Ruin probability for correlated negative risk sums model with Erlang processes

This paper studies a Sparre Andersen negative risk sums model in which the distribution of ＂interclaim＂ time is that of a sum of n independent exponential random variables. Thus, the Erlang（n） model is a special case. On this basis the correlated negative risk sums process with the common Erlang process is considered. Integro-differential equations with boundary conditions for ψ（u） are given. For some special cases a closed-form expression for ψ（u） is derived.

ON DE FINETTI'S OPTIMAL IMPULSE DIVIDEND CONTROL PROBLEM UNDER CHAPTER 11 BANKRUPTCY

Motivated by recent advances made in the study of dividend control and risk management problems involving the U.S.bankruptcy code,in this paper we follow[44]to revisit the De Finetti dividend control problem under the reorganization process and the regulator's intervention documented in U.S.Chapter 11 bankruptcy.We do this by further accommodating the fixed transaction costs on dividends to imitate the real-world procedure of dividend payments.Incorporating the fixed transaction costs transforms the targeting optimal dividend problem into an impulse control problem rather than a singular control problem,and hence computations and proofs that are distinct from[44]are needed.To account for the financial stress that is due to the more subtle concept of Chapter 11 bankruptcy,the surplus process after dividends is driven by a piece-wise spectrally negative Lévy process with endogenous regime switching.Some explicit expressions of the expected net present values under a double barrier dividend strategy,new to the literature,are established in terms of scale functions.With the help of these expressions,we are able to characterize the optimal strategy among the set of admissible double barrier dividend strategies.When the tail of the Lévy measure is log-convex,this optimal double barrier dividend strategy is then verified as the optimal dividend strategy,solving our optimal impulse control problem.

The Negative Growth of Processing Trade Continued

China’s foreign trade from January to August According to Customs figures,China’s total import and export in August reached 2.04 trillion yuan,down 9.7%year on year(the same below).Export was 1.2 trillion yuan,down 6.1%,and import 0.84 trillion yuan,down 14.3%.Trade surplus was 368 billion yuan,an increase of 20.1%.In terms of the U.S.dollar,the total import and export in August reached US$333.5 billion,

Alternative Approach to the Optimality of the Threshold Strategy for Spectrally Negative Lvy Processes

Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. In this paper, we show that a threshold strategy （also called refraction strategy） forms an optimal strategy under the condition that the Levy measure has a completely monotone density.

Exact joint laws associated with spectrally negative Levy processes and applications to insurance risk theory

We consider the spectrally negative L@vy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum, and the duration of negative values. We apply our results to insurance risk theory to find an explicit expression for the generalized expected discounted penalty function in terms of scale functions. Furthermore, a new expression for the generalized Dickson＇s formula is provided.

A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process

For spectrally negative Lévy process (SNLP), we find an expression, in terms of scale functions, for a potential measure involving the maximum and the last time of reaching the maximum up to a draw-down time. As applications, we obtain a potential measure for the reflected SNLP and recover a joint Laplace transform for the Wiener-Hopf factorization for SNLP.

Stress reaction in freshwater fish in response to extreme impacts and during the reproduction period

The original and published data on the physiological and biochemical reactions in fish in response to stress impact and during the reproduction period are presented.It is shown that at the initial period of stress and before spawning the protective functions in fish are enhanced which relates to the adaptation syndrome.However,during the initial period of stress the damaging effects prevail over the adaptive processes resulting in the decrease in the level of resistance(“alarm reaction”according to Selye).In contrary,during pre-spawning period protective systems dominate along with enhancement of general adaptation syndromes.This facilitates the increase in the level of resistance in the parental fish(“resistance stage”according to Selye).Before the spawning the alarm stage is not manifested.The state comparable to strong stress occurs in the parental fish only during the spawning.This state is accompanied by decrease in the resistance of organism in spawner evidencing exhaustion of protective functions(“exhaustion stage”according to Selye).With time,both at stress and after spawning,within two to three weeks period,the physiological-biochemical parameters recover and stabilize with the normal limits.