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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...
Based on the theory of portfolio selection with a risk-free asset, a selection model without risk-free asset is introduced. Since the optimal solution of the Markowitz model is very sensitive to the securities mean estimation, we restrict the securities mean to an interval to get over this shortcoming. Moreover, the corresponding optimal portfolio is derived analytically. Under the condition that...
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...
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