两类风险过程破产概率的比较

本文考虑含两个类的风险模型,先讨论类之间的相关性对保费计算的影响,然后引进两个不同的风险过程,我们比较这两个不同模型的破产概率,主要比较它们的Lundberg指数的大小,并对指数理赔分布的情形给出数值结果.     

双二项风险模型的破产概率

经典的复合二项风险模型是假定保险公司按照单位时间常数速度收取保费 ,本文在考虑保费收取次数服从二项分布的基础上讨论盈余的性质 ,并给出关于破产概率的一个定理 ,得到破产概率的一个上限     

风险的变异序在保险中的应用

利用风险的变异序,对保险中两类问题——保费计算和破产概率进行了研究.首先通过建立一种变异序原理,从精算数学的角度给出常用的三种保费计算法的合理性,其次研究了破产风险与变异序的关系,得出结论:较变异的风险将导致高风险的破产.     

保费随机收取的广义二元复合非齐次Poisson风险模型

研究了一类双险种风险模型,其中索赔到达计数过程和保费到达计数过程均为非齐次Po isson过程,用鞅方法得到了有限时间破产概率的一个上界,并给出了当两个险种的个体索赔均服从指数分布时,有限时间破产概率的上界估计.     

双二项风险模型的破产概率

首先将经典的复合二项风险模型推广到保费到达过程与个体索赔过程是两个相互独立的二项过程的一种新模型，然后运用两种方法得出破产概率满足的一般公式和Lundberg不等式．     

索赔到达过程为马氏跳过程的一类风险模型

论将索赔到达点过程由Poisson点过程推广为由马氏链的跳跃点形成的点过程，保费收取由净收入随机确定，我们得到破产概率ψ（u)及条件破产概率φi(u)满足的积分方程．     

投资和干扰具有随机保费的离散风险模型

在考虑具有保费且含通货膨胀等随机干扰因素的影响,同时又考虑将多余资本用于投资以提高保险公司赔付能力的基础上,对经典的风险模型进行扩展,由此建立了一个带有投资且具有随机保费率和干扰的更为实际的风险模型.对新模型的性质进行讨论,得到了其盈利过程的平稳增量性和风险过程的统计特征:对破产概率的研究,获得了最终破产概率的LunGlberg不等式及其一般表达式.最后通过数值模拟阐述了破产概率上界分别随投资额、保费额和理赔额变化而变动的情况,获得了对实际运营有启发性的结论.     

最优再保险及投资组合策略问题

为规避风险的巨大波动,保险公司会将承保的理赔进行分保,即再保险.假定再保险公司采用方差保费准则从保险公司收取保费.应用扩散逼近模型,刻画了保险公司有再保险控制下的资本盈余.另外,保险公司的盈余允许投资到利率、股票等金融市场.通过控制再保险及投资组合策略,研究了最小破产概率.应用动态规划方法(Hamilton-Jacobi-Bellman方程),对最小破产概率、最优再保险及投资组合策略给出了明晰解答,并给出了数值直观分析.     

保费收入为Poisson过程的更新风险模型

对于保费收入为Poisson过程的更新风险模型,利用马氏链的理论,借助转移概率,得出了破产概率和破产赤字的展式及其所满足的积分方程.     

保费再投资下带干扰的COX风险模型的破产概率

基于经典的风险模型,考虑了对于保费进行稳健投资的情况,同时加入了用布朗运动来描述的干扰因素,引入了保费再投资下带干扰的Cox风险模型.利用鞅方法得到了该模型破产概率的Lundberg不等式.     

Queueing systems with inventory management with random lead times and with backordering

We investigate M/M/1/∞-systems with inventory management, continuous review, exponentially distributed lead times and backordering. We compute performance measures and derive optimality conditions under different order policies. For performance measures, which are not explicitly at hand, we present an approximation scheme for all possible parameter combinations. Although we cannot completely determine analytically the steady state probabilities for the system we are able to derive functional relations between interesting probabilities and show surprising insensitivity properties of several performance measures. For the approximations we develop an algorithm adapted to the system structure which suggests easy adaption to other systems.Work supported by Deutscher Akademischer Austauschdienst and KBN, Poland, Project D/02/32206.     

Graphs with unavoidable subgraphs with large degrees

Let ??(n, m) denote the class of simple graphs on n vertices and m edges and let G ∈ ?? (n, m). There are many results in graph theory giving conditions under which G contains certain types of subgraphs, such as cycles of given lengths, complete graphs, etc. For example, Turan's theorem gives a sufficient condition for G to contain a K_{k + 1} in terms of the number of edges in G. In this paper we prove that, for m = αn², α > (k - 1)/2k, G contains a K_{k + 1}, each vertex of which has degree at least f(α)n and determine the best possible f(α). For m = ?n²/4? + 1 we establish that G contains cycles whose vertices have certain minimum degrees. Further, for m = αn², α > 0 we establish that G contains a subgraph H with δ(H) ≥ f(α, n) and determine the best possible value of f(α, n).     

Division with remainder in algebras with valuation

To any integral algebra with valuation an abelian group is associated, which measures how much the uniqueness of the division with remainder is violated. The analogy with the divisor class group is discussed. Examples of such groups are computed in cases of formal local rings of some cusps on an algebraic curve.     

Division with remainder in algebras with valuation

To any integral algebra with valuation an abelian group is associated, which measures how much the uniqueness of the division with remainder is violated. The analogy with the divisor class group is discussed. Examples of such groups are computed in cases of formal local rings of some cusps on an algebraic curve.     

p-Laplacian problems with nonlinearities interacting with the spectrum

The aim of this paper is investigating the existence and the multiplicity of weak solutions of the quasilinear elliptic problem $$\left\{\begin{array}{ll}-\Delta_p u\ =\ g(x, u) \quad {\rm in} \quad \Omega,\\ u=0 \qquad \qquad \qquad {\rm on}\quad \partial\Omega,\end{array}\right.$$ where ${1 < p < + \infty, \Delta_p u = {\rm div}(|\nabla {u}|^{p-2}\nabla {u})}$ , Ω is an open bounded domain of ${\mathbb{R}^N (N \geq 3)}$ with smooth boundary ?Ω and the nonlinearity g behaves as u ^p?1 at infinity. The main tools of the proof are some abstract critical point theorems in Bartolo et al. (Nonlinear Anal. 7: 981–1012, 1983), but extended to Banach spaces, and two sequences of quasi–eigenvalues for the p–Laplacian operator as in Candela and Palmieri (Calc. Var. 34: 495–530, 2009), Li and Zhou (J. Lond. Math. Soc. 65: 123–138, 2002).     

Problem with Critical Sobolev Exponent and with Weight

The authors consider the problem: -div(p▽u) = uq-1 λu, u > 0 inΩ, u = 0 on (?)Ω, whereΩis a bounded domain in Rn, n≥3, p :Ω→R is a given positive weight such that p∈H1 (Ω)∩C(Ω),λis a real constant and q = 2n/n-2, and study the effect of the behavior of p near its minima and the impact of the geometry of domain on the existence of solutions for the above problem.     

Integro-differential operators associated with diffusion processes with jumps

We show existence andW _loc ^2,p W^1,-regularity results for the integro-differential equation, associated with a diffusion process with jumps on a bounded domain. The second order elliptic partial differential operator and the integral operator involved here are both maximum principle type operators, which enables us to makeW ^1, a priori estimates.     

Orthogonality Associated with Bessel-Type Sheffer Sequences with Q-Parameters

Mathematical Notes - Certain orthogonal polynomials are involved in various problems occurring in probability, celestial mechanics, combinatorics, and other fields of theoretical and applied...