角域上的调和函数与条件Brown运动

设中的角域．该文绘出了A上正调和函数的Martin表示，讨论了极小调和函数与条件Brown运动的一个0—1律之间的关系，并给出了A上极小调和函数的表现形式，     

Asymptotics for solutions of a defective renewal equation with applications

In this paper, we derive non-exponential asymptotic forms for solutions of defective renewal equations. These include as special cases asymptotics for compound geometric distribution and the convolution of a compound geometric distribution with a distribution function. As applications of these results, we study the Gerber-Shiu discounted penalty function in the classical risk model and the reliability of a two-unit cold standby system in reliability theory.      

A New Class of Multivariate Elliptically Contoured Distributions with Inconsistency Property

Methodology and Computing in Applied Probability - We introduce a new class of multivariate elliptically symmetric distributions including elliptically symmetric logistic distributions and Kotz...     

The expected discounted penalty function under a renewal risk model with stochastic income

In this paper, we consider a renewal risk model with stochastic premiums income. We assume that the premium number process and the claim number process are a Poisson process and a generalized Erlang (n) processes, respectively. When the individual stochastic premium sizes are exponentially distributed, the Laplace transform and a defective renewal equation for the Gerber-Shiu discounted penalty function are obtained. Furthermore, the discounted joint distribution of the surplus just before ruin and the deficit at ruin is given. When the claim size distributions belong to the rational family, the explicit expression of the Gerber-Shiu discounted penalty function is derived. Finally, a specific example is provided.     

OCCUPATION TIMES OF BALLS BY BROWNIAN MOTION WITH DRIFT

51. Introduction and Statement of ResultsLet X ~ {Xt, t 2 0} be a standajrd d-dimensional Brownian motion with drift c startedat fiXed XO ~ x:Xo ~ Wb ct, t 2 0,where Wt is the standard d--dimensional Brownian motion, c E R'(d 2 2) is a fixed vector.Denote by P:(.) the probability meajsure on the path space of X corresponding to initialstate XO = x and drift vector c, with E;(.) the corresponding expection operator. Forsimplity, we shall write Pz(.) and Ex(.) to refer to the case c ~ …     

HITTING TIME AND PLACE TO A SPHERE OR SPHERICAL SHELL FOR BROWNIAN MOTION

61.IntroductionLetX~{X,(w),t20}beastandardd-dimensionalBrownianmotioninR'(d22).ThefirsthittingtimeofXforaBorelsetBinRdisdefinedtobeThefirsthittingplaceisX(TB).InthispapergwemainlyconsiderthesphereZ'--,(0,r)~{x:xERd,lxl~r}andthesphericalshellZ'--,(0,a)UZ'--,(0,b)~{x.xER',lxl=aorlxl~b},wherer>0,a>0,b>0anda相似文献   

The Perturbed Compound Poisson Risk Process with Investment and Debit Interest

In this paper, we study absolute ruin questions for the perturbed compound Poisson risk process with investment and debit interests by the expected discounted penalty function at absolute ruin, which provides a unified means of studying the joint distribution of the absolute ruin time, the surplus immediately prior to absolute ruin time and the deficit at absolute ruin time. We first consider the stochastic Dirichlet problem and from which we derive a system of integro-differential equations and the boundary conditions satisfied by the function. Second, we derive the integral equations and a defective renewal equation under some special cases, then based on the defective renewal equation we give two asymptotic results for the expected discounted penalty function when the initial surplus tends to infinity for the light-tailed claims and heavy-tailed claims, respectively. Finally, we investigate some explicit solutions and numerical results when claim sizes are exponentially distributed.     

Tail equivalence relationships for ruin probabilities in several risk models

This paper is a further investigation into the ruin probability ψ(x) in several risk models, where x is the initial surplus. Under the assumption that the claim sizes are heavy‐tailed, we get some tail equivalence relationships of ψ(x). Copyright © 2005 John Wiley & Sons, Ltd.     

条件扩散过程的生命时与条件Gauge

本文给出了有界的Ｌｉｐｓｃｈｉｔｚ区域Ｄ内的条件扩散过程的生命时Ｔ＿Ｄ的一个渐近估计，由此给出了Ｇａｕｇｅ与条件Ｇａｕｇｅ为有穷或无穷的谱条件，并得出了Ｇａｕｇｅ定理与条件Ｇａｕｇｅ定理。     

A local limit theorem for the probability of ruin

In this paper, we give a result on the local asymptotic behaviour of the probability of ruin in a continuous-time risk model in which the inter-claim times have an Erlang distribution and the individual claim sizes have a distribution that belongs to S(v) with v≥ 0, but where the Lundberg exponent of the underlying risk process does not exist.