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We consider the optimal dividend problem in the restricted dividend rate setting in the compound Poisson model with debit interest. And find a new ruin barrier-voluntary ruin barrier below which the insurers would rather stop their activities than continue taking the debit. Explicit solutions are given out when the claim amount distribution is exponential.
Operational models are typically used to optimize operational measures such as lead time, work-in-process or throughput. Unfortunately, these models often do not take into account the financial aspects of the decisions made. Financial models on the other hand try to optimize costs, profits or shareholder's value. Integration with the underlying operational model is however often missing because the...
The ruin probability of an insurance company is one of the main issues in actuarial mathematics. In the classical Poisson model of the risk theory there exist analytic expressions for the ruin probability, but in other risk models, there are not. For this, researchers try to find upper and lower bounds, and better approximations. In this paper, we discuss some methods of estimating it: De Vylder,...
The Deposit Insurance System is an important and fundamental system in finance under the condition of market economy. The article, taking foreign experience into consideration and by the means of system engineering, complex system modeling and BSDE and on the purpose of protecting the depositors, integrates the financing income and payment into one system recording to management and operation of DIS...
This paper describes a model that seeks to simultaneously optimize the location of multiple-server, congestible facilities in order to realize company's maximal total captured demand. The effective demand at each customer demand node is elastic to the travel cost to the facility, and to the congestion at that facility. We propose a greedy heuristic for the resulting problem formulation, and provide...
This paper addresses the issue of modeling and understanding the dynamics of customer relationships. Our approach to modeling relationship dynamics is structurally different from the models in the existing literature. We construct a Partially Observable Markov Decision Process (POMDP) to relate the latent relationship states to the observed buying behavior. The POMDP enables the marketer to estimate...
This study tries to reveal emergencies and their influence on corporation credit risks. Based on the recognition of emergency and its definition, we establish Poisson process model of emergencies and compound Poisson process model of emergenciespsila influence on corporation credit risks. And then, we do some quantification study on them. It turns out that the expectation of the influence can be quantified...
The need for a measure different from the number of states in analyzing stochastic sequential machines is pointed out. Using the decomposition previously demonstrated in association with actual physical realization of stochastic sequential machines4, a particular measure of complexity C(M) for a given machine M is introduced. The computational aspect of C(M) is discussed and an example exhibiting...
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