折射Lévy风险过程的Parisian破产问题

数学物理学报 ›› 2019, Vol. 39 ›› Issue (1): 184-199.

折射Lévy风险过程的Parisian破产问题

张万路,赵翔华*()

曲阜师范大学统计学院山东曲阜 273165

收稿日期:2017-10-26 出版日期:2019-02-26 发布日期:2019-03-12
通讯作者: 赵翔华 E-mail:qfzxh@163.com
基金资助:
国家自然科学基金(11571198);国家自然科学基金(11701319);山东省自然科学基金(ZR2014AM021)

On the Parisian Ruin Probability in a Refracted Lévy Process

Wanlu Zhang,Xianghua Zhao*()

School of Statistics, Qufu Normal University, Shandong Qufu 273165

Received:2017-10-26 Online:2019-02-26 Published:2019-03-12
Contact: Xianghua Zhao E-mail:qfzxh@163.com
Supported by:
the NSFC(11571198);the NSFC(11701319);the Natural Science Funndation of Shandong Province(ZR2014AM021)

摘要/Abstract

摘要：

该文主要讨论了折射Lévy风险过程（Refracted Lévy risk processes）的Parisian破产问题.折射Lévy风险过程可以看作一个保费可作调整的风险过程.该文借助Lévy过程的尺度函数（scale function）以及波动性理论（fluctuation）给出了折射Lévy风险过程的Parisian破产概率的确切表达式.

关键词: 折射Lévy风险过程, Parisian延迟, Parisian破产概率, 尺度函数

Abstract:

In this paper, we investigate the Parisian ruin probability for a refracted Lévy process with b ≥ 0 and derive the explicit formulas for Parisian ruin probability. Our methodology use fluctuation theory and the theory of scale functions for spectrally negative Lévy processes. Two examples are provided.

Key words: Refracted Lévy processes, Parisian delay, Parisian ruin probabiliry, Scale function

中图分类号:

O211.6

张万路,赵翔华. 折射Lévy风险过程的Parisian破产问题[J]. 数学物理学报, 2019, 39(1): 184-199.

Wanlu Zhang,Xianghua Zhao. On the Parisian Ruin Probability in a Refracted Lévy Process[J]. Acta mathematica scientia,Series A, 2019, 39(1): 184-199.

参考文献 12

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