Threshold分红策略下带干扰的两类索赔风险模型的Geber-Shiu函数

本文研究了在threshold分红策略下带干扰的两类索赔风险模型的Geber-Shiu函数.这里假设两个索赔计数过程为独立的更新过程,其中一个为Poisson过程另一个为时间间隔服从广义Erlang(2)分布的更新过程.本文得到了threshold分红策略下Gerber-Shiu函数所满足的积分-微分方程及其边界条件....     

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In this paper, an Erlang(2) risk model with time-dependent claims is studied under a multi-layer dividend strategy. First, some piecewise integro-differential equations with certain boundary conditions for the Gerber-Shiu function are derived. Then, applying these results, some defective renewal equations and explicit expressions for the Gerber-Shiu function are obtained when the joint density of the inter-claim time and claim size belongs to the rational family.     

The phase-type risk model perturbed by diffusion under a threshold dividend strategy

This paper considers a perturbed renewal risk process in which the inter-claim times have a phase-type distribution under a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generating function and the mth moment of the present value of all dividends until ruin are derived. Explicit expressions for the expectation of the present value of all dividends until ruin are obtained when the claim amount distribution is from the rational family. Finally, we present an example.     

The Sparre Andersen Risk Process with Investment and Debit Interest

In this paper, we study absolute ruin problems for the Sparre Andersen risk process with generalized Erlang()-distributed inter-claim times, investment and debit interest. We first give a system of integro-differential equations with certain boundary conditions satisfied by the expected discounted penalty function at absolute ruin. Second, we obtain a defective renewal equation under some special cases, then based on the defective renewal equation we derive two asymptotic results for the expected discounted penalty function when the initial surplus tends to infinity for the light-tailed claims and heavy-tailed claims, respectively. Finally, we investigate some explicit solutions and numerical results for generalized Erlang(2) inter-claim times and exponential claims.     

阈红利边界下Erlang(2)风险过程的罚金折现期望函数(英文)

本文研究了阙红利边界TErlang(2)风险过程的罚金折现期望函数.利用算子变换及复合几何分布函数得到了罚金折现期望函数满足的微分积分方程,并给出了罚金折现期望函数解析表达式.     

On a perturbed Sparre Andersen risk model with multi-layer dividend strategy

In this paper, we consider a perturbed Sparre Andersen risk model, in which the inter-claim times are generalized Erlang(n) distributed. Under the multi-layer dividend strategy, piece-wise integro-differential equations for the discounted penalty functions are derived, and a recursive approach is applied to express the solutions. A numerical example to calculate the ruin probabilities is given to illustrate the solution procedure.     

带观察时的跳服从Erlang(n)分布的对偶模型的红利贴现问题

研究了跳服从Erlang(n)分布,随机观察时服从指数分布的对偶风险模型.假设在边值策略下红利分发只在观察时发生,建立了红利期望贴现函数V(u;b)的微积分方程组.给出了当收益额服从PH(m)分布时V(u;b)的解析解.探讨了当收益额服从指数分布时V(u;b)的具体求解方法.     

On the ruin time distribution for a Sparre Andersen process with exponential claim sizes

We derive a closed-form (infinite series) representation for the distribution of the ruin time for the Sparre Andersen model with exponentially distributed claims. This extends a recent result of Dickson et al. [Dickson, D.C.M., Hughes, B.D., Zhang, L., 2005. The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims. Scand. Actuar. J., 358–376] for such processes with Erlang inter-claim times. The derivation is based on transforming the original boundary crossing problem to an equivalent one on linear lower boundary crossing by a spectrally positive Lévy process. We illustrate our result in the cases of gamma, mixed exponential and inverse Gaussian inter-claim time distributions.     

Gerber–Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy

This paper studies a Sparre Andersen model in which the inter-claim times are generalized Erlang(n) distributed. We assume that the premium rate is a step function depending on the current surplus level. A piecewise integro-differential equation for the Gerber–Shiu discounted penalty function is derived and solved. Finally, to illustrate the solution procedure, explicit expression for the Laplace transform of the time to ruin is given when the inter-claim times are generalized Erlang(2) distributed and the claim amounts are exponentially distributed.     

A local limit theorem for the probability of ruin

In this paper, we give a result on the local asymptotic behaviour of the probability of ruin in a continuous-time risk model in which the inter-claim times have an Erlang distribution and the individual claim sizes have a distribution that belongs to S(v) with v≥ 0, but where the Lundberg exponent of the underlying risk process does not exist.     

一类混合分红策略下的广义Erlang(n)风险模型

本文考虑混合分红策略下索赔来到间隔为广义Erlang(n)分布的更新风险模型,利用指数分布的无记忆性,分别得到破产前期望折现分红函数和折现分红的矩母函数满足的积分-微分方程及其边界条件.最后给出索赔为指数分布及索赔来到间隔为广义Erlang(2)分布的风险模型的期望折现分红函数的精确表达式.     

带干扰广义Elang(n)风险过程的破产前最大盈余

本文考虑了索赔时间间距为广义Erlang(n)分布的带干扰更新(Sparre Andersen)风险过程.所用的方法类似于Albrecher,et al.(2005),即将广义Erlang(n)随机变量分解成n个独立的指数随机变量的和.建立了破产前最大盈余所满足的积分-微分方程,讨论了索赔量分布为K<,m>分布时的特殊情形.     

具有常红利边界和延迟索赔的一类离散更新风险模型

考虑了具有常红利边界和延迟索赔的一类离散更新风险模型,其中间隔索赔到达时间从离散phase-type分布.定义了两种类型的索赔:主索赔和副索赔,主索赔以一定的概率引起副索赔且副索赔会以一定的概率被延迟到下一时段.通过引入辅助风险模型,推导了破产前红利折现期望满足的差分方程及其解.最后给出了当索赔额服从几何分布时的有关数值例子.     

Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims

In this paper we consider a risk model with two independent classes of insurance risks. We assume that the two independent claim counting processes are, respectively, the Poisson and the generalized Erlang(2) process. We prove that the Gerber-Shiu function satisfies some defective renewal equations. Exact representations for the solutions of these equations are derived through an associated compound geometric distribution and an analytic expression for this quantity is given when the claim severities have rationally distributed Laplace transforms. Further, the same risk model is considered in the presence of a constant dividend barrier. A system of integro-differential equations with certain boundary conditions for the Gerber-Shiu function is derived and solved. Using systems of integro-differential equations for the moment-generating function as well as for the arbitrary moments of the discounted sum of the dividend payments until ruin, a matrix version of the dividends-penalty is derived. An extension to a risk model when the two independent claim counting processes are Poisson and generalized Erlang(ν), respectively, is considered, generalizing the aforementioned results.     

带干扰phaes-type风险模型中的最大盈余及相关分布

本文考虑了索赔时间间距为phase-type分布时带干扰更新风险模型中的破产前最大盈余、破产后赤字的分布,建立了相应的积分-微分方程.最后,讨论了当索赔时间间距为Erlang(2)分布且索赔量满足指数分布时的特殊情形.     

The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds

In this paper, we consider a perturbed risk model with two independent classes of risks under multiple thresholds in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations with boundary conditions for the expected discounted penalty function. Explicit expressions are derived if the two classes claim amount distributions both belong to the rational family.     

Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang

This article deals with the ruin probability in a Sparre Andersen risk process with the inter-claim times being Erlang distributed in the framework of piecewise deterministic Markov process (PDMP). We construct an exponential martingale by virtue of the extended generator of the PDMP to change the measure. Some results are derived for the ruin probabilities, such as the general expressions for ruin probability, Lundberg bounds, Cramér-Lundberg approximations, and finite-horizon ruin probability.     

The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy

In this paper, we consider the compound Poisson risk model perturbed by diffusion with constant interest and a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generation function and the nth moment of the present value of all dividends until ruin are derived. We also derive integro-differential equations with boundary conditions for the Gerber-Shiu functions. The special case that the claim size distribution is exponential is considered in some detail.     

Regular boundary value problems for complete second order elliptic differential-operator equations in UMD Banach spaces

We consider coerciveness and Fredholmness of nonlocal boundary value problems for complete second order elliptic differential-operator equations in UMD Banach spaces. In some special cases, the main coefficients of the boundary conditions may be bounded operators and not only complex numbers. Then, we prove an isomorphism, in particular, maximal L _p -regularity, of the problem with a linear parameter in the equation. In both cases, the boundary conditions may also contain unbounded operators in perturbation terms. Finally, application to regular nonlocal boundary value problems for elliptic equations of the second order in non-smooth domains are presented. Equations and boundary conditions may contain differential-integral parts. The spaces of solvability are Sobolev type spaces W _p,q ^2,2. The first author is a member of G.N.A.M.P.A. and the paper fits the 60% research program of G.N.A.M.P.A.-I.N.D.A.M.; The third author was supported by the Israel Ministry of Absorption.     

具有常数红利边界的两类索赔相关风险模型数

研究常数红利边界下两类索赔相关的风险模型,两类索赔计数过程分别为独立的Poisson过程和广义Erlang(2)过程.利用分解Gerber-Shiu函数的方法,得到了Gerber-Shiu函数满足的积分-微分方程、边界条件、解析表达式及两类索赔额均服从指数分布时的破产概率表达式.