带利息力和干扰的批量索赔一般到达风险模型

本文在经典风险模型的基础上,将索赔到达过程推广为更新过程,索赔可以批量到达,且带有常数利息力和Brown运动干扰项,得到一个新的风险模型,运用Markov骨架过程的方法,得出盈余过程的瞬时分布和生存概率.     

市场竞争与国有企业所有权安排

改进了张维迎对地区间竞争与国有企业民营化的分析,给出了经营者的剩余索取份额对竞争性的连续依赖关系:国有企业若要降低成本,就必须参与市场竞争,随着市场竞争的加强,国有企业经营者的剩余索取份额应该逐渐增大,而当市场竞争水平超过某一阈值,国有企业经营者拥有全部剩余索取权是最优的.     

Moments of claims in a Markovian environment

This paper considers discounted aggregate claims when the claim rates and sizes fluctuate according to the state of the risk business. We provide a system of differential equations for the Laplace–Stieltjes transform of the distribution of discounted aggregate claims under this assumption. Using the differential equations, we present the first two moments of discounted aggregate claims in a Markovian environment. We also derive simple expressions for the moments of discounted aggregate claims when the Markovian environment has two states. Numerical examples are illustrated when the claim sizes are specified.     

Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims

This paper continues to study the asymptotic behavior of Gerber-Shiu expected discounted penalty functions in the renewal risk model as the initial capital becomes large. Under the assumption that the claim-size distribution is exponential, we establish an explicit asymptotic formula. Some straightforward consequences of this formula match existing results in the field.     

On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums

The paper develops a method for the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums.     

The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails

Consider a risk model with two correlated classes of insurance business and a constant force of interest. We assume that the correlation comes from a common shock and that the claim-size distribution is heavy-tailed. Under this setting, we investigate the tail behavior of the sum of the two correlated classes of discounted aggregate claims. We obtain the uniform asymptotic formulas for some subclass of subexponential distributions.     

Sample path large and moderate deviations for risk model with delayed claims

Sample path large and moderate deviation principles for Markov modulated risk models with delayed claims are proved by the exponential martingale method. As applications, asymptotic estimates and exponential bounds of the ruin probability are also studied.     

具限制投资组合和交易费用的博弈未定权益的保值

博弈期权是由kifer(2000)提出的,但就其本质而言,仍是美式期权的一种,只是增加了卖方中止合约的权利.本文主要对连续市场模型中具交易费用和限制投资组合的博弈未定权益的保值问题进行了研究,给出了买卖双方的保值价格和一个无套利区间.     

An exact formula for the mean number of claims served by a one-channel queuing system with rejections on a given time interval

An exact formula for the mean number of claims served by a one-channel queuing system (QS) with rejections on a given time interval is obtained, which makes it possible, in particular, to calculate exactly the QS efficiency indexes on an arbitrary time interval.     

Quadratic Hedging Methods for Defaultable Claims

We apply the local risk-minimization approach to defaultable claims and we compare it with intensity-based evaluation formulas and the mean-variance hedging. We solve analytically the problem of finding respectively the hedging strategy and the associated portfolio for the three methods in the case of a default put option with random recovery at maturity.