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带干扰风险模型的破产严重性及其恢复代价的测量(英文) 被引量:3

Some Measures of the Severity of Ruin and the Cost of Recovery in the Classical Risk Model Disturbed by Diffusion
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摘要 本文针对带干扰风险模型考虑了由Picard(1994)引进的破产最大严重程度和恢复所需代价的概念以及对它们的测量问题,并给出了相应于Picard(1994)的各种公式的明确表达. In this paper we consider the maximal severity of ruin and the cost of recovery which are proposed by Picard (1994). We will improve and extend the results in Picard (1994) from the classical risk model to the model disturbed by diffusion.
出处 《应用概率统计》 CSCD 北大核心 2007年第1期1-10,共10页 Chinese Journal of Applied Probability and Statistics
基金 National Natural Science Foundation of China(Grant No.10571132) Ph.D.Program Foundation of the Ministry of Education of China
关键词 破产的最大严重程度 恢复所需代价 局部鞅 伊藤公式 Maximal severity of ruin, cost of recovery, local martingale, ItS's formula.
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参考文献5

  • 1Doney, R.A., Hitting probabilities for spectrally positive Levy processes, J. London Math. Soc.,(2)44(1991), 566-576.
  • 2Dufresne, F. & Gerber, H.U., Risk theory for the compound Poisson process that is perturbed by diffusion, Insurance: Mathematics and Economics, 10(1991), 51-59.
  • 3Ikeda, N. & Watanabe, S., Stochastic Differential Equations and Diffusion Processes, North-Holland Publishing Company, 1981.
  • 4Picard, Ph., On some measures of the severity of ruin in the classical Poisson model, Insurance:Mathematics and Economics, 14(1994), 107-115.
  • 5Revuz, D. & Yor, M., Continuous Martingales and Brownian Motion, Springer-Verlag, 1991.

同被引文献10

  • 1董迎辉,王过京.相关负风险和模型的破产概率[J].应用概率统计,2004,20(3):301-306. 被引量:21
  • 2Li Shuangming,Lu Yi.The Decomposition of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov- Modulated Risk Model[].Astin Bulletin.2008
  • 3Liu Juan,Xu Jiancheng.Moments of the Discounted Divi- dends in a Markov-Dependent Risk Model[].Acta Mathe- matica Scientia Series A.2009
  • 4Li S,Garrido J.On Ruin for Erlang(n) Risk Process[].In- surance Mathematics and Economics.2004
  • 5Asmussen S.Ruin Probabilities[]..2000
  • 6Gerber H U,Goovaerts M J,Kass R.On the probability and severity of ruin[].Astin Bulletin.1987
  • 7Reinhard,J M.On a Class of Semi-Markov Risk Models Obtained as Classical Risk Models in a Markovian Environment[].Astin Bulletin.1984
  • 8Albrecher,H,Boxma,O.On the discounted penalty function in a Markov-dependent risk model[].Insur Math Econ.2005
  • 9H. U. Gerber,F. Dufresne.The probability and severity of ruin for combinations of exponential claim amounts and their translations[].Insurance: Mathematics and Economics.1988
  • 10Picard,Ph.On some measures of the severity of ruin in the classical Poisson model[].Insurance: Mathematics and Economics.1994

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