保费收入服从泊松过程的一类相依更新风险模型研究

本文研究了保费收入过程是泊松过程和聚合理赔过程中理赔间隔时间和个别理赔额之间具有Boudreault et al.(2006)中所描述的相依结构的一类更新风险模型.运用生成函数、离散形式的Dickson-Hipp算子和反Z变换等一系列方法,推导出了该模型的Gerber-Shiu函数的生成函数的精确表达式,以及它所满足的瑕疵更新方程.     

常利率下复合泊松-更新风险模型的破产问题

本文研究了常数利率下, 保费收入为复合Poisson 过程, 理赔到达过程为一般更新过程的风险模型. 利用离散化的方法, 获得了该风险模型的破产概率、破产时余额分布及破产前瞬间余额分布的级数展开式, 推广了文[1] 和文[2] 中的相关结果.     

一类相依两险种风险模型的分类破产概率

本文考虑文[1]中引入的一类索赔达到计数过程相关的两险种风险模型.利用更新方法,获得了该风险模型的分类破产概率的渐进结果,并给出了指数索赔情形下分类破产概率的表达式,从而改进了文[1]中的相关结果.     

基于ANP的装备质量管理风险评估模型

根据装备质量管理的特点对装备质量管理的风险因素进行了分析,依据指标体系的设计原则建立了装备质量管理风险评估的指标体系,并给出了基于网络层次分析法和粒子群优化算法的的装备质量管理风险评估指标权重值的确定方法.并给出了实例分析.     

Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest

In the paper, we study three types of finite-time ruin probabilities in a diffusion-perturbed bidimensional risk model with constant force of interest, pairwise strongly quasi-asymptotically independent claims and two general claim arrival processes, and obtain uniformly asymptotic formulas for times in a finite interval when the claims are both long-tailed and dominatedly-varying-tailed. In particular, with a certain dependence structure among the inter-arrival times, these formulas hold uniformly for all times when the claims are pairwise quasi-asymptotically independent and consistently-varying-tailed.     

Tandem queueing system with infinite and finite intermediate buffers and generalized phase-type service time distribution

A tandem queueing system with infinite and finite intermediate buffers, heterogeneous customers and generalized phase-type service time distribution at the second stage is investigated. The first stage of the tandem has a finite number of servers without buffer. The second stage consists of an infinite and a finite buffers and a finite number of servers. The arrival flow of customers is described by a Marked Markovian arrival process. Type 1 customers arrive to the first stage while type 2 customers arrive to the second stage directly. The service time at the first stage has an exponential distribution. The service times of type 1 and type 2 customers at the second stage have a phase-type distribution with different parameters. During a waiting period in the intermediate buffer, type 1 customers can be impatient and leave the system. The ergodicity condition and the steady-state distribution of the system states are analyzed. Some key performance measures are calculated. The Laplace–Stieltjes transform of the sojourn time distribution of type 2 customers is derived. Numerical examples are presented.     

Convergence of densities of some functionals of Gaussian processes

The aim of this paper is to establish the uniform convergence of the densities of a sequence of random variables, which are functionals of an underlying Gaussian process, to a normal density. Precise estimates for the uniform distance are derived by using the techniques of Malliavin calculus, combined with Stein?s method for normal approximation. We need to assume some non-degeneracy conditions. First, the study is focused on random variables in a fixed Wiener chaos, and later, the results are extended to the uniform convergence of the derivatives of the densities and to the case of random vectors in some fixed chaos, which are uniformly non-degenerate in the sense of Malliavin calculus. Explicit upper bounds for the uniform norm are obtained for random variables in the second Wiener chaos, and an application to the convergence of densities of the least square estimator for the drift parameter in Ornstein–Uhlenbeck processes is discussed.     

Haar wavelet solutions of nonlinear oscillator equations

In this paper, we present a numerical scheme using uniform Haar wavelet approximation and quasilinearization process for solving some nonlinear oscillator equations. In our proposed work, quasilinearization technique is first applied through Haar wavelets to convert a nonlinear differential equation into a set of linear algebraic equations. Finally, to demonstrate the validity of the proposed method, it has been applied on three type of nonlinear oscillators namely Duffing, Van der Pol, and Duffing–van der Pol. The obtained responses are presented graphically and compared with available numerical and analytical solutions found in the literature. The main advantage of uniform Haar wavelet series with quasilinearization process is that it captures the behavior of the nonlinear oscillators without any iteration. The numerical problems are considered with force and without force to check the efficiency and simple applicability of method on nonlinear oscillator problems.     

Dividends in finite time horizon

In this paper, we consider the classical risk model modified in two different ways by the inclusion of a dividend barrier. For Model I, we present numerical algorithms, which can be used to approximate or bound the expected discounted value of dividends up to a finite time horizon, t, or ruin if this occurs earlier. We extend this by requiring the shareholders to provide the initial capital and to pay the deficit at ruin each time it occurs so that the process then continues after ruin up to time t. For Model I, we assume the full premium income is paid as dividends whenever the surplus exceeds a set level. In our Model II, we assume dividends are paid at a rate less than the rate of premium income. Copyright © 2012 John Wiley & Sons, Ltd.