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MAXIMUM PRINCIPLE FOR FORWARD-BACKWARD STOCHASTIC CONTROL SYSTEM WITH RANDOM JUMPS AND APPLICATIONS TO FINANCE
  • 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：O211.67[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]山东交通学院理学院,山东济南250023, [2]山东财经大学保险学院,山东济南250014
  • 相关基金：国家自然科学基金（11171187 10921101）; 教育部人文社会科学研究项目基金（10YJC630092 09YJC910004）; 山东省自然科学基金（ZR2010GL013）; 山东省高等学校人文社会科学研究项目（J10WF84）; 山东省统计科研重点课题（KT11069和KT11061）; 山东交通学院院科研项目（Z201031）
作者： Jingtao SHI Zhen WU
关键词： 多元风险模型, 稀疏过程, 破产下限, 破产概率, 干扰, 鞅, the multidimensional risk model, thinning process, the limit of ruin, the probabilty of ruin, diffusion, Martingale
中文摘要：

研究了稀疏过程下多元相依风险模型在假定变破产下限的破产概率,其中索赔产生时依赖概率ρ的可能性同时产生一次续保,即续保过程是索赔的ρ-稀疏过程.运用鞅方法得到了当破产下限为某些特征函数时破产概率所满足的不等式或破产概率的具体表达式.

英文摘要：

We study the probability of ruin in a multidimensional dependent risk model of a variable ruin limit under thinning process,where the claim may produce a repremium with probability p,i.e.the repremium process is the p-thinning process of the claim process. We obtain the inequalities and equalities of the probability of ruin by means of martingale approach on the assumption that the limit of ruin is especial functions.

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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