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排序方式: 共有173条查询结果,搜索用时 15 毫秒
31.
Hans U. Gerber 《Insurance: Mathematics and Economics》1984,3(3):191-194
Explicit error bounds in terms of probabilities and stop-loss premiums are given for two kinds of compound Poisson approximations: the first concerns the difference between the individual and the collective model; the second is about the difference of the compound negative binomial and the compound Poisson distribution. 相似文献
32.
本文对古典风险模型中保险公司按单位时间常数率收到保险费的假设做了改进,将每次收到的保险费的次数看作是复合泊松过程,将每次收到的保费和每次的理陪额均看作是服从指数分布的随机变量,并引入带干扰风险的扰动项,从而对古典风险模型进行推广,且给出了相应的破产概率上界,分析了破产概率的上界与准备金,索赔额,净保费和扰动方差之间的关系. 相似文献
33.
Flavio Pressacco Marcellino Gaudenzi Antonino Zanette Laura Ziani 《European Journal of Operational Research》2008
With reference to the evaluation of the speed–precision efficiency of pricing and hedging of American Put options, we present and discuss numerical results obtained on the basis of four different large enough random samples according to the relevance of the American quality (relative importance of the early exercise opportunity) of the options. Here we provide a comparison of the best methods (lattice based numerical methods and an approximation of the American Premium analytical procedure) known in literature along with some key methodological remarks. 相似文献
34.
分数跳-扩散环境下欧式期权定价的Ornstein-Uhlenbeck模型 总被引:2,自引:0,他引:2
假设股票价格遵循分数布朗运动和复合泊松过程驱动的随机微分方程,建立分数跳-扩散Ornstein-Uhlenbeck模型,利用价格过程的实际概率测度和公平保费原理,得到欧式看涨期权定价的解析表达式。推广了关于欧式期权定价的结论。 相似文献
35.
An important question in insurance is how to evaluate the probabilities of (non-) ruin of a company over any given horizon
of finite length. This paper aims to present some (not all) useful methods that have been proposed so far for computing, or
approximating, these probabilities in the case of discrete claim severities. The starting model is the classical compound
Poisson risk model with constant premium and independent and identically distributed claim severities. Two generalized versions
of the model are then examined. The former incorporates a non-constant premium function and a non-stationary claim process.
The latter takes into account a possible interdependence between the successive claim severities. Special attention will be
paid to a recursive computational method that enables us to tackle, in a simple and unified way, the different models under
consideration. The approach, still relatively little known, relies on the use of remarkable families of polynomials which
are of Appell or generalized Appell (Sheffer) types. The case with dependent claim severities will be revisited accordingly.
相似文献
36.
Risk process with stochastic income and two-step premium rate 总被引:1,自引:0,他引:1
Ie. Karnaukh 《Applied mathematics and computation》2010,217(2):775-781
In this paper we deal with the risk reserve process with stochastic premium function. We assume that the premiums sizes have exponential distribution with the rate depending on some threshold level. The representation for the discounted defective joint density of surplus and deficit at ruin is obtained. 相似文献
37.
In this paper, we consider the classical compound Poisson risk model with two-step premium rate. Using an alternative approach, we find the explicit expressions for the Laplace transforms of joint occupation times over disjoint intervals for this model. The Laplace transforms are expressed in terms of scale functions of L\'{e}vy processes. 相似文献
38.
39.
本文在Sparre Anderson模型中采用超额损失再保险与成数分保混合的策略,其中成数分保再保险费按照原始条款计算,超额损失再保险费按Esscher保费原则计算。通过调整系数来研究再保险的效应,将调整系数看作自留额水平的函数,证明了在M充分大时保险人的调整系数关于自留额水平M单调增加,在一定程度上有利于保险公司确定更合理的自留额水平M。 相似文献
40.
研究常利率下风险模型的保费强度与利率的关系,发现常利率的Poisson古典风险模型的保费强度与利率无关;而常利率更新风险模型的保费强度与利率有关,并求出了它们之间的表达式. 相似文献