索赔次数为复合Poisson-Geometric过程的常利率风险模型的罚金函数

讨论了常利率下索赔次数为复合Poisson-Geometric过程的风险模型的罚金函数,得到了罚金函数的期望所满足的积分方程,并由所得到的积分方程推出了破产概率所满足的积分方程,初始盈余为0时,得到了罚金函数的期望及破产概率的精确解.     

关于保险精算函数的几点讨论

对目前精算教材中的有关保险精算函数作了较为细致的分析和比较,较为深入地讨论了均衡净保费的责任准备金计算的未来法及过去法的联系.     

广州大学数学与信息科学学院

广州大学数学与信息科学学院成立于2004年6月,下设数学系、应用数学系、概率统计系、信息科学系、大学数学教研部五个教学部门和数学及信息安全两个研究所。现有教职工94人,其中中科院院士(外聘)1人,教授15人(含博导6人),副教授30人,具有博士学位的教师18人(其中博士后5人,海外归国博士2人),硕士学位的教师42人,一批专     

EFFECTIVE DYNAMICS OF A COUPLED MICROSCOPIC-MACROSCOPIC STOCHASTIC SYSTEM

A conceptual model for microscopic-macroscopic slow-fast stochastic systems is considered. A dynamical reduction procedure is presented in order to extract effective dynamics for this kind of systems. Under appropriate assumptions, the effective system is shown to approximate the original system, in the sense of a probabilistic convergence.     

Why Matter Occupies so Large a Volume？

The paper represents a rigorous treatment of the underlying quantum theory, not just in words but providing the underlying technical details, as to why matter occupies so large a volume and its intimate connection with the Pauli exclusion principle, as more and more matter is put together, as well as of the contraction or shrinkage of ＂bosonic matter＂, upon collapse, for which the Panli exclusion is abolished. From the derived explicit bounds of integrals of powers of the particle number densities, explicit bounds on probabilities of the occurrences of the events just described are extracted. These probabilities lead one to infer the change of the ＂size＂ or extension of such matter, upon expansion or contraction, respectively, as their content is increased.     

具有Vasicek利率的风险过程的破产概率的分解(英文)

In this paper, it is assumed that an insurer with a jump-diffusion risk process would invest its surplus in a bond market, and the interest structure of the bond market is assumed to follow the Vasicek interest model. This paper focuses on the studying of the ruin problems in the above compounded process. In this compounded risk model, ruin may be caused by a claim or oscillation. We decompose the ruin probability for the compounded risk process into two probabilities： the probability that ruin caused by a claim and the probability that ruin caused by oscillation. Integro-differential equations for these ruin probabilities are derived. When the claim sizes are exponentially distributed, the above-mentioned integro-differential equations can be reduced into a three-order partial differential equation.     

相关带干扰风险模型的破产概率

本文引进了含相关类带干扰经典风险过程, 研究类之间的相关性对破产概率的影响, 主要研究类之间的相关性对其Lundberg指数的大小关系的影响.     

最优多期比例再保险策略的必要条件

研究最小化保险公司破产概率的最优多期比例再保险策略,给出了保险公司最小破产概率的一个递归表达式,证明了可用动态规划方法求解此类问题.在此基础上,我们推导出最优多期比例再保险策略的几个必要条件.     

从一道容易做错的概率题谈起

“4个可分辨的球 ,随机地投入 3个盒中 ,试求3盒都不空的概率 .”这是一道很容易做错的概率题 .比较典型的有下面两个错解 :错解 1　设Ａ=“三盒都不空” ,基本事件总数为 3 4 .有利于Ａ的基本事件数可按下面两步来计算 :第一步 ,从 4球中任取 3球 ,将它们每盒一球地放入 3个盒中 ,有Ｃ343 !种方法 ,这就保证了 3盒都不空 ;第二步 ,让余下的 1球随机地落入 3盒中任一盒 ,有 3种方法 .由乘法原理知有利于Ａ的基本事件数为 :Ｃ343 !3 ,故Ｐ(Ａ) =Ｃ343 !33 4 =89.错解 2　设Ａ=“三盒都不空” ,基本事件总数为 3 4 .有利于Ａ的基本事件数可从…     

约束最小二乘估计的优良性

对于线性模型y=Xθ ε,ε服从椭球等高单峰分布,未知参数θ满足不等式约束a′θ≥0,证明了在参数估计优良性的集中概率准则下,θ的约束最小二乘估计θ~*优于最小二乘估计θ.