In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is co...In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.展开更多
This paper considers a class of delayed renewal risk processes with a threshold dividend strategy. The main result is an expression of the Gerber-Shiu expected discounted penalty function in the delayed renewal risk m...This paper considers a class of delayed renewal risk processes with a threshold dividend strategy. The main result is an expression of the Gerber-Shiu expected discounted penalty function in the delayed renewal risk model in terms of the corresponding Cerber-Shiu function in the ordinary renewal model. Subsequently, this relationship is considered in more detail in both the stationary renewal risk model and the ruin probability.展开更多
This paper studies a Sparre Andersen negative risk sums model in which the distribution of ＂interclaim＂ time is that of a sum of n independent exponential random variables. Thus, the Erlang（n） model is a special c...This paper studies a Sparre Andersen negative risk sums model in which the distribution of ＂interclaim＂ time is that of a sum of n independent exponential random variables. Thus, the Erlang（n） model is a special case. On this basis the correlated negative risk sums process with the common Erlang process is considered. Integro-differential equations with boundary conditions for ψ（u） are given. For some special cases a closed-form expression for ψ（u） is derived.展开更多
In this article, the risk process perturbed by diffusion under interest force is considered, the continuity and twice continuous differentiability for Фδ（u,w） are discussed,the Feller expression and the integro-di...In this article, the risk process perturbed by diffusion under interest force is considered, the continuity and twice continuous differentiability for Фδ（u,w） are discussed,the Feller expression and the integro-differential equation satisfied by Фδ （u ,w） are derived. Finally, the decomposition of Фδ（u,w） is discussed, and some properties of each decomposed part of Фδ（u,w） are obtained. The results can be reduced to some ones in Gerber and Landry＇s,Tsai and Willmot＇s, and Wang＇s works by letting parameter δ and （or） a be zero.展开更多
In this article, the joint distributions of several actuarial diagnostics which are important to insurers＇ running for the jump-diffusion risk process are examined. They include the ruin time, the time of the surplus...In this article, the joint distributions of several actuarial diagnostics which are important to insurers＇ running for the jump-diffusion risk process are examined. They include the ruin time, the time of the surplus process leaving zero ultimately （simply, the ultimately leaving-time）, the surplus immediately prior to ruin, the supreme profits before ruin, the supreme profits and deficit until it leaves zero ultimately and so on. The explicit expressions for their distributions are obtained mainly by the various properties of Levy process, such as the homogeneous strong Markov property and the spatial homogeneity property etc, moveover, the many properties for Brownian motion.展开更多
A Markovian risk process is considered in this paper, which is the generalization of the classical risk model. It is proper that a risk process with large claims is modelled as the Markovian risk model. In such a mode...A Markovian risk process is considered in this paper, which is the generalization of the classical risk model. It is proper that a risk process with large claims is modelled as the Markovian risk model. In such a model, the occurrence of claims is described by a point process {N（t）}t≥0 with N（t） being the number of jumps during the interval （0, t] for a Markov jump process. The ruin probability ψ（u） of a company facing such a risk model is mainly studied. An integral equation satisfied by the ruin probability function ψ（u） is obtained and the bounds for the convergence rate of the ruin probability ψ（u） are given by using a generalized renewal technique developed in the paper.展开更多
The European Monetary Union (EMU) appeared unprecedentedly on the world scene as 12 European countries voluntarily gave up part of their sovereignty to create a regional monetary system. The introduction of euro curre...The European Monetary Union (EMU) appeared unprecedentedly on the world scene as 12 European countries voluntarily gave up part of their sovereignty to create a regional monetary system. The introduction of euro currency is undoubtedly a crucial step toward further European integration.展开更多
The classical Poisson risk model in ruin theory assumed that the interarrival times between two successive claims are mutually independent, and the claim sizes and claim intervals are also mutually independent. In thi...The classical Poisson risk model in ruin theory assumed that the interarrival times between two successive claims are mutually independent, and the claim sizes and claim intervals are also mutually independent. In this paper, we modify the classical Poisson risk model to describe the surplus process of an insurance portfolio. We consider a jump-diffusion risk process compounded by a geometric Brownian motion, and assume that the claim sizes and claim intervals are dependent. Using the properties of conditional expectation, we establish integro-differential equations for the Gerber-Shiu function and the ultimate ruin probability.展开更多
The Markov property of Markov process functionals which are frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Markov property of some important Markov process ...The Markov property of Markov process functionals which are frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Markov property of some important Markov process functionals are presented, the following conclusions are obtained： the multidimensional process with independent increments is a multidimensional Markov process; the functional in the form of path integral of process with independent increments is a Markov process; the surplus process with the doubly stochastic Poisson process is a vector Markov process. The conditions for linear transformation of vector Markov process being still a Markov process are given.展开更多
A catastrophic landslide occurred at Xinmo village in Maoxian County, Sichuan Province,China, on June 24, 2017. A 2.87×106 m3 rock mass collapsed and entrained the surface soil layer along the landslide path. Eig...A catastrophic landslide occurred at Xinmo village in Maoxian County, Sichuan Province,China, on June 24, 2017. A 2.87×106 m3 rock mass collapsed and entrained the surface soil layer along the landslide path. Eighty-three people were killed or went missing and more than 103 houses were destroyed. In this paper, the geological conditions of the landslide are analyzed via field investigation and high-resolution imagery. The dynamic process and runout characteristics of the landslide are numerically analyzed using a depth-integrated continuum method and Mac Cormack-TVD finite difference algorithm.Computational results show that the evaluated area of the danger zone matchs well with the results of field investigation. It is worth noting that soil sprayed by the high-speed blast needs to be taken into account for such kind of large high-locality landslide. The maximum velocity is about 55 m/s, which is consistent with most cases. In addition, the potential danger zone of an unstable block is evaluated. The potential risk area evaluated by the efficient depthintegrated continuum method could play a significant role in disaster prevention and secondary hazard avoidance during rescue operations.展开更多
In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent...In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numerical characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson process with parameter λ, using martingale methods to obtain the upper bound of the ultimate ruin probability.展开更多
In this article, we construct an exponential martingale for the compound Poisson process with latent variable. With the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic r...In this article, we construct an exponential martingale for the compound Poisson process with latent variable. With the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic risk measure for the compound Poisson process and a deviation inequality for the ruin probability of the partly shifted risk process.展开更多
Oil and gas production systems have the characteristics of high operation and maintenance risk and great accident influence.With the deep integration of informationization and industrialization,the development directio...Oil and gas production systems have the characteristics of high operation and maintenance risk and great accident influence.With the deep integration of informationization and industrialization,the development direction and necessary choice of the oil and gas industry is to develop the oil and gas production system into the interconnected,multi-domain interactive cyber-physical intelligent system.In order to avoid or reduce the complex,diverse and potentially unknown safety risks in the process of oil and gas production,improve the safety and reliability of oil and gas production system and increase the production efficiency,this paper analyzes the safety problems occurring in the intelligentization process of oil and gas production system and constructs a system from the perspective of operation and maintenance based on key elements of intelligent safe operation and maintenance technology,combined with the typical production scenarios in the oil and gas production industry.And the following research results are obtained.First,the connotation of intelligent safe operation and maintenance technology is clarified,the key elements and existing problems and challenges of intelligent safe operation and maintenance technology are analyzed,and the“1-2-3-4-5-6”intelligent safe operation and maintenance technology system of oil and gas production system is constructed,which empowers six key technologies with key elements of oil and gas production to realize the essential safety of oil and gas production system.Second,the intelligent safe operation and maintenance technology actively promotes the application and implementation of condition monitoring,health management,risk assessment,intelligent early warning technologies in typical production scenarios such as drilling and extraction,storage and transportation,refining and chemical industry in up,middle and down streams of oil and gas production.Third,in view of the characteristics of oil and gas production system under digital transformation,it is proposed to develop the intelligent safe operation and maintenance technology with the functions of intelligent decision-making,active prevention and comprehensive safety in the future to help the safe construction in thefield of oil and gas production and promote the safe and healthy development of the oil and gas industry.In conclusion,the research on intelligent safe operation and maintenance technology system of oil and gas production system is conducive to the safe construction in thefield of oil and gas production,which will not only provide technical support for the realization of trouble-free oil and gas production system,but also provide reference for the intelligent development of the world oil and gas industry.展开更多
The article describes a generic implementation process for risk management that integrates the risk management framework and process described in ISO 31000.According to the process the organizations are able to effect...The article describes a generic implementation process for risk management that integrates the risk management framework and process described in ISO 31000.According to the process the organizations are able to effectively implement risk management ISO 31000,adapted to their unique circumstances.展开更多
In this paper, a Markovian risk model is developed, in which the occurrence of the claims is described by a point process {N(t)} <SUB>t≥0</SUB> with N(t) being the number of jumps of a Markov cha...In this paper, a Markovian risk model is developed, in which the occurrence of the claims is described by a point process {N(t)} <SUB>t≥0</SUB> with N(t) being the number of jumps of a Markov chain during the interval [0, t]. For the model, the explicit form of the ruin probability Ψ(0) and the bound for the convergence rate of the ruin probability Ψ(u) are given by using the generalized renewal technique developed in this paper. Finally, we prove that the ruin probability Ψ(u) is a linear combination of some negative exponential functions in a special case when the claims are exponentially distributed and the Markov chain has an intensity matrix (q <SUB>ij </SUB>)<SUB> i,j∈E</SUB> such that q <SUB>m </SUB>= q <SUB>m1</SUB> and q <SUB>i </SUB>= q <SUB>i(i+1)</SUB>, 1 ≤ i ≤ m−1.展开更多
Abstract In this paper we consider the risk process that is described by a piecewise deterministic Markov processes (PDMP). We first present the construction of the risk process and then discuss some ruin problems for...Abstract In this paper we consider the risk process that is described by a piecewise deterministic Markov processes (PDMP). We first present the construction of the risk process and then discuss some ruin problems for this new kind of risk model.展开更多
In this paper we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We mainly discuss the distribution of the deficit at ruin for the risk process. We derive the integrodi differ...In this paper we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We mainly discuss the distribution of the deficit at ruin for the risk process. We derive the integrodi differential equation satisfied by this distribution. We obtain the explicit expressions for it for certain choices of the claim amount distribution.展开更多
文摘In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.
基金Supported by the Natural Science Foundation of Hunan (No. 08JJ3004)
文摘This paper considers a class of delayed renewal risk processes with a threshold dividend strategy. The main result is an expression of the Gerber-Shiu expected discounted penalty function in the delayed renewal risk model in terms of the corresponding Cerber-Shiu function in the ordinary renewal model. Subsequently, this relationship is considered in more detail in both the stationary renewal risk model and the ruin probability.
基金Project supported by the Russian Foundation for Basic Research,Grant 99-01-00847the Russian Humanitarian Scientific Foundation,Grant 00-02-00152a,by the NNSF of China(19971047) and DSF
文摘In this paper,the asymptotic behavior of generalized risk processes without any momentassumptions on the controlling process is described.
基金Supported by the Foundation of Suzhou Science and Technology University
文摘This paper studies a Sparre Andersen negative risk sums model in which the distribution of ＂interclaim＂ time is that of a sum of n independent exponential random variables. Thus, the Erlang（n） model is a special case. On this basis the correlated negative risk sums process with the common Erlang process is considered. Integro-differential equations with boundary conditions for ψ（u） are given. For some special cases a closed-form expression for ψ（u） is derived.
文摘In this article, the risk process perturbed by diffusion under interest force is considered, the continuity and twice continuous differentiability for Фδ（u,w） are discussed,the Feller expression and the integro-differential equation satisfied by Фδ （u ,w） are derived. Finally, the decomposition of Фδ（u,w） is discussed, and some properties of each decomposed part of Фδ（u,w） are obtained. The results can be reduced to some ones in Gerber and Landry＇s,Tsai and Willmot＇s, and Wang＇s works by letting parameter δ and （or） a be zero.
基金Supported by the National Natural Sci-ence Foundations of China (10271062 and 10471119)the Natural Science Foundation of Shandong Province(Y2004A06, Y2008A12, and ZR2009AL015)+1 种基金the Science Foundations of Shandong Provincial Education Department (J07yh05)the Science Foundations of Qufu Normal University (XJ0713, Bsqd200517)
文摘In this article, the joint distributions of several actuarial diagnostics which are important to insurers＇ running for the jump-diffusion risk process are examined. They include the ruin time, the time of the surplus process leaving zero ultimately （simply, the ultimately leaving-time）, the surplus immediately prior to ruin, the supreme profits before ruin, the supreme profits and deficit until it leaves zero ultimately and so on. The explicit expressions for their distributions are obtained mainly by the various properties of Levy process, such as the homogeneous strong Markov property and the spatial homogeneity property etc, moveover, the many properties for Brownian motion.
文摘A Markovian risk process is considered in this paper, which is the generalization of the classical risk model. It is proper that a risk process with large claims is modelled as the Markovian risk model. In such a model, the occurrence of claims is described by a point process {N（t）}t≥0 with N（t） being the number of jumps during the interval （0, t] for a Markov jump process. The ruin probability ψ（u） of a company facing such a risk model is mainly studied. An integral equation satisfied by the ruin probability function ψ（u） is obtained and the bounds for the convergence rate of the ruin probability ψ（u） are given by using a generalized renewal technique developed in the paper.
文摘The European Monetary Union (EMU) appeared unprecedentedly on the world scene as 12 European countries voluntarily gave up part of their sovereignty to create a regional monetary system. The introduction of euro currency is undoubtedly a crucial step toward further European integration.
文摘The classical Poisson risk model in ruin theory assumed that the interarrival times between two successive claims are mutually independent, and the claim sizes and claim intervals are also mutually independent. In this paper, we modify the classical Poisson risk model to describe the surplus process of an insurance portfolio. We consider a jump-diffusion risk process compounded by a geometric Brownian motion, and assume that the claim sizes and claim intervals are dependent. Using the properties of conditional expectation, we establish integro-differential equations for the Gerber-Shiu function and the ultimate ruin probability.
基金Supported by the National Natural Science Foundation of China (10671197)
文摘The Markov property of Markov process functionals which are frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Markov property of some important Markov process functionals are presented, the following conclusions are obtained： the multidimensional process with independent increments is a multidimensional Markov process; the functional in the form of path integral of process with independent increments is a Markov process; the surplus process with the doubly stochastic Poisson process is a vector Markov process. The conditions for linear transformation of vector Markov process being still a Markov process are given.
基金Financial support from National Nature Science Foundation of China (Grant No. 41572303, 41520104002)Chinese Academy of Sciences “Light of West China” Program and Youth Innovation Promotion Association
文摘A catastrophic landslide occurred at Xinmo village in Maoxian County, Sichuan Province,China, on June 24, 2017. A 2.87×106 m3 rock mass collapsed and entrained the surface soil layer along the landslide path. Eighty-three people were killed or went missing and more than 103 houses were destroyed. In this paper, the geological conditions of the landslide are analyzed via field investigation and high-resolution imagery. The dynamic process and runout characteristics of the landslide are numerically analyzed using a depth-integrated continuum method and Mac Cormack-TVD finite difference algorithm.Computational results show that the evaluated area of the danger zone matchs well with the results of field investigation. It is worth noting that soil sprayed by the high-speed blast needs to be taken into account for such kind of large high-locality landslide. The maximum velocity is about 55 m/s, which is consistent with most cases. In addition, the potential danger zone of an unstable block is evaluated. The potential risk area evaluated by the efficient depthintegrated continuum method could play a significant role in disaster prevention and secondary hazard avoidance during rescue operations.
基金Jilin province education department"twelfth five-year"science and technology research plan project([2015]No.58)the science and technology innovation fund(No.XJJLG-2014-02)of Changchun University of Science and Technology
文摘In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numerical characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson process with parameter λ, using martingale methods to obtain the upper bound of the ultimate ruin probability.
基金Supported by National Natural Science Foundation of China(11301461)Natural Science Foundation of Jiangsu Province(BK20130435)University Natural Science Foundation of Jiangsu Province(13KJB110031)
文摘In this article, we construct an exponential martingale for the compound Poisson process with latent variable. With the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic risk measure for the compound Poisson process and a deviation inequality for the ruin probability of the partly shifted risk process.
基金supported by the Key Program of National Natural Science Foundation of China“Research on risk formation mechanism and control method of oil&gas storage and transportation system from the perspective of cyber-physics”(No:52234007).
文摘Oil and gas production systems have the characteristics of high operation and maintenance risk and great accident influence.With the deep integration of informationization and industrialization,the development direction and necessary choice of the oil and gas industry is to develop the oil and gas production system into the interconnected,multi-domain interactive cyber-physical intelligent system.In order to avoid or reduce the complex,diverse and potentially unknown safety risks in the process of oil and gas production,improve the safety and reliability of oil and gas production system and increase the production efficiency,this paper analyzes the safety problems occurring in the intelligentization process of oil and gas production system and constructs a system from the perspective of operation and maintenance based on key elements of intelligent safe operation and maintenance technology,combined with the typical production scenarios in the oil and gas production industry.And the following research results are obtained.First,the connotation of intelligent safe operation and maintenance technology is clarified,the key elements and existing problems and challenges of intelligent safe operation and maintenance technology are analyzed,and the“1-2-3-4-5-6”intelligent safe operation and maintenance technology system of oil and gas production system is constructed,which empowers six key technologies with key elements of oil and gas production to realize the essential safety of oil and gas production system.Second,the intelligent safe operation and maintenance technology actively promotes the application and implementation of condition monitoring,health management,risk assessment,intelligent early warning technologies in typical production scenarios such as drilling and extraction,storage and transportation,refining and chemical industry in up,middle and down streams of oil and gas production.Third,in view of the characteristics of oil and gas production system under digital transformation,it is proposed to develop the intelligent safe operation and maintenance technology with the functions of intelligent decision-making,active prevention and comprehensive safety in the future to help the safe construction in thefield of oil and gas production and promote the safe and healthy development of the oil and gas industry.In conclusion,the research on intelligent safe operation and maintenance technology system of oil and gas production system is conducive to the safe construction in thefield of oil and gas production,which will not only provide technical support for the realization of trouble-free oil and gas production system,but also provide reference for the intelligent development of the world oil and gas industry.
文摘The article describes a generic implementation process for risk management that integrates the risk management framework and process described in ISO 31000.According to the process the organizations are able to effectively implement risk management ISO 31000,adapted to their unique circumstances.
基金Supported by the National Natural Science Foundation of China (No.19971072).
文摘In this paper, a Markovian risk model is developed, in which the occurrence of the claims is described by a point process {N(t)} <SUB>t≥0</SUB> with N(t) being the number of jumps of a Markov chain during the interval [0, t]. For the model, the explicit form of the ruin probability Ψ(0) and the bound for the convergence rate of the ruin probability Ψ(u) are given by using the generalized renewal technique developed in this paper. Finally, we prove that the ruin probability Ψ(u) is a linear combination of some negative exponential functions in a special case when the claims are exponentially distributed and the Markov chain has an intensity matrix (q <SUB>ij </SUB>)<SUB> i,j∈E</SUB> such that q <SUB>m </SUB>= q <SUB>m1</SUB> and q <SUB>i </SUB>= q <SUB>i(i+1)</SUB>, 1 ≤ i ≤ m−1.
基金Supported by the National Natural Sciences Foundation of China (No.19971047)Doctoral Foundation of Suzhou University.
文摘Abstract In this paper we consider the risk process that is described by a piecewise deterministic Markov processes (PDMP). We first present the construction of the risk process and then discuss some ruin problems for this new kind of risk model.
基金the National Natural Science Foundation of China (Grant No. 10271087)National Science Foundation of Jiangsu education Ministry (Grant No. 02KJB110002).the National Natural Science Foundation of China (Grant No. 10271062)the Research Fund for th
文摘In this paper we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We mainly discuss the distribution of the deficit at ruin for the risk process. We derive the integrodi differential equation satisfied by this distribution. We obtain the explicit expressions for it for certain choices of the claim amount distribution.
