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Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity value function exit time
2010/10/21
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'...