排序方式: 共有96条查询结果,搜索用时 109 毫秒
61.
V. Ramaswami 《Methodology and Computing in Applied Probability》2006,8(4):497-515
An efficient quadratically convergent algorithm has been derived earlier by Ahn and Ramaswami for computing the busy period
distribution of the canonical fluid flow model. In this paper, we derive formulae for a variety of passage time distributions
in the canonical fluid flow model in terms of its busy period distribution and that of its reflection about the time axis.
These include several passage time distributions with taboo not only of the fluid level 0 but also of a set [a, ∞) of levels. These are fundamental to the analysis of a large set of complex applied probability models, and their use
is illustrated in the context of a general insurance risk model with Markovian arrival of claims and phase type distributed
claim sizes, a context in which we have also introduced some new ideas that make the analysis very transparent.
相似文献
62.
This paper faces two questions related with financial stability. The first one is a macroeconomic problem in which we try to further investigate the role of monetary policy in explaining banking sector fragility and, ultimately, systemic banking crisis. It analyses a large sample of countries in the period 1981–1999. We find that the degree of central bank independence is one of the key variables to explain financial crisis. However, the effects of the degree of independence are not linear. Surprisingly, either a high degree of independence or a high degree of dependence are compatible with a situation of financial stability, while intermediate levels of independence are more likely associated with financial crisis. It seems that it is the uncertainty related with a non-clear allocation of monetary policy responsibilities that contributes to financial crisis episodes. 相似文献
63.
Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes 总被引:3,自引:0,他引:3
The paper deals with the Sparre Andersen risk model. We study the tail behaviour of the finite-time ruin probability, Ψ(x,t), in the case of subexponential claim sizes as initial risk reserve x tends to infinity. The asymptotic formula holds uniformly for t in a corresponding region and reestablishes a formula of Tang [Tang, Q., 2004a. Asymptotics for the finite time ruin probability in the renewal model with consistent variation. Stochastic Models 20, 281–297] obtained for the class of claim distributions having consistent variation. 相似文献
64.
A major property-casualty insurance company had streamlined underwriting procedures and hoped to design a new commercial insurance package which would appeal to its independent agents. They hoped to do this by improving service times, premium and/or commission, but making these improvements would require the agents to fill out a new underwriting form. The research used conjoint analysis to determine for management the optimum levels of each of the factors to be employed in the new programme and the possible negative impact of the new underwriting form. Also discussed are issues relating to the use of conjoint analysis; in particular, the handling of large factorial designs and the aggregation of individual results. 相似文献
65.
Pierre Vallois 《Physica A》2007,386(1):303-317
This paper considers a memory-based persistent counting random walk, based on a Markov memory of the last event. This persistent model is a different than the Weiss persistent random walk model however, leading thereby to different results. We point out to some preliminary result, in particular, we provide an explicit expression for the mean and the variance, both nonlinear in time, of the underlying memory-based persistent process and discuss the usefulness to some problems in insurance, finance and risk analysis. The motivation for the paper arose from the counting of events (whether rare or not) in insurance that presume that events are time independent and therefore based on the Poisson distribution for counting these events. 相似文献
66.
Francesca Biagini Jacopo Mancin Thilo Meyer Brandis 《Stochastic Processes and their Applications》2019,129(4):1287-1325
In this paper we study mean–variance hedging under the -expectation framework. Our analysis is carried out by exploiting the -martingale representation theorem and the related probabilistic tools, in a continuous financial market with two assets, where the discounted risky one is modeled as a symmetric -martingale. By tackling progressively larger classes of contingent claims, we are able to explicitly compute the optimal strategy under general assumptions on the form of the contingent claim. 相似文献
67.
In this paper, we propose and study a first risk model in which the insurer may invest into a prevention plan which decreases claim intensity. We determine the optimal prevention investment for different risk indicators. In particular, we show that the prevention amount minimizing the ruin probability maximizes the adjustment coefficient in the classical ruin model with prevention, as well as the expected dividends until ruin in the model with dividends. We also show that the optimal prevention strategy is different if one aims at maximizing the average surplus at a fixed time horizon. A sensitivity analysis is carried out. We also prove that our results can be extended to the case where prevention starts to work only after a minimum prevention level threshold. 相似文献
68.
Risky asset allocation and consumption rule in the presence of background risk and insurance markets
This study examines joint decisions regarding risky asset allocation and consumption rate for a representative agent in the presence of background risk and insurance markets. Contrary to the conclusion of the “mutual fund separation theorem”, we show that the optimal risky asset mix will reflect an agent’s risk attitude as long as background risk is not independent of investment risk. This result can, however, be used to solve the “riskyasset allocation puzzle”. We also unveil that optimal insurance to shift background risk is determined through establishing a hedging portfolio against investment risk and is an arrangement maintaining the balance between growth and volatility of expected consumption. Because the optimal insurance we obtain generally leads to a smoother consumption path, it may plausibly explain the “equity premium puzzle” in the financial literature. 相似文献
69.
This paper employs the two-stage procedure of Simar and Wilson (2007) to analyse the effects of deregulation on the efficiency of the Greek insurance industry. The efficiency is estimated by means of data envelopment analysis (DEA). The companies are ranked according to their CRS efficiency score for the period 1994–2003. The first stage results indicate a decline in efficiency over the sample period, while the second stage results confirm that the competition for market shares is a major driver of efficiency in the Greek insurance industry. 相似文献
70.
本文在考虑买卖标的股票需支付比例交易成本的条件下,根据效用最大化原理,将效用无差别定价方法应用到有保证权益连结寿险合约的定价上,给出了合约保留卖价的表达式,并做了数值模拟,计算结果表明本文的方法是合理的. 相似文献