The survival probability in finite time period in fully discrete risk model

The probabilities of the following events are first discussed in this paper: the insurance company survives to any fixed time k and the surplus at time k equals x≥1. The formulas for calculating such probabilities are deduced through analytical and probabilistic arguments respectively. Finally, other probability laws relating to risk are determined based on the probabilities mentioned above.     

A BLACK-SCHOLES FORMULA FOR OPTION PRICING WITH DIVIDENDS

Abstract. We obtain a Black-Scholes formula for the arbitrage-free pricing of Eu-ropean Call options with constant coefficients when the underlylng stock generatesdividends. To hedge the Call option, we will always borrow money from bank. We seethe influence of the dividend term on the option pricing via the comparison theoremof BSDE(backward stochastic di~erential equation [5], [7]). We also consider the option pricing problem in terms of the borrowing rate R whichis not equal to the interest rate r. The corresponding Black-Sdxoles formula is given.We notice that it is in fact the borrowing rate that plays the role in the pricing formula.     

可解内生生育率的C-K模型

Abstract. In this paper,a C-K model with solvable endogenous fertility under the strongly addi-tive utility function is presented. The discrimination conditions of the existence of the nonzerosteady states are given. Under a kind of utility function and production function,we prove thatthese conditions are satisfied and the economy at least has an optimal growth path. The position-al relationship of the multiple steady states on the plane is discussed when multiple steady statesand multiple growth paths exist. By numerical analysis ,the fertility decreses with the per capitacapital and per capita consumption increasing and increases with the per capita capital and percapita consumption decreasing on the economic growth path are obtained.     

Optimal dividends in the Brownian motion risk model with interest

In this paper, we consider a Brownian motion risk model, and in addition, the surplus earns investment income at a constant force of interest. The objective is to find a dividend policy so as to maximize the expected discounted value of dividend payments. It is well known that optimality is achieved by using a barrier strategy for unrestricted dividend rate. However, ultimate ruin of the company is certain if a barrier strategy is applied. In many circumstances this is not desirable. This consideration leads us to impose a restriction on the dividend stream. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. Under this additional constraint, we show that the optimal dividend strategy is formed by a threshold strategy.     

On the Gerber-Shiu function for a risk model with multi-layer dividend strategy

In this paper, we present a new approach to the study of the Gerber-Shiu discounted function for the risk model with multi-layer dividend strategy. The formulae for the Gerber-Shiu discounted function and ruin probability were obtained and the special case where the claim size distribution is a combination of exponentials is considered in detail.     

Hypercomplex Functional Calculi and Function Theories in Clifford Analysis

Some properties of hypercomplex functions (the null solutions of the polynomial Dirac operators in Rⁿ⁺¹) in Clifford Analysis are discussed, their hypercomplex functional calculi for an n-tuple non-commuting self-adjoint operators A are constructed by the use of Cauchy integral formulas, the polynomial approaches to functional calculi are also considered. Although these hypercomplex function theories have different representative forms, their hypercomplex functional calculi are the same as the monogenic functional calculus.     

A risk model with paying dividends and random environment

We consider a discrete time risk model where dividends are paid to insureds and the claim size has a discrete phase-type distribution, but the claim sizes vary according to an underlying Markov process called an environment process. In addition, the probability of paying the next dividend is affected by the current state of the underlying Markov process. We provide explicit expressions for the ruin probability and the deficit distribution at ruin by extracting a QBD (quasi-birth-and-death) structure in the model and then analyzing the QBD process. Numerical examples are also given.     

Global behavior of the heat kernel associated with certain sub-Laplacians on semisimple Lie groups

We prove global sharp estimates for the heat kernel related to certain sub-Laplacians on a real semisimple Lie group, from which we deduce an estimate for the corresponding Green function.     

Solvability of backward stochastic differential equations with quadratic growth

We prove the existence of the unique solution of a general backward stochastic differential equation with quadratic growth driven by martingales. A kind of comparison theorem is also proved.     

Mesoscopic model for ferromagnets with isotropic hardening

The proposed model combines tendency for minimization of Gibbs magnetic energy with the rate-independent maximum-dissipation mechanism that reflects the macroscopic quantity of energy required to change one pole of a magnet to another. This energy can increase within the evolution which is the effect like hardening in plasticity. The microstructure is described on a mesoscopic level in terms of Young measures. Such a mesoscopic, distributed-parameter model is formulated (and, after a suitable regularization), analyzed, discretized, implemented, and eventually tested computationally on a uni-axial magnet. The desired hysteretic macroscopic response, including effects as virgin curves and minor loops, is demonstrated.Received: December 3, 2002; revised: March 25, 2003     

A classification of martingale Hardy spaces associated with rearrangement-invariant function spaces

Let X be a rearrangement-invariant Banach function space over a complete probability space , and denote by the Hardy space consisting of all martingales such that . We prove that implies for any filtration if and only if Doobs inequality holds in X, where denotes the martingale defined by , n = 0, 1, 2, ..., and a.s.Received: 1 August 2000     

The Root Problem For Stochastic Operators

Abstract

This note contains an order-theoretical approach to the theory of stochastic operators. Our main result is a necessary condition for the existence of n-th roots of an ergodic and conservative operator, which generalizes known results for measure-preserving operators and operators on L ^p-type spaces.     

Orthogonality of matrices

Let X be a real finite-dimensional normed space with unit sphere S_X and let L(X) be the space of linear operators from X into itself. It is proved that X is an inner product space if and only if for A,C∈L(X)

     

Nonmonotone algorithm for minimization on closed sets with applications to minimization on Stiefel manifolds

A nonmonotone Levenberg–Marquardt-based algorithm is proposed for minimization problems on closed domains. By preserving the feasible set’s geometry throughout the process, the method generates a feasible sequence converging to a stationary point independently of the initial guess. As an application, a specific algorithm is derived for minimization on Stiefel manifolds and numerical results involving a weighted orthogonal Procrustes problem are reported.     

On a dual pair of spaces of smooth and generalized random variables

A dual pairG andG ^* of smooth and generalized random variables, respectively, over the white noise probability space is studied.G is constructed by norms involving exponentials of the Ornstein-Uhlenbeck operator,G ^* is its dual. Sufficient criteria are proved for when a function onL(ℝ) is theL-transform of an element inG orG ^*.     

Power utility maximization under partial information: Some convergence results

In this paper we consider the power utility maximization problem under partial information in a continuous semimartingale setting. Investors construct their strategies using the available information, which possibly may not even include the observation of the asset prices. Resorting to stochastic filtering, the problem is transformed into an equivalent one, which is formulated in terms of observable processes. The value process, related to the equivalent optimization problem, is then characterized as the unique bounded solution of a semimartingale backward stochastic differential equation (BSDE). This yields a unified characterization for the value process related to the power and exponential utility maximization problems, the latter arising as a particular case. The convergence of the corresponding optimal strategies is obtained by means of BSDEs. Finally, we study some particular cases where the value process admits an explicit expression.     

On fractal properties of non-normal numbers with respect to Rényi f-expansions generated by piecewise linear functions

The paper is devoted to the study of fractal properties of subsets of the set of non-normal numbers with respect to Rényi f  -expansions generated by continuous increasing piecewise linear functions defined on [0,+∞)$[0,+\infty )$. All such expansions are expansions for real numbers generated by infinite linear IFS f={_f0,_f1,…,_fn,…}$f=\{f_0,f_1,\dots ,f_n,\dots \}$ with the following list of ratios _Q∞=(_q0,_q1,…,_qn,…)$Q_{\infty }=(q_0,q_1,\dots ,q_n,\dots )$.     

The compound binomial risk model with time-correlated claims

In this paper, we consider the compound binomial risk model with the time-correlated claims. It is assumed that every main claim will produce a by-claim but the occurrence of the by-claim may be delayed. We obtain the recursive formula of the joint distribution of the surplus immediately prior to ruin and deficit at ruin. Furthermore, the ruin probability is given by means of ruin probability and the deficit at ruin of the classical compound binomial risk model. Finally, we derive an upper bound for the ruin probability.