Poisson过程分解问题的一个注记

在研究Poisson过程分解问题时,现有文献的证明往往令人费解,本文主要运用极限理论,给出了一个简明易懂的证明.     

多险种场合的破产概率

本文将经典的破产模型由单险种推广到了多险种，分别讨论了各险种的索赔额均为复合Poisson过程和广义复合Poisson过程的情形，计算了两种情形下的破产概率．     

复合Poisson单的可加性及应用

复合Poisson单是一种特殊的两参数独立增量过程,也是最典型的状态离散的两参数马氏过程.为解决复合Poisson单的可加性及其在两参数的保险索赔等情况中的应用问题,我们尝试应用特征函数的方法,对复合Poisson单的可加性进行研究.研究结果表明,复合Poisson单具有可加性,并且在实际生活中具有较为广泛的应用.     

切Poisson作用及约化

本文证明了单连通Poisson紧李群切作用及约化Poisson作用于Poisson流形，若带有等动量映射，则可通过调整Poisson流形的Poisson结构，变成保Poisson结构的Poisson作用，并且该作用限制到Poisson流形的辛叶片上，相对于新Poisson结构是Hamiltion作用。我们把Meyer-Marsden-Weinstein约化从Hamiltion作用推广到切Poisson作用，包括正则值和非正则值两种形式。     

Brown�˶���Poisson����̻�������۸�ģ����Ͷ��������ɺ���

研究了由Brown运动和Poisson点过程混合驱动的资产价格模型.以该模型为基础,应用随机分析的方法得到了生成函数生成投资组合与市场资产组合之间的关系.     

POISSON单

本文给出了Poisson单的定义,讨论了它的基本性质、刻划及其在射线上导出的过程。     

������������������Ⱥ���̽�Ĵ���Ψһ��

??In this paper, we introduce a class of stochastic age-dependent population equations with Poisson jumps. Existence and uniqueness of energy solutions for stochastic age-dependent population dynamic system are proved under local non-Lipschitz condition in Hilbert space.     

球面上的Poisson积分

证明了球面上的Poisson积分算子从Lp(Sn?1)到Lorentz空间Lq,1(B1)(q 1)有界,且从有界Borel测度集M(Sn?1)到Lq,1(B1)(q < nn?1)有界,推广了部分已知的结果.进一步构造了一个反例说明了球面上的Poisson积分算子不一定从M(Sn?1)到L n n?1(B1)有界.     

两指标Poisson型随机微分方程的单调迭代方法

本文在一般满足通常性条件的概率空间中，利用单调迭代方法讨论了由Poisson点过程驱动的两指标随机微分方程的上下解。在系数满足非Lipschits条件下给出了两个解U（z)和V（z)使得方程的任意解x(z)有U（z)≤x(z)≤V(z).     

Stochastic Convexity of the Poisson Mixture Model

This paper is devoted to the study of the compound Poisson mixture model in an actuarial framework. Using the s-convex stochastic orderings and stochastic s-convexity, several problems involving an unknown mixing parameter with given moments are examined; namely, the specification of the number of support points in a finite mixture model, and the derivation of extremal mixture distributions. The theory is enhanced with the derivation of theoretical and numerical bounds on several quantities of actuarial interest.     

具有常量红利界的带干扰项的风险模型及最优红利界

对于保险公司来说,如何确定其红利策略,使得投保人利益最大化是一个需要研究的课题.研究了具有常量红利界的带干扰项的经典风险模型下,索赔量为混合指数分布情形时的最优红利界的计算方法.     

���ʷ��պͷ����׼��������Ͷ�ʺ��ٱ��ղ���

??It is assumed that both an insurance company and a reinsurance company adopt the variance premium principle to collect premiums. Specifically, an insurance company is allowed to investment not only in a domestic risk-free asset and a risky asset, but also in a foreign risky asset. Firstly, we use a geometry Brownian motion to model the exchange rate risk, and assume that the insurance company could control the insurance risk by transferring the insurance business into the reinsurance company. Secondly, the stochastic dynamic programming principle is used to study the optimal investment and reinsurance problems in two situations. The first is a diffusion approximation risk model and the second is a classical risk model. The optimal investment and reinsurance strategies are obtained under these two situations. We also show that the exchange rate risk has a great impact on the insurance company's investment strategies, but has no effect on the reinsurance strategies. Finally, a sensitivity analysis of some parameters is provided.     

Optimal Investment-Reinsurance Strategy with Exchange Rate Risk under Variance Premium Principl

It is assumed that both an insurance company and a reinsurance company adopt the variance premium principle to collect premiums. Specifically, an insurance company is allowed to investment not only in a domestic risk-free asset and a risky asset, but also in a foreign risky asset. Firstly, we use a geometry Brownian motion to model the exchange rate risk, and assume that the insurance company could control the insurance risk by transferring the insurance business into the reinsurance company. Secondly, the stochastic dynamic programming principle is used to study the optimal investment and reinsurance problems in two situations. The first is a diffusion approximation risk model and the second is a classical risk model. The optimal investment and reinsurance strategies are obtained under these two situations. We also show that the exchange rate risk has a great impact on the insurance company's investment strategies, but has no effect on the reinsurance strategies. Finally, a sensitivity analysis of some parameters is provided.     

Classical Risk Model with Threshold Dividend Strategy

In this article, a threshold dividend strategy is used for classical risk model. Under this dividend strategy, certain probability of ruin, which occurs in case of constant barrier strategy, is avoided. Using the strong Markov property of the surplus process and the distribution of the deficit in classical risk model, the survival probability for this model is derived, which is more direct than that in Asmussen（2000, P195, Proposition 1.10）. The occupation time of non-dividend of this model is also discussed by means of Martingale method.     

On Occupation Times for Compound Poisson Risk Model with Two-Step Premium Rate

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.     

线性边界下两步保费率风险模型的Gerber-Shiu罚金函数

在经典复合泊松模型的基础上,研究线性红利边界下两步保费率风险模型的Gerber-Shiu贴现罚金函数.根本目的是推导出它的微积分方程和偏微积分方程.同时给出了线性红利边界下Lundberg基本方程;利用Laplace变换求出了最终破产概率.     

������Լ������������ɢ����ģ���е����ŷֺ����

For a financial or insurance entity, the problem of finding the optimal dividend distribution strategy and optimal firm value function is a widely discussed topic. In the present paper, it is assumed that the firm faces two types of liquidity risks: a Brownian risk and a Poisson risk. The firm can control the time and amount of dividends paid out to shareholders. By sufficiently taking into account the safety of the company, bankruptcy is said to take place at time $t$ if the cash reserve of the firm runs below the linear barrier b+kt (not zero), see 1. We deal with the problem of maximizing the expected total discounted dividends paid out until bankruptcy. The optimal dividend return (or, firm value) function is identified as the classical solution of the associated Hamilton-Jacobi-Bellman (HJB) equation where a second-order differential-integro equation is involved. By solving the corresponding HJB equation, the analytical solution of the optimal firm value function is obtained, the optimal dividend strategy is also characterized, which is of linear barrier type: at time t the firm keeps cash inside when the cash reserves level is less than a critical linear barrier and pays cash in excess of this linear barrier as dividends.     

保险费收取次数为泊松过程下的广义复合泊松风险模型

经典的破产模型是假定保险公司按单位时间常数速率收取保险费，盈余过程{R（t），t≥0中的S（f）=∑i=1^N（t）Y,为一复合泊松过程，本文将保费到达过程推广为一个Poisson过程，同时将S（t）推广为一个广义复合Poisson过程．针对此模型给出了盈余过程的一些性质，得到关于破产概率的一个定理．     

随机通胀风险下基于半鞅理论的最优投资策略

本文在半鞅理论框架下,构建包括可交易风险资产、不可交易风险资产和未定权益的金融投资模型。在考虑随机通胀风险和获取部分市场信息的情形下,研究投资经理人终端真实净财富指数效用最大化问题。运用滤波理论、半鞅和倒向随机微分方程(BSDE)理论,求解带有随机通胀风险的最优投资策略和价值过程精确解。数值分析结果发现,可交易风险资产最优投资额随着预期通胀率的增加而减少,投资价值呈先增后减态势。当通胀波动率无限接近可交易风险资产名义价格波动率时,通胀风险可完全对冲,投资人会不断追加在可交易风险资产的投资额,以期实现终端真实净财富期望指数效用最大化。研究结果为金融市场的投资决策提供更加科学的理论参考。