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 perturbed compound Poisson risk model with linear dividend barrier

In this paper, we consider a diffusion perturbed classical compound Poisson risk model in the presence of a linear dividend barrier. Partial integro-differential equations for the moment generating function and the nth moment of the present value of all dividends until ruin are derived. Moreover, explicit solutions for the nth moment of the present value of dividend payments are obtained when the individual claim size distribution is exponential. We also provided some numerical examples to illustrate the applications of the explicit solutions. Finally we derive partial integro-differential equations with boundary conditions for the Gerber-Shiu function.     

EXPECTED PRESENT VALUE OF TOTAL DIVIDENDS IN THE COMPOUND BINOMIAL MODEL WITH DELAYED CLAIMS AND RANDOM INCOME

In this paper, a compound binomial model with a constant dividend barrier and random income is considered. Two types of individual claims, main claims and by-claims, are defined, where every by-claim is induced by the main claim and may be delayed for one time period with a certain probability. The premium income is assumed to another binomial process to capture the uncertainty of the customer＇s arrivals and payments. A system of difference equations with certain boundary conditions for the expected present value of total dividend payments prior to ruin is derived and solved. Explicit results are obtained when the claim sizes are Kn distributed or the claim size distributions have finite support. Numerical results are also provided to illustrate the impact of the delay of by-claims on the expected present value of dividends.     

The perturbed Sparre Andersen model with a threshold dividend strategy

In this paper, we consider a Sparre Andersen model perturbed by diffusion with generalized Erlang(n)-distributed inter-claim times and a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generation function and the mth 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 where the inter-claim times are Erlang(2) distributed and the claim size distribution is exponential is considered in some details.     

具有分红、流动储备金和利率的风险模型的绝对破产

建立了阈值分红策略下具有流动储备金、投资利率和贷款利率的复合泊松风险模型.利用全概率公式和泰勒展式,推导出了该模型的Gerber-Shiu函数和绝对破产时刻的累积分红现值期望满足的积分-微分方程及边界条件,借助Volterra方程,给出了Gerber-Shiu函数的解析表达式.     

Expected present value of total dividends in a delayed claims risk model under stochastic interest rates

In this paper, a compound binomial risk model with a constant dividend barrier under stochastic interest rates is considered. Two types of individual claims, main claims and by-claims, are defined, where every by-claim is induced by the main claim and may be delayed for one time period with a certain probability. In the evaluation of the expected present value of dividends, the interest rates are assumed to follow a Markov chain with finite state space. A system of difference equations with certain boundary conditions for the expected present value of total dividend payments prior to ruin is derived and solved. Explicit results are obtained when the claim sizes are K_n distributed or the claim size distributions have finite support. Numerical results are also provided to illustrate the impact of the delay of by-claims on the expected present value of dividends.     

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.     

Fold completeness of a system of root vectors of a system of unbounded polynomial operator pencils in Banach spaces. II. Application

This paper is a continuation of the author’s paper in 2009,where the abstract theory of fold completeness in Banach spaces has been presented.Using obtained there abstract results,we consider now very general boundary value problems for ODEs and PDEs which polynomially depend on the spectral parameter in both the equation and the boundary conditions.Moreover,equations and boundary conditions may contain abstract operators as well.So,we deal,generally,with integro-differential equations,functional-differential equations,nonlocal boundary conditions,multipoint boundary conditions,integro-differential boundary conditions.We prove n-fold completeness of a system of root functions of considered problems in the corresponding direct sum of Sobolev spaces in the Banach Lq-framework,in contrast to previously known results in the Hilbert L 2-framework.Some concrete mechanical problems are also presented.     

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.     

Modified boundary integral formulations for the Helmholtz equation

In this paper we describe some modified regularized boundary integral equations to solve the exterior boundary value problem for the Helmholtz equation with either Dirichlet or Neumann boundary conditions. We formulate combined boundary integral equations which are uniquely solvable for all wave numbers even for Lipschitz boundaries Γ=∂Ω. This approach extends and unifies existing regularized combined boundary integral formulations.     

An existence and uniqueness criterion for solutions of boundary value problems

In this paper a technique is developed for the study of the existence and uniqueness of solutions to nth order ordinary differential equations satisfying n-point boundary conditions. Liapunov-like functions are employed to determine the existence and uniqueness of solutions to linear equations satisfying the boundary conditions, and these solutions are in turn used to determine existence for the general nonlinear case. A by-product of this technique is a matching technique for linear equations by which solutions of certain k-point boundary value problems (k < n) can be matched to extend the interval of existence for solutions to the n-point problem.     

Boundary equations in the finite transfer method for solving differential equation systems

The finite transfer method is going to be used to solve a p system of linear ordinary differential equations. The complete problem is extended by adding the p boundary equations involved. It is chosen a fourth order scheme to obtain finite transfer expressions. A recurrence strategy is used in these equations and permits one to relate different points in the domain where boundary equations are defined. Finally a 2p algebraic system of equations is noted and solved. To show the efficiency and accuracy, the method is applied to determine the structural behavior of a bending beam with different supports and to solve a differential equation of second degree with different boundary conditions.     

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.     

Multipoint problems for degenerate abstract differential equations

Multipoint boundary value problems for degenerate differential-operator equations of arbitrary order are studied. Several conditions for the separability in Banach-valued L _p -spaces are given. Sharp estimates for the resolvent of the corresponding differential operator are obtained. In particular, the sectoriality of this operator is established. As applications, the boundary value problems for degenerate quasielliptic partial differential equations and infinite systems of differential equations on cylindrical domain are studied.     

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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.     

Nonuniformly nonlinear elliptic equations of p-biharmonic type

This paper deals with the existence and multiplicity of weak solutions to nonlinear differential equations involving a general p-biharmonic operator (in particular, p-biharmonic operator) under Dirichlet boundary conditions or Navier boundary conditions. Our method is mainly based on variational arguments.     

Large time behavior of solutions to parabolic equations with Neumann boundary conditions

In this paper we are interested in the large time behavior as t→+∞ of the viscosity solutions of parabolic equations with nonlinear Neumann type boundary conditions in connection with ergodic boundary problems which have been recently studied by Barles and the author in [G. Barles, F. Da Lio, On the boundary ergodic problem for fully nonlinear equations in bounded domains with general nonlinear Neumann boundary conditions, Ann. Inst. H. Poincaré Anal. Non Linèaire 22 (5) (2005) 521-541].     

Solution method for boundary value problems for ordinary differential equations on complexes (Graphs)

For second-order ordinary differential equations in a domain that is a finite set of intersecting segments of the axis O _x , we consider problems with local and nonlocal boundary conditions. A system of intersecting segments is referred to as a complex, whose topological structure is described by a graph. For the integration of differential equations, we suggest an exact difference scheme, which reduces the solution of the problem to a system of second-order difference equations on the segments of the complex with boundary conditions and matching conditions at the graph vertices. Depending on the topological structure of the graph, we consider two algorithms for solving systems of linear algebraic equations. A detailed justification of the method is presented.     

Fredholm property of boundary value problems for a fourth-order elliptic differential-operator equation with operator boundary conditions

In a Hilbert space H, we study the Fredholm property of a boundary value problem for a fourth-order differential-operator equation of elliptic type with unbounded operators in the boundary conditions. We find sufficient conditions on the operators in the boundary conditions for the problem to be Fredholm. We give applications of the abstract results to boundary value problems for fourth-order elliptic partial differential equations in nonsmooth domains.     

Nonlinear fourth-order elliptic equations with nonlocal boundary conditions

This paper is concerned with a class of fourth-order nonlinear elliptic equations with nonlocal boundary conditions, including a multi-point boundary condition in a bounded domain of Rn. Also considered is a second-order elliptic equation with nonlocal boundary condition, and the usual multi-point boundary problem in ordinary differential equations. The aim of the paper is to show the existence of maximal and minimal solutions, the uniqueness of a positive solution, and the method of construction for these solutions. Our approach to the above problems is by the method of upper and lower solutions and its associated monotone iterations. The monotone iterative schemes can be developed into computational algorithms for numerical solutions of the problem by either the finite difference method or the finite element method.