
Erlang（n）风险模型下破产时和破产前索赔次数的联合密度（英文）
广义Erlang（2）风险模型下破产时和破产前索赔次数的联合密度（英文）
Ornstein-Uhlenback type Omega model
Total duration of negative surplus for a Brownian motion risk model with interest
带有借款利息和税收的常利率风险模型
带有借款利息和税收的常利率风险模型（英文）
Ornstein-Uhlenback type Omega model
Ornstein-Uhlenback type Omega model
Joint Distribution for the Risk Process with Premiums Depending on the Current Reserve
索赔服从伽马分布的经典风险模型的破产概率
复合泊松风险模型中观察间隔为混合指数分布的贴现罚金函数
基于Ornstein-Uhlenback类模型的最优分红
基于第四类Chebyshev多项式零点的Lagrange插值多项式逼近
一类对偶风险模型随机观察下的边界分红
一类Omega模型的期望折现罚金函数
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