共查询到20条相似文献,搜索用时 46 毫秒
1.
《Insurance: Mathematics and Economics》1988,7(3):193-199
In the classical compound Poisson model of the collective risk theory we consider X, the surplus before the claim that causes ruin, and Y, the deficit at the time of ruin. We denote by f(u; x, y) their joint density (u initial surplus) which is a defective probability density (since X and Y are only defined, if ruin takes place). For an arbitrary claim amount distribution we find that f(0; x, y) = ap(x + y), where p(z) is the probability density function of a claim amount and a is the ratio of the Poisson parameter and the rate of premium income. In the more realistic case, where u is positive, f(u; x, y) can be calculated explicitly, if the claim amount distribution is exponential or, more generally, a combination of exponential distributions. We are also interested in X + Y, the amount of the claim that causes ruin. Its density h(u; z) can be obtained from f(u; x, y). One finds, for example, that h(0; z) = azp(z). 相似文献
2.
J.Michael Harrison 《Stochastic Processes and their Applications》1977,5(1):67-79
We consider a generalization of the classical model of collective risk theory. It is assumed that the cumulative income of a firm is given by a process X with stationary independent increments, and that interest is earned continuously on the firm's assets. Then Y(t), the assets of the firm at time t, can be represented by a simple path-wise integral with respect to the income process X. A general characterization is obtained for the probability r(y) that assets will ever fall to zero when the initial asset level is y (the probability of ruin). From this we obtain a general upper bound for r(y), a general solution for the case where X has no negative jumps, and explicit formulas for three particular examples.In addition, an approximation theorem is proved using the weak convergence theory for stochastic processes. This shows that if the income process is well approximated by Brownian motion with drift, then the assets process Y is well approximated by a certain diffusion process Y1, and r(y) is well approximated by a corresponding first passage probability r1(y). The diffusion Y1, which we call compounding Brownian motion, is closely related to the classical Ornstein-Uhlenbeck process. 相似文献
3.
Parametric scaling, the process of extrapolation of a modelling result to new parametric conditions, is often required in model optimization, and can be important if the effects of parametric uncertainty on model predictions are to be quantified. Knowledge of the functional relationship between the model solution (y) and the system parameters (α) may also provide insight into the physical system underlying the model. This paper examines strategies for parametric scaling, assuming that only the nominal model solution y(α) and the associated parametric sensitivity coefficients (?y/?α, ?2y/?α2, etc.) are known. The truncated Taylor series is shown to be a poor choice for parametric scaling, when y has known bounds. Alternate formulae are proposed which ‘build-in’ the constraints on y, thus expanding the parametric region in which the extrapolation may be valid. In the case where y has a temporal as well as a parametric dependence, the extrapolation may be further improved by removing from the Taylor series coefficients the ‘secular’ components, which refer to changes in the time scale of y(t), not to changes in y as a function of α. 相似文献
4.
We consider a classical risk model with the possibility of investment. We study two types of ruin in the bidimensional framework. Using the martingale technique, we obtain an upper bound for the infinite-time ruin probability with respect to the ruin time Tmax(u1,u2). For each type of ruin, we derive an integral-differential equation for the survival probability, and an explicit asymptotic expression for the finite-time ruin probability. 相似文献
5.
《Insurance: Mathematics and Economics》2006,38(2):309-323
In this paper, we study the discrete time renewal risk model, an extension to Gerber’s compound binomial model. Under the framework of this extension, we study the aggregate claim amount process and both finite-time and infinite-time ruin probabilities. For completeness, we derive an upper bound and an asymptotic expression for the infinite-time ruin probabilities in this risk model. Also, we demonstrate that the proposed extension can be used to approximate the continuous time renewal risk model (also known as the Sparre Andersen risk model) as Gerber’s compound binomial model has been proposed as a discrete-time version of the classical compound Poisson risk model. This allows us to derive both numerical upper and lower bounds for the infinite-time ruin probabilities defined in the continuous time risk model from their equivalents under the discrete time renewal risk model. Finally, the numerical algorithm proposed to compute infinite-time ruin probabilities in the discrete time renewal risk model is also applied in some of its extensions. 相似文献
6.
Gordon E. Willmot 《Insurance: Mathematics and Economics》2010,46(1):32-41
Gerber-Shiu analysis with the generalized penalty function proposed by Cheung et al. (in press-a) is considered in the Sparre Andersen risk model with a Kn family distribution for the interclaim time. A defective renewal equation and its solution for the present Gerber-Shiu function are derived, and their forms are natural for analysis which jointly involves the time of ruin and the surplus immediately prior to ruin. The results are then used to find explicit expressions for various defective joint and marginal densities, including those involving the claim causing ruin and the last interclaim time before ruin. The case with mixed Erlang claim amounts is considered in some detail. 相似文献
7.
《Insurance: Mathematics and Economics》1986,5(4):295-303
The main consequences of the submartingale assumption are examined in a discrete time model. After we have shown how the submartingale decomposition theorem can be given an actuarial meaning, we formulate the ruin theory by classifying the gain processes according to the properties of the set of the safety indexes of their increments. Inequalities for ruin probabilities are derived for embeddable submartingales and for P-submartingales. As an example, we describe a rather general risk model with an adjustable gain process and we show how it can be modified to obtain examples of embeddable submartingales and P-submartingales. Optional gain processes, in which the number of policies in the portfolio is depending on the charged premiums, are also shown to satisfy the submartingale assumption; suitable demand functions can be introduced. We shortly discuss the construction of decision models to define the pricing policy of the insurance company and we provide a simple example of a pricing model with stochastic demand function. 相似文献
8.
《Insurance: Mathematics and Economics》1999,24(1-2):51-65
The classical model of ruin theory is given by a Poisson claim number process with single claims Xi and constant premium flow. Gerber has generalized this model by a linear dividend barrier b+at. Whenever the free reserve of the insurance reaches the barrier, dividends are paid out in such a way that the reserve stays on the barrier. The aim of this paper is to give a generalization of this model by using the idea of Reinhard. After an exponentially distributed time, the claim frequency changes to a different level, and can change back again in the same way. This may be used e.g. in storm damage insurance. The computations lead to systems of partial integro differential equations which are solved. 相似文献
9.
In this paper, we present a threshold proportional reinsurance strategy and we analyze the effect on some solvency measures: ruin probability and time of ruin. This dynamic reinsurance strategy assumes a retention level that is not constant and depends on the level of the surplus. In a model with inter-occurrence times being generalized Erlang(n)-distributed, we obtain the integro-differential equation for the Gerber?CShiu function. Then, we present the solution for inter-occurrence times exponentially distributed and claim amount phase-type(N). Some examples for exponential and phase-type(2) claim amount are presented. Finally, we show some comparisons between threshold reinsurance and proportional reinsurance. 相似文献
10.
Sherman Stein 《Algebra Universalis》2014,71(4):359-373
Tamura proved that for any semigroup word U(x, y), if every group satisfying an identity of the form yx ~ xU(x, y)y is abelian, then so is every semigroup that satisfies that identity. Because a group has an identity element and the cancellation property, it is easier to show that a group is abelian than that a semigroup is. If we know that it is, then there must be a sequence of substitutions using xU(x, y)y ~ yx that transforms xy to yx. We examine such sequences and propose finding them as a challenge to proof by computer. Also, every model of y ~ xU(x, y)x is a group. This raises a similar challenge, which we explore in the special case y ~ x m y p x n . In addition, we determine the free model with two generators of some of these identities. In particular, we find that the free model for y ~ x 2 yx 2 has order 32 and is the product of D 4 (the symmetries of a square), C 2, and C 4, and point out relations between such identities and Burnside’s Problem concerning models of x n ~ y n . We also examine several identities not related to groups. 相似文献
11.
The compound binomial model with randomly paying dividends to shareholders and policyholders 总被引:1,自引:0,他引:1
Considering surplus of a joint stock insurance company based on compound binomial model, set up thresholds a1, a2 for shareholders and policyholders respectively. When surplus is no less than the thresholds, the company randomly pays dividends to shareholders and policyholders with probabilities q1, q2 respectively. For this model, we have derived the recursive formulas of both the expected discount penalty function and ruin probability, and the distribution function of the deficit at ruin. 相似文献
12.
Chantal Labbé 《Applied mathematics and computation》2011,218(7):3035-3056
In this paper we extend some results in Cramér [7] by considering the expected discounted penalty function as a generalization of the infinite time ruin probability. We consider his ruin theory model that allows the claim sizes to take positive as well as negative values. Depending on the sign of these amounts, they are interpreted either as claims made by insureds or as income from deceased annuitants, respectively. We then demonstrate that when the events’ arrival process is a renewal process, the Gerber-Shiu function satisfies a defective renewal equation. Subsequently, we consider some special cases such as when claims have exponential distribution or the arrival process is a compound Poisson process and annuity-related income has Erlang(n, β) distribution. We are then able to specify the parameter and the functions involved in the above-mentioned defective renewal equation. 相似文献
13.
The x-and-y-axes travelling salesman problem forms a special case of the Euclidean TSP, where all cities are situated on the x-axis and on the y-axis of an orthogonal coordinate system of the Euclidean plane. By carefully analyzing the underlying combinatorial and geometric structures, we show that this problem can be solved in polynomial time. The running time of the resulting algorithm is quadratic in the number of cities. 相似文献
14.
We prove that the classical model of an infectious disseise, which never kills and which does not induce autoimmunity, is integrable. This model can be written as x′=−bxy−mx+cy+mk, y′=bxy−(m+c)y with parameters b,c,k,m∈R. We provide the explicit expression of its first integrals and of the set of all its invariant algebraic curves. 相似文献
15.
The compound negative binomial model,introduced in this paper,is a discrete time version.We discuss the Markov properties of the surplus process,and study the ruin probability and the joint distributions of actuarial random vectors in this model.By the strong Markov property and the mass function of a defective renewal sequence,we obtain the explicit expressions of the ruin probability,the finite-horizon ruin probability,the joint distributions of T,U(T-1),|U(T)| and 0≤inn相似文献
16.
Let ψ(u,t) be the probability that the workload in an initially empty M/G/1 queue exceeds u at time t<∞, or, equivalently, the ruin probability in the classical Crámer-Lundberg model. Assuming service times/claim sizes to be subexponential, various Monte Carlo estimators for ψ(u,t) are suggested. A key idea behind the estimators is conditional Monte Carlo. Variance estimates are derived in the regularly varying case, the efficiencies are compared numerically and also the estimators are shown to have bounded relative error in some main cases. In part, also extensions to general Lévy processes are treated. 相似文献
17.
Shu-min Chen 《应用数学学报(英文版)》2014,30(3):721-734
In this paper we consider the problem of maximizing the total discounted utility of dividend payments for a Cramér-Lundberg risk model subject to both proportional and fixed transaction costs.We assume that dividend payments are prohibited unless the surplus of insurance company has reached a level b.Given fixed level b,we derive a integro-differential equation satisfied by the value function.By solving this equation we obtain the analytical solutions of the value function and the optimal dividend strategy when claims are exponentially distributed.Finally we show how the threshold b can be determined so that the expected ruin time is not less than some T.Also,numerical examples are presented to illustrate our results. 相似文献
18.
Charles C. Lindner 《Discrete Mathematics》1976,16(3):271-277
In this paper it is shown that a finite partial (x, x, y) = y 3-quasigroup can be embedded in a finite (x, x, y) = y 3-quasigroup. This result coupled with the technique of proof is then used to show that a finite partial almost Steiner 3-quasigroup {(x, x, y) = y, (x, y, z) = (x, z, y) = (y, x, z)} can be embedded in a finite almost Steiner 3-quasigroup. Almost Steiner 3-quasigroups are of more than passing interest because just like Steiner 3-quasigroups ( = Steiner quadruple systems) all of their derived quasigroups are Steiner quasigroups. 相似文献
19.
《随机分析与应用》2013,31(2):341-353
Abstract A general risk model that allows for stochastic return on investments as well as perturbation by diffusion is studied. Integro-differential equations for the distributions of the time of ruin, the surplus prior to ruin and the deficit at ruin of this model are established. In particular, we consider a diffusion perturbed risk model with interest force in details. 相似文献
20.
Borys V. Bazaliy 《Journal of Differential Equations》2005,216(2):387-438
Consider the Hele-Shaw problem with surface tension in the half-plane {y1>0} when at time t=0 the domain Ω(t) lies partly on the line y1=0, and partly in {y1>0}. In order to establish existence of a solution to this free boundary problem we need to study the (linear) model problem when the Ω(t) is a fixed angular domain. In this paper we consider this model problem and establish existence of a solution satisfying sharp weighted Hölder estimates. These estimates will be used in subsequent work to solve the full Hele-Shaw problem. 相似文献