搜索结果: 1-12 共查到“知识库 risk model”相关记录12条 . 查询时间(0.093 秒)
On the Gerber-Shiu discounted penalty function for the ordinary renewal risk model with constant interest
Surplus immediately prior to ruin Deficit at ruin
2011/11/7
In this paper, we study the Gerber-Shiu discounted penalty function for the ordinary renewal risk model modified by the constant interest on the surplus. The time of ruin is analyzed in terms of it$\&...
Dividend Payments and Related Problems in a Markov-Dependent Insurance Risk Model under Absolute Ruin
Absolute Ruin Markov-Dependent Insurance Risk Model Debit Interest Moment-Generating Function
2013/2/19
In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent risk process in which the claim occurrence and the claim amount are regulated by an external discrete time Ma...
Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
Piecewise-deterministic compound Poisson model optimal stochastic control HJB equation quasi-variational inequality threshold strategy barrier strategy
2011/7/5
This paper deals with optimal dividend payment problem in the general setup of a
piecewise-deterministic compound Poisson risk model. The objective of an insurance
business under consideration is to...
Optimal dividend control for a generalized risk model with investment incomes and debit interest
Absolute ruin dividend optimization stochastic control value function viscosity solution
2011/3/23
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound ...
We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor-the debt-to-asset ratio R-in order...
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Risk theory absolute ruin Ornstein-Uhlenbeck type processes
2010/10/20
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability of a positive Ornst...
Empirical likelihood for the additive risk model
Additive risk model empirical likelihood left-truncation and right-censoring
2009/9/21
In this article, we investigate the empirical likelihood
method for the additive risk model when the failure times are subject
to left-truncation and right-censoring, An empuical likelihood ratio
f...
LGD credit risk model: estimation of capital with parameter uncertainty using MCMC
LGD credit risk model capital parameter MCMC
2010/12/13
This paper investigates the impact of parameter uncertainty on capital estimate in the well-known extended Loss Given Default (LGD) model with systematic dependence between default and recovery. We de...
We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor-the debt-to-asset ratio R-in order...
Distribution of Deficit at Ruin for a PDMP Insurance Risk Model
integro-differential equation risk process
2007/12/11
In this paper we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We mainly discuss the distribution of the deficit at ruin for the risk process. We derive the...
Ruin Probabilities under a Markovian Risk Model
risk processes ruin probabilities markov chains
2007/12/10
In this paper, a Markovian risk model is developed, in which the occurrence of the claims is described by a point process {N(t)}_(t≥0) with N(t) being the number of jumps of a Markov chain during the ...
In this paper we study a risk model with settlement delay in which the claimnumber process is a non-homogeneous Poisson process.