搜索结果: 1-13 共查到“Risk Process”相关记录13条 . 查询时间(0.083 秒)
Optimal insurance strategies in a risk process with restrictions on policyholder risks
optimal choice problem risk-bearing function an insurer dynamic insurance model maximizing unit utility
2011/9/6
We consider the optimal choice problem by a risk-bearing function for an insurer to divide risks between him and his clients in a dynamic insurance model, the so-called Cramer-Lundberg risk process. I...
Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity value function exit time
2010/10/21
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism...
Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity of the value function
2010/12/8
This paper is concerned with cost optimization of an insurance company. The sur-plus of the insurance company is modeled by a controlled regime switching diffusion,where the regime switching mechanism...
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. ...
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/28
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. T...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/27
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{...
Tail probabilities for a risk process with subexponential jumps in a regenerative and diffusion environment
Ruin probability Cox process diffusion process exponential change of measure
2009/9/21
In this paper we fmd a nonexponential Lundberg approximation
of the ruin probability in a Cox model, in which a governing
process has a regenerative structure and claims are light-tailed or
have an...
ON APPROXIMATIONS OF RISK PROCESS WITH RENEWAL ARRIVALS IN a-STABLE DOMAIN
Risk process heavy traffic light traffic a-stable LBvy motion
2009/9/18
In this paper we approximate risk process by an
a-stable Uvy motion (1 < a < 2). We consider two conditions imposed
on the value of the premium rate. The first one assumes that the
premiums exceed ...
Moments of the Discounted Dividends in a Threshold-Type Markovian Risk Process
Discounted Dividends Threshold-Type Markovian Risk Process
2009/9/17
Moments of the Discounted Dividends in a Threshold-Type Markovian Risk Process。
On the probability of reaching a barrier in an Erlang（2） risk process
risk theory Erlang distribution upper barrier ordinary differential equation boundary conditions
2009/2/23
In this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more gene...
Some Results for Classical Risk Process with Stochastic Return on Investments
ruin probability supremum distribution before ruin
2007/12/11
In this paper, we discuss the classical risk process with stochastic return on investment. We prove some properties of the ruin probability, the supremum distribution before ruin and the surplus distr...
In this paper we consider the risk process that is described by a piecewise deterministic Markov processes (PDMP). We first present the construction of the risk process and then discuss some ruin prob...