共查询到20条相似文献,搜索用时 15 毫秒
1.
Yinghui Dong Kam C. Yuen Guojing Wang Chongfeng Wu 《Methodology and Computing in Applied Probability》2016,18(2):459-486
In this paper, we consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes that the intensities of the default times are driven by macro-economy described by a homogenous Markov chain and that the default of one firm may trigger a positive jump, associated with the state of Markov chain, in the default intensity of the other firm. The intensities before the default of the other firm are modeled by a two-dimensional regime-switching shot noise process with common shocks. By using the idea of “change of measure” and some closed-form formulas for the joint conditional Laplace transforms of the regime-switching shot noise processes and the integrated regime-switching shot noise processes, we derive the two-dimensional conditional and unconditional joint distributions of the default times. Based on these results, we can express the single-name credit default swap (CDS) spread, the first and second-to-default CDS spreads on two underlyings in terms of fundamental matrix solutions of linear, matrix-valued, ordinary differential equations. 相似文献
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《数学的实践与认识》2015,(9)
在常利率环境下,研究了一个含相关业务类的复合Cox风险模型,其保险业务间的相关结构是由共同跳结构来描述的.假设两类保险业务的理赔来到强度过程服从一个多维的马氏调控散粒噪声过程.利用鞅方法,给出了总折现理赔量和马氏调控散粒噪声强度过程的联合拉普拉斯变换,并利用拉普拉斯变换给出了总折现理赔量的期望和方差等特征量. 相似文献
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Credit valuation adjustment is the price adjustment
of financial contract considering possible default of counterparty and it
is an important way to measure counterparty risk. It is the key to establish
a reasonable default dependence structure model. We introduce an economic
state variable and shot noise processes in a Markov copula model and establish
a regime switching Markov copula model with shot noise, where we can not
only describe the impact of common economic conditions characteristics but
also describe the credit name's characteristic. In this proposed model, we
study martingale property of the model and the collateralized CVA of credit
default swaps, and furthermore, we perfer some numerical calculations on
the collateralized CVA and examine the impact of some model parameters on
the CVA. 相似文献
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S. N. U. A. Kirmani Ramesh C. Gupta 《Annals of the Institute of Statistical Mathematics》2001,53(2):203-216
The proportional odds (PO) model with its property of convergent hazard functions is of considerable value in modeling survival data with non-proportional hazards. This paper explores the structure, implications, and properties of the PO model. Results proved include connections with geometric minima and maxima, ageing characteristics, and bounds on mean and variance of survival times. 相似文献
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In many cases, the survival probability of a system depends not only on the intrinsic characteristic of the system itself
but also on the randomly variable external environment under which the system is being operated. In this paper we study a
stochastic survival model for a system under random shock process which affects the survival of the system in a complicated
way. The lifetime distribution of the system is derived, and the effect of environmental factors on the failure process of
the system is also investigated. 相似文献
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V. P. Gaevoi 《Siberian Mathematical Journal》2005,46(5):796-804
In the half-strip 0 ≤ x ≤ h, t ≤ 0 we consider a mixed problem for an almost linear system of three first order PDEs, one of which does not involve derivatives with respect to t. We prove the existence and uniqueness of a generalized Holder continuous solution and generalized piecewise smooth and smooth solutions. For the piecewise smooth solution we prove the stabilization of some functionals as t → ∞. 相似文献
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保费收入为Poisson过程的更新风险模型 总被引:1,自引:0,他引:1
对于保费收入为Poisson过程的更新风险模型,利用马氏链的理论,借助转移概率,得出了破产概率和破产赤字的展式及其所满足的积分方程. 相似文献
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Chengguo Weng Yi Zhang Ken Seng Tan 《Methodology and Computing in Applied Probability》2013,15(3):655-682
This paper considers the tail behavior of Poisson shot noise processes where the shock random variables are generally dependent but bivariate upper tail independent. Some uniform asymptotic relations are established for tail probabilities of the process. As the Poisson shot noise process can capture the effects of delay factors and the interest factor in the insurance business, these established results are very useful in many insurance applications. As examples, they are applied to two important actuarial topics: ruin probabilities and insurance premium approximation. 相似文献
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We study the phase portrait of a harmonic oscillator with friction for the case in which random perturbations of white noise type expressed in the Itô form act at a certain angle to the phase velocity vector. 相似文献
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Brownian motion and normal distribution have been widely used
in Cox-Ingersoll-Ross interest rate framework to model the instantaneous interest rate
dynamics. However, empirical studies have also shown that the return distribution of
interest rate has a higher peak and two fatter tails than those of the normal distribution.
Meanwhile, when the rare catastrophic shocks occur or the regime shifts in the economy
and finance, the money market may have jumps. In this paper, we will consider a class
of reflected Cox-Ingersoll-Ross interest rate models with noise. Furthermore,
we shall continue to supply the Laplace transform of the stationary distribution about
this reflected diffusion process with jumps. 相似文献
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In this work, we propose a new variational model for multi-modal image registration and present an efficient numerical implementation. The model minimizes a new functional based on using reformulated normalized gradients of the images as the fidelity term and higher-order derivatives as the regularizer. A key feature of the model is its ability of guaranteeing a diffeomorphic transformation which is achieved by a control term motivated by the quasi-conformal map and Beltrami coefficient. The existence of the solution of this model is established. To solve the model numerically, we design a Gauss-Newton method to solve the resulting discrete optimization problem and prove its convergence; a multilevel technique is employed to speed up the initialization and avoid likely local minima of the underlying functional. Finally, numerical experiments demonstrate that this new model can deliver good performances for multi-modal image registration and simultaneously generate an accurate diffeomorphic transformation. 相似文献
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对于连续时间和离散时间三状态隐马氏模型,给出了观测过程直到三维的似然函数流的显式表达.作为一个应用,证明了观测过程可逆性的充分必要条件. 相似文献
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文章通过在Omega模型中加入布朗运动扰动项,提出了一种跳扩散Omega破产模型.在索赔额为指数分布的情形下,给出了破产率函数是常数时的破产概率函数表达式.文章进一步研究了破产概率和盈余过程的“负占有时”之间的关系,并给出了破产概率函数的第二种推导过程.最后通过两个数值试验,将我们的模型与Albreeher和Lautscham (2013)的Omega模型的破产概率进行了比较分析. 相似文献
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研究了环境污染对种群的长期影响.考虑到新生个体的出生对种群体内毒素的影响,以及死亡的种群个体将体内毒素带回环境,建立了一个非自治数学模型.主要运用比较定理得到了种群一致持续生存、弱持续生存以及绝灭的判据. 相似文献
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Newton's method and Kurchatov's method are iterative processes known for their fast speed of convergence. We construct from both methods an iterative method to approximate solutions of nonlinear equations given by a nondifferentiable operator, and we study its semilocal convergence in Banach spaces. Finally, we consider several applications of this new iterative process. 相似文献
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We solve the problem of extrapolation of an analytic function of a certain class in the case where its values are observed in a white noise whose intensity is not high. 相似文献