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This paper considers the ruin probability of a kind of dual risk model with a threshold. We assume that the expenses with a constant rate c ,and the aggregate positive gains is a compound process. Besides, the gain size depends on the inter-arrival time. The integro-differential equations satisfied by the ruin probability are derived. The adjustment coefficient and Lundberg's inequality can be gotten...
Consider an insurance risk model, in which the surplus process satisfies a recursive equation Un = Un-1(1 + r) - Xn for n ≥ 1, where, U0 = x ≥ 0 is the initial surplus, r > 0 is the constant interest rate, each Xn denotes the gross loss during the nth year, and Xn, n = 1, 2, ..., constitute a sequence of i.i.d. real valued r.v.'s with common d.f. F. This paper investigates the ruin probability...
A well-known result in Bayesian inventory control is: if lost sales are not observed, the optimal Bayesian inventory level is no less than the corresponding myopic case, that is, the decision-maker should “stock more” to acquire the knowledge of demand. However, we find that when the stockout demand can be satisfied by some substitute product with a probability, the optimal Bayesian inventory level...
In the process of risk investment decision-making, real option which is one of the key issues in the research of finance engineering is very important to enforce flexibility of management decision. As for appraising methodology, the real option approach is used. However, The investment circumstance is always vague. That is to say, the information we need is incomplete. The uncertainty influences the...
In this paper we propose a state space model to predict failed companies based on Kalman filter theory which is creative in the field of finance. A Kalman filter is simply an optimal recursive data processing algorithm which is in the form of a set of equations that allows an estimate to be updated once a new observation becomes available. Given a set of parameters (mainly of financial nature) it...
We consider the pricing problem of European passport option when underlying asset follows a jump-diffusion process. We derive the pricing equation and establish the comparison principle, uniqueness result and convexity preserving for the viscosity solutions of related HJB equations.
Sensors to monitor cargo are currently operated in standalone mode because of cost considerations, operational simplicity, and because potential benefits to having sensors share information do not appear to have been seriously considered in many cases. To identify situations where threat detection benefits offset networking costs (and where they do not), we describe a numerical algorithm for approximating...
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