带干扰的保费随机收取的双险种风险模型

推广了已有文献中提出的带干扰的双险种复合负二项风险模型,让保费收取次数服从负二项分布,两类险种的索赔也服从负二项分布,得到了带干扰的保费随机收取的双险种风险模型,给出了破产概率的一般表达式和上界．     

带干扰的连续型风险模型

本文先引入带干扰的双复合poisson风险模型,并利用正态近似和平移伽玛近似,将其推广为带干扰的连续型风险模型,最终得到破产概率公式及它的一个上界.     

带干扰的积分高斯过程的破产概率

本文研究了带干扰的积分高斯过程的破产概率.利用经典大偏差的方法,在一定的条件下,得到了相应概率的对数渐近式及测度族的大偏差原理.结果表明在不带干扰的情形下与已有结果一致.     

NORMAL切换系统在干扰下的性质

考虑了具有有界干扰NORMAL切换系统的稳定性分析,运用Lyapunov函数给出了干扰的界限.主要解决了切换系统在有界干扰下的稳定性分析,给出了当系统干扰满足一定的条件时,切换系统在任意的切换条件下轨迹渐近稳定.同时讨论了带干扰的线性切换系统的镇定问题.问题的讨论中对系统的要求少,因此更具一般性.     

带干扰风险模型中破产概率的Feller表示及可微性

给出带干扰风险模型中破产概率的Ｆｅｌｌｅｒ表示，并证明带干扰风险模型的破产概率的二次连续可微性。     

多干扰切换系统的抗干扰容错控制（英文）

针对带有多干扰和执行器故障切换系统,文章提出了一种复合抗干扰容错控制器.干扰分为两大类:一类假定为范数有界干扰;另一类可看作带有参数摄动的外部系统描述的干扰.首先,设计了复合观测器同时估计由外部系统描述的外部干扰和执行器故障.其次,基于干扰观测器控制方法,故障调节以及L_2-L_∞控制,给出了具有干扰抑制和干扰衰减性能的复合抗干扰容错控制器.借助于平均驻留时间方法和Lyapunov函数方法,分析了闭环系统的稳定性.最后,通过数值例子证明了所提方法的有效性.     

一类时变非线性系统的一致有界性的注记

主要研究带干扰的广义齐次系统的一致有界和一致最终有界性 ,证明了当干扰项满足一致有界及Lp 可积时系统的一致有界性及一致最终有界性 ,本质推广了最近相关文献中的有关系统一致有界性的结果 .     

常利率下带干扰的Cox模型的破产概率

讨论了常利率下带干扰的Cox模型的破产概率,分别得到了条件破产概率和最终破产概率所满足的微积分方程.     

随机保费下扰动风险模型总索赔盈余的大偏差

考虑随机保费下带干扰的风险模型,其中保费额和索赔额各自形成了END的随机变量序列,保费次数是由一个拟更新过程描绘,干扰项是由一个布朗运动过程来刻画.在索赔额分布属于一致变化类的条件下,给出了总索赔盈余过程的精致大偏差.     

重尾索赔下带干扰更新模型的破产理论

研究了带干扰的更新风险模型,得到了重尾索赔下罚金折现期望函数的渐近表达式.     

A matrix-based VaR model for risk identification in power supply networks

This paper presents a value-at-risk (VaR) model based on the singular value decomposition (SVD) of a sparsity matrix for voltage risk identification in power supply networks. The matrix-based model provides a more computationally efficient risk assessment method than conventional models such as probability analysis and sensitivity analysis, for example, and provides decision makers in the power supply industry with sufficient information to minimize the risk of network collapse or blackouts. The VaR model is incorporated into a risk identification system (RIS) programmed in the MATLAB environment. The feasibility of the proposed approach is confirmed by performing a series of risk assessment simulations using the standard American Electric Power (AEP) test models (i.e. 14-, 30- and 57-node networks) and a real-world power network (Taiwan power network), respectively. In general, the simulated results confirm the ability of the matrix-based model VaR model to efficient identify risk of power supply networks.     

多险种复合Poisson风险模型和破产概率

经典风险模型只描述了单一险种的经营模式,具有局限性,本文对多险种的复合Poisson风险模型的破产概率进行了研究。本文给出了初始资本为0时破产概率皿（O）的明确表达式,以及理赔量服从指数分布且初始资本为u时破产概率ψ（u）的明确表达式。     

Solvency of an Insurance Company in a Dual Risk Model with Investment: Analysis and Numerical Study of Singular Boundary Value Problems

Computational Mathematics and Mathematical Physics - The survival probability of an insurance company in a collective pension insurance model (so-called dual risk model) is investigated in the case...     

An integrated model for earthquake risk and damage assessment

The primary objective of this paper was to develop an integrated model for earthquake risk and damage assessment. This model consists of three major submodules - the physical damage functions, the economic damage functions, and the institutional aspects related to risk mitigation policies and community preparedness. While the physical damage functions are related to earthquake risk prediction utilizing both probabilistic and deterministic approaches, the economic damage functions refer to the potential vulnerability of various populations at earthquake risk.The feasibility of this model was tested with historical and projected data on earthquake risk and impacted populations for the New Madrid Fault region which includes St. Louis and Memphis Standard Metropolitan Statistical Areas. If the 1811–1812 New Madrid earthquakes would recur between 1980 and 2030, the damage results from the simulations of this model based on the status quo scenario, indicate that the region would experience structural losses in billions of dollars and a death toll of hundreds of persons.     

多元Copula-GARCH模型及其在金融风险分析上的应用

针对传统风险分析模型的不足,结合Copula技术和GARCH模型,提出了多元Copula-GARCH模型。指出该模型不仅可以捕捉金融市场间的非线性相关性,还可以得到更灵活的多元分布进而用于资产投资组合VaR分析。在详细探讨了基于Copula技术的资产投资组合的MonteCarlo仿真技术的基础上,运用具有不同边缘分布的多元Copula-GARCH模型,对上海股市进行了研究,结果证实了所提模型和方法的可行性和有效性。     

A Bond Pricing Model with Credit Migration Risk: Different Upgrade and Downgrade Thresholds

Acta Mathematicae Applicatae Sinica, English Series - In this paper, a new corporate bond pricing model with credit migration risk is proposed. This model sets different thresholds for the rising...     

Symptotic estimates of insurance tariffs in the individual risk model

In the paper, asymptotic estimates of insurance tariffs that are least admissible for the insurer are obtained; the individual risk model and factorization model of an insurance claim for various distributions of insurance portfolio volume are considered. Supported by the Russian Humanitarian Scientific Foundation (grant No. 97-02-02235) and by the Russian Foundation for Fundamental Research (grant No. 93-01-00271). Proceedings of the Seminar on Stability Problems for Stochastic Models, Moscow, Russia, 1996, Part I.     

Characterizations of risk aversion in cumulative prospect theory

In this paper, we investigate the necessary and sufficient conditions for a decision maker to be monotone risk averse and left-monotone risk averse, respectively, in cumulative prospect theory (CPT). Our results show that the decision maker is more pessimistic than greedy if she is either monotone or left-monotone risk averse, which is similar to that of Chateauneuf et al. (Econ Theory 25(3):649–667, 2005) in the rank-dependent expected utility model. Detailed examples are presented to illustrate the main theorems. With this work, we make a progress in the characterizations of risk aversion in CPT, which is essential in understanding the features of CPT and its applications in finance and insurance.

     

Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models

This research proposes a mortality model with an age shift to project future mortality using principal component analysis (PCA). Comparisons of the proposed PCA model with the well-known models—the Lee-Carter model, the age-period-cohort model (Renshaw and Haberman, 2006), and the Cairns, Blake, and Dowd model—employ empirical studies of mortality data from six countries, two each from Asia, Europe, and North America. The mortality data come from the human mortality database and span the period 1970-2005. The proposed PCA model produces smaller prediction errors for almost all illustrated countries in its mean absolute percentage error. To demonstrate longevity risk in annuity pricing, we use the proposed PCA model to project future mortality rates and analyze the underestimated ratio of annuity price for whole life annuity and deferred whole life annuity product respectively. The effect of model risk on annuity pricing is also investigated by comparing the results from the proposed PCA model with those from the LC model. The findings can benefit actuaries in their efforts to deal with longevity risk in pricing and valuation.     

Dividend Payments in a Perturbed Compound Poisson Model with Stochastic Investment and Debit Interest

Ukrainian Mathematical Journal - We consider a compound Poisson insurance risk model perturbed by diffusion with stochastic return on investment and debit interest. If the initial surplus is...