共查询到20条相似文献,搜索用时 46 毫秒
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In this paper, a compounding assets model with positive jumps is proposed. Integral equations and integro‐differential equations for the survival probability and the ruin probability for the proposed model are derived. By using a probability method, an exact expression in the form of series for the ruin probability is obtained. Some closed‐form expressions for the survival probability are deduced by solving certain integro‐differential equations. Copyright © 2007 John Wiley & Sons, Ltd. 相似文献
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《Insurance: Mathematics and Economics》2010,46(3):382-392
This paper considers a dependent risk model with diffusion for the surplus of an insurer, in which a current premium rate will be adjusted after a claim occurs and the adjusted rate is determined by the amount of the claim. At the same time, the diffusion is changed correspondingly. Using Rouché’s theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent risk model. Then, using the Laplace transform, we derive a defective renewal equation satisfied by the survival probability. For the exponential claim sizes, we present the explicit recursion expression for the survival probability, by which we can exactly solve the survival probability step-by-step. We also illustrate the influence of the model parameters in the dependent risk model on the survival probability by numerical examples. 相似文献
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Lundberg’s risk process with tax 总被引:1,自引:0,他引:1
In this paper we extend the classical Cramér–Lundberg risk model by including tax payments. The considered tax rule is to pay a certain proportion of the premium income, whenever the portfolio is in a profitable situation. It is shown that the resulting survival probability is a power of the survival probability without tax. Furthermore, an explicit expression for the expected discounted total sum of tax payments until ruin according to this taxation rule is derived and the optimal starting level for taxation is determined. Finally, numerical illustrations of the results are given for the case of exponential claim amounts. 相似文献
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This paper considers a dependent risk model with diffusion for the surplus of an insurer, in which a current premium rate will be adjusted after a claim occurs and the adjusted rate is determined by the amount of the claim. At the same time, the diffusion is changed correspondingly. Using Rouché’s theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent risk model. Then, using the Laplace transform, we derive a defective renewal equation satisfied by the survival probability. For the exponential claim sizes, we present the explicit recursion expression for the survival probability, by which we can exactly solve the survival probability step-by-step. We also illustrate the influence of the model parameters in the dependent risk model on the survival probability by numerical examples. 相似文献
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Given a new Double-Markov risk model DM=(μ,Q,ν,H;Y,Z) and Double-Markov risk process U={U(t),t≥ 0}. The ruin or survival problem is addressed. Equations which the survival probability satisfied and the formulas of calculating survival probability are obtained. Recursion formulas of calculating the survival probability and analytic expression of recursion items are obtained. The conclusions are expressed by Q matrix for a Markov chain and transition probabilities for another Markov Chain. 相似文献
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Sun Chuanguang 《高校应用数学学报(英文版)》2007,22(1):109-118
In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the survival probability is well given when the claim amount distribution is Erlang distribution or mixed Erlang distribution. The expressions for moments of the time to ruin with the model above are given. 相似文献
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In this paper, we consider the survival probability for a two-dimensional risk model. We derive a partial integro-differential equation satisfied by the survival probability and prove its differentiability. We obtain explicit expressions for recursively calculating the survival probability by applying the partial integro-differential equation when claims are exponentially distributed. 相似文献
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Damitha Bandara Maria E Mayorga Laura A McLay 《The Journal of the Operational Research Society》2014,65(4):572-587
Emergency medical service (EMS) systems provide urgent medical care and transport. In this study we implement dispatching policies for EMS systems that incorporate the severity of the call in order to increase the survival probability of patients. A simulation model is developed to evaluate the performance of EMS systems. Performance is measured in terms of patients’ survival probability, since survival probability more directly mirrors patient outcomes. Different response strategies are evaluated utilizing several examples to study the nature of the optimal dispatching policy. The results show that dispatching the closest vehicle is not always optimal and dispatching vehicles considering priority of the call leads to an increase in the average survival probability of patients. A heuristic algorithm, that is easy to implement, is developed to dispatch ambulances for large-scale EMS systems. Computational examples show that the dispatching algorithm is valuable in increasing the patients’ survival probability. 相似文献
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本文研究马氏环境下带扰动的变利率的Cox风险模型.证明了该模型的最终生存概率(或最终破产概率)满足一定的瑕疵更新方程.并利用更新理论给出了其Cramer-Lundberg渐近性质。本文还推导出最终生存概率(或最终破产概率)的卷积公式,从而推广了文献[1]的相应结果。 相似文献
11.
We consider the OK Corral model formulated by Williams and McIlroy(11) and later studied by Kingman.(7) In this paper we refine some of Kingman's results, by showing the connection between this model and Friedman's urn, and using Rubin's construction to decouple the urn. Also we obtain the exact expression for the probability of survival of exactly S gunmen given an initially fair configuration. 相似文献
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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
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《Insurance: Mathematics and Economics》2006,38(2):298-308
This paper considers a bivariate compound Poisson model for a book of two dependent classes of insurance business. We focus on the ruin probability that at least one class of business will get ruined. As expected, general explicit expressions for this bivariate ruin probability is very difficult to obtain. In view of this, we introduce the so-called bivariate compound binomial model which can be used to approximate the finite-time survival probability of the assumed model. We then study some simple bounds for the infinite-time ruin probability via the association properties of the bivariate compound Poisson model. We also investigate the impact of dependence on the infinite-time ruin probability by means of multivariate stochastic orders. 相似文献
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Survival probability and ruin probability of a risk model 总被引:2,自引:0,他引:2
Jian-hua Luo 《高校应用数学学报(英文版)》2008,23(3):256-264
In this paper, a new risk model is studied in which the rate of premium income is regarded as a random variable, the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning process. The integral representations of the survival probability are gotten. The explicit formula of the survival probability on the infinite interval is obtained in the special casc cxponential distribution.The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory. 相似文献
19.
The paper presents the first empirical investigation of the relationship between present value of net revenue from a revolving credit account and times to default and to second purchase. The analysis is based on the data for a store card which is used to buy ‘white’ durable goods in Germany. It is demonstrated that there exists a relationship between the above given measures. It appears that there is a scope for improving profit if an application for a store card is assessed by using a model which estimates the revenue and includes the survival probability of default and the survival probability of second purchase (a survival combination model) rather than merely a static probability of default predicted by a logistic regression. 相似文献
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In this Note, we first prove a local limit theorem for a semi-Markov chain and then apply it to study the asymptotic behavior of the survival probability of a critical branching process in Markovian random environment. 相似文献