带线性红利和干扰的复合Poisson-Geometric风险模型的破产问题

考虑了常利力环境下,包含线性红利、随机干扰和随机保费的复合P-G风险模型。通过应用全期望公式,推导出该模型的Gerber-Shiu函数及破产概率的更新方程。在不考虑分红且保费额和索赔额均服从指数分布时,进一步得到了破产概率所满足的具体微分方程,并求解得到了其解析表达式。通过数值实验,系统分析了多个关键因素对破产概率的具体影响,所得结论与保险公司的实际经营情况相吻合。

Probability Distributions Arising in Connection with the Inspection Paradox for the Poisson Process

The Inspection Paradox refers to the fact that in a Renewal Process, the length of the interarrival period which contains a fixed time is stochastically larger than the length of a typical interarrival period. To provide a more complete understanding of this phenomenon, conditioning arguments are used to obtain the distributions and moments of the lengths of the interarrival periods other than the one containing this fixed time for the case of the time-homogeneous Poisson Process. Distributions of the waiting times for events that occur both before and after this fixed time are derived. This provides a fairly complete probabilistic analysis of the Inspection Paradox.

One-Sample Bayesian Predictive Analyses for a Nonhomogeneous Poisson Process with Delayed S-Shaped Intensity Function Using Non-Informative Priors

The delayed S-shaped software reliability growth model (SRGM) is one of the non-homogeneous Poisson process (NHPP) models which have been proposed for software reliability assessment. The model is distinctive because it has a mean value function that reflects the delay in failure reporting: there is a delay between failure detection and reporting time. The model captures error detection, isolation, and removal processes, thus is appropriate for software reliability analysis. Predictive analysis in software testing is useful in modifying, debugging, and determining when to terminate software development testing processes. However, Bayesian predictive analyses on the delayed S-shaped model have not been extensively explored. This paper uses the delayed S-shaped SRGM to address four issues in one-sample prediction associated with the software development testing process. Bayesian approach based on non-informative priors was used to derive explicit solutions for the four issues, and the developed methodologies were illustrated using real data.

Empirical Likelihood Statistical Inference for Compound Poisson Vector Processes under Infinite Covariance Matrix

The paper discusses the statistical inference problem of the compound Poisson vector process(CPVP)in the domain of attraction of normal law but with infinite covariance matrix.The empirical likelihood(EL)method to construct confidence regions for the mean vector has been proposed.It is a generalization from the finite second-order moments to the infinite second-order moments in the domain of attraction of normal law.The log-empirical likelihood ratio statistic for the average number of the CPVP converges to F distribution in distribution when the population is in the domain of attraction of normal law but has infinite covariance matrix.Some simulation results are proposed to illustrate the method of the paper.

THE JOINT DISTRIBUTIONS OF SOME ACTUARIAL DIAGNOSTICS FOR THE JUMP-DIFFUSION RISK PROCESS

In this article, the joint distributions of several actuarial diagnostics which are important to insurers＇ running for the jump-diffusion risk process are examined. They include the ruin time, the time of the surplus process leaving zero ultimately （simply, the ultimately leaving-time）, the surplus immediately prior to ruin, the supreme profits before ruin, the supreme profits and deficit until it leaves zero ultimately and so on. The explicit expressions for their distributions are obtained mainly by the various properties of Levy process, such as the homogeneous strong Markov property and the spatial homogeneity property etc, moveover, the many properties for Brownian motion.

Optimal Control for Insurers with a Jump-diffusion Risk Process

In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and the reinsurance premium is calculated according to the variance principle, the implicit expression of the priority and corresponding value function when the utility function is exponential are obtained. At last, the value function is argued, the properties of the priority about parameters are discussed and numerical results of the priority for various claim-size distributions are shown.

On Optimal Sparse-Control Problems Governed by Jump-Diffusion Processes

A framework for the optimal sparse-control of the probability density function of a jump-diffusion process is presented. This framework is based on the partial integro-differential Fokker-Planck (FP) equation that governs the time evolution of the probability density function of this process. In the stochastic process and, correspondingly, in the FP model the control function enters as a time-dependent coefficient. The objectives of the control are to minimize a discrete-in-time, resp. continuous-in-time, tracking functionals and its L2- and L1-costs, where the latter is considered to promote control sparsity. An efficient proximal scheme for solving these optimal control problems is considered. Results of numerical experiments are presented to validate the theoretical results and the computational effectiveness of the proposed control framework.

Integro-Differential Equations for a Jump-Diffusion Risk Process with Dependence between Claim Sizes and Claim Intervals

The classical Poisson risk model in ruin theory assumed that the interarrival times between two successive claims are mutually independent, and the claim sizes and claim intervals are also mutually independent. In this paper, we modify the classical Poisson risk model to describe the surplus process of an insurance portfolio. We consider a jump-diffusion risk process compounded by a geometric Brownian motion, and assume that the claim sizes and claim intervals are dependent. Using the properties of conditional expectation, we establish integro-differential equations for the Gerber-Shiu function and the ultimate ruin probability.

带有投资收益率和双保费复合Poisson-Geometric风险模型的研究

研究了保费收入为线性增长和随机保费的风险模型,且随机保费的保单数服从复合Poisson过程,理赔次数服从复合Poisson-Geometric过程.应用全概率公式和积分变换公式,推导了该模型Gerber-Shiu折现罚金函数满足的更新方程,并当随机保费、理赔过程均服从特定指数分布时,得到了该模型破产概率的解析解,最后通过数值模拟对理论进行了分析验证.

带投资和分红策略下复合Poisson-Geometric风险模型的研究

考虑投资和分红策略下,建立带有混合收费及索赔计数服从复合Poisson-Geometric过程的风险模型。运用全期望公式与积分变换公式,研究该模型红利付款现值期望函数满足的微积分方程和特定指数分布下满足的微分方程及解析解,通过数值模拟分析了固定保费率、初始资本、投资资产、索赔强度和红利边界对红利付款现值期望函数的影响,并分析其经济意义。

On approximating multifractal traffic burstiness with Markov modulated Poisson processes

We investigate the approximating capability of Markov modulated Poisson processes (MMPP) for modeling multifractal Internet traffic. The choice of MMPP is motivated by its ability to capture the variability and correlation in moderate time scales while being analytically tractable. Important statistics of traffic burstiness are described and a customized moment-based fitting procedure of MMPP to traffic traces is presented. Our methodology of doing this is to examine whether the MMPP can be used to predict the performance of a queue to which MMPP sample paths and measured traffic traces are fed for comparison respectively, in addition to the goodness-of-fit test of MMPP. Numerical results and simulations show that the fitted MMPP can approximate multifractal traffic quite well, i.e. accurately predict the queueing performance.

Poisson截断δ冲击模型失效参数的Bayes估计

针对Poisson截断δ冲击模型失效参数的估计问题,利用Bayes估计方法,在最小均方误差原则下,基于寿命终止时总冲击次数及冲击到达时间这两类样本数据,在不同的先验假设下,给出Poisson截断δ冲击模型失效参数δ的Bayes估计量.

ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES

This article considers a risk model as in Yuen et al. （2002）. Under this model the two claim number processes are correlated. Claim occurrence of both classes relate to Poisson and Erlang processes. The formulae is derived for the distribution of the surplus immediately before ruin, for the distribution of the surplus immediately after ruin and the joint distribution of the surplus immediately before and after ruin. The asymptotic property of these ruin functions is also investigated.

STABLE SUB-GAUSSIAN MODELS CONSTRUCTED BY POISSON PROCESSES

In this paper, we first prove that one-parameter standard α-stable sub-Gaussian processes can be approximated by processes constructed by integrals based on the Poisson process with random intensity. Then we extend this result to the two-parameter processes. At last, we consider the approximation of the subordinated fractional Brownian motion.

The dynamic power management for embedded system with Poisson process

The mass of the embedded systems are driven by second batteries, not by wired power supply. So saving energy is one of the main design goals for embedded system. In this paper we present a new technique for modelling and solving the dynamic power management (DPM) problem for embedded systems with complex behavioural characteristics. First we model a power-managed embedded computing system as a controllable Flow Chart. Then we use the Poisson process for optimisation, and give the power management algorithm by the help of Dynamic Voltage Scaling (DVS) technology. At last we built the experi- mental model using the PXA 255 Processors. The experimental results showed that the proposed technique can achieve more than 12% power saving compared to other existing DPM techniques.

Bayesian Reliability——Growth Analysis for Statistical of Diverse Population Based on Non-homogeneous Poisson Process

New armament systems are subjected to the method for dealing with multi-stage system reliability-growth statistical problems of diverse population in order to improve reliability before starting mass production. Aiming at the test process which is high expense and small sample-size in the development of complex system, the specific methods are studied on how to process the statistical information of Bayesian reliability growth regarding diverse populations. Firstly, according to the characteristics of reliability growth during product development, the Bayesian method is used to integrate the testing information of multi-stage and the order relations of distribution parameters. And then a Gamma-Beta prior distribution is proposed based on non-homogeneous Poisson process（NHPP） corresponding to the reliability growth process. The posterior distribution of reliability parameters is obtained regarding different stages of product, and the reliability parameters are evaluated based on the posterior distribution. Finally, Bayesian approach proposed in this paper for multi-stage reliability growth test is applied to the test process which is small sample-size in the astronautics filed. The results of a numerical example show that the presented model can make use of the diverse information synthetically, and pave the way for the application of the Bayesian model for multi-stage reliability growth test evaluation with small sample-size. The method is useful for evaluating multi-stage system reliability and making reliability growth plan rationally.

Hyper-exponential jump-diffusion model under the barrier dividend strategy

In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber- Shiu function are obtained via martingale stopping.

Grey-based approach for estimating software reliability under nonhomogeneous Poisson process

Due to the randomness and time dependence of the factors affecting software reliability, most software reliability models are treated as stochastic processes, and the non-homogeneous Poisson process(NHPP) is the most used one.However, the failure behavior of software does not follow the NHPP in a statistically rigorous manner, and the pure random method might be not enough to describe the software failure behavior. To solve these problems, this paper proposes a new integrated approach that combines stochastic process and grey system theory to describe the failure behavior of software. A grey NHPP software reliability model is put forward in a discrete form, and a grey-based approach for estimating software reliability under the NHPP is proposed as a nonlinear multi-objective programming problem. Finally, four grey NHPP software reliability models are applied to four real datasets, the dynamic R-square and predictive relative error are calculated. Comparing with the original single NHPP software reliability model, it is found that the modeling using the integrated approach has a higher prediction accuracy of software reliability. Therefore, there is the characteristics of grey uncertain information in the NHPP software reliability models, and exploiting the latent grey uncertain information might lead to more accurate software reliability estimation.

One-Sample Bayesian Predictive Analyses for an Exponential Non-Homogeneous Poisson Process in Software Reliability

The Goel-Okumoto software reliability model, also known as the Exponential Nonhomogeneous Poisson Process,is one of the earliest software reliability models to be proposed. From literature, it is evident that most of the study that has been done on the Goel-Okumoto software reliability model is parameter estimation using the MLE method and model fit. It is widely known that predictive analysis is very useful for modifying, debugging and determining when to terminate software development testing process. However, there is a conspicuous absence of literature on both the classical and Bayesian predictive analyses on the model. This paper presents some results about predictive analyses for the Goel-Okumoto software reliability model. Driven by the requirement of highly reliable software used in computers embedded in automotive, mechanical and safety control systems, industrial and quality process control, real-time sensor networks, aircrafts, nuclear reactors among others, we address four issues in single-sample prediction associated closely with software development process. We have adopted Bayesian methods based on non-informative priors to develop explicit solutions to these problems. An example with real data in the form of time between software failures will be used to illustrate the developed methodologies.

HITTING PROBABILITIES OF WEIGHTED POISSON PROCESSES WITH DIFFERENT INTENSITIES AND THEIR SUBORDINATIONS

In this article,we study the hitting probabilities of weighted Poisson processes and their subordinated versions with different intensities.Furthermore,we simulate and analyze the asymptotic properties of the hitting probabilities in different weights and give an example in the case of subordination.