In this paper,a Markov-dependent risk model with a threshold strategy is considered. The expected discounted dividend payments satisfy some integro-differential equations. The analytical solutions to these systems are...In this paper,a Markov-dependent risk model with a threshold strategy is considered. The expected discounted dividend payments satisfy some integro-differential equations. The analytical solutions to these systems are given. Finally,some numerical exam-ples in some special cases are provided.展开更多
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admis...Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. In this paper, we show that a threshold strategy （also called refraction strategy） forms an optimal strategy under the condition that the Levy measure has a completely monotone density.展开更多
In this article, a threshold dividend strategy is used for classical risk model. Under this dividend strategy, certain probability of ruin, which occurs in case of constant barrier strategy, is avoided. Using the stro...In this article, a threshold dividend strategy is used for classical risk model. Under this dividend strategy, certain probability of ruin, which occurs in case of constant barrier strategy, is avoided. Using the strong Markov property of the surplus process and the distribution of the deficit in classical risk model, the survival probability for this model is derived, which is more direct than that in Asmussen（2000, P195, Proposition 1.10）. The occupation time of non-dividend of this model is also discussed by means of Martingale method.展开更多
This paper studies a Markov-dependent risk model in which the claim occurrence and the claim amount are regulated by an external discrete time Markov process. Integro-differential equations in matrix form for the Gerb...This paper studies a Markov-dependent risk model in which the claim occurrence and the claim amount are regulated by an external discrete time Markov process. Integro-differential equations in matrix form for the Gerber-Shiu discounted penalty function are presented. Then the analytical solutions to the equations are derived. Finally, in the two-state model, some numerical results are obtained when claim amount is exponentially distributed.展开更多
An autonomous altitude adjustment system for a stratospheric satellite(StratoSat)platform is proposed.This platform consists of a helium balloon,a ballonet,and a two-way blower.The helium balloon generates lift to bal...An autonomous altitude adjustment system for a stratospheric satellite(StratoSat)platform is proposed.This platform consists of a helium balloon,a ballonet,and a two-way blower.The helium balloon generates lift to balance the platform gravity.The two-way blower inflates and deflates the ballonet to regulate the buoyancy.Altitude adjustment is achieved by tracking the differential pressure difference(DPD),and a threshold switching strategy is used to achieve blower flow control.The vertical acceleration regulation ability is decided not only by the blower flow rate,but also by the designed margin of pressure difference(MPD).Pressure difference is a slow-varying variable compared with altitude,and it is adopted as the control variable.The response speed of the actuator to disturbance can be delayed,and the overshoot caused by the large inertia of the platform is inhibited.This method can maintain a high tracking accuracy and reduce the complexity of model calculation,thus improving the robustness of controller design.展开更多
In this paper,we propose a novel adjustable multiple cross-hexagonal search(AMCHS) algorithm for fast block motion estimation. It employs adjustable multiple cross search patterns(AMCSP) in the first step and then use...In this paper,we propose a novel adjustable multiple cross-hexagonal search(AMCHS) algorithm for fast block motion estimation. It employs adjustable multiple cross search patterns(AMCSP) in the first step and then uses half-way-skip and half-way-stop technique to determine whether to employ two hexagonal search patterns(HSPs) subsequently. The AMCSP can be used to find small motion vectors efficiently while the HSPs can be used to find large ones accurately to ensure prediction quality. Simulation results showed that our proposed AMCHS achieves faster search speed,and provides better distortion performance than other popular fast search algorithms,such as CDS and CDHS.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 considers a perturbed renewal risk process in which the inter-claim times have a phasetype distribution under a threshold dividend strategy. Integro-differential equations with certain boundary conditions f...This paper considers a perturbed renewal risk process in which the inter-claim times have a phasetype distribution under a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generating function and the ruth moment of the present value of all dividends until ruin are derived. Explicit expressions for the expectation of the present value of all dividends until ruin are obtained when the claim amount distribution is from the rational family. Finally, we present an example.展开更多
In this paper, we consider the Perturbed Compound Poisson Risk Model with a threshold dividend strategy （PCT）. Integro-differential equations （IDE） for its Cerber-Shiu functions and dividend payments function are ...In this paper, we consider the Perturbed Compound Poisson Risk Model with a threshold dividend strategy （PCT）. Integro-differential equations （IDE） for its Cerber-Shiu functions and dividend payments function are stated. We maily focus on deriving the boundary conditions to solve these equations.展开更多
In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certai...In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certain boundary conditions for the present value of dividends until ruin. When the claims from both classes are exponentially distributed, we show that the threshold dividend strategy is an optimal dividend strategy.展开更多
Facing various pieces of information disclosed by the system upon arrival,customers often exhibit different strategic responses.In this paper,customers'strategic behavior is studied in a Markovian queue with Berno...Facing various pieces of information disclosed by the system upon arrival,customers often exhibit different strategic responses.In this paper,customers'strategic behavior is studied in a Markovian queue with Bernoulli-type working vacations.Upon completion of a service,the server starts a working vacation if the system is empty.If the system is found to be non-empty,the server takes a working vacation with a certain probability.During a working vacation,the server provides service at a lower service rate.Upon arrival,each customer decides whether to join the system or not based on the information disclosed and a reward-cost structure.The authors study the equilibrium balking strategies of customers at two information levels.For the fully observable case,the authors derive the two-dimensional threshold strategies,under which customers behave accordingly in the regular state and the working vacation state.For the partially observable case,the authors obtain a threshold strategy that completely depends on the queue length of the system.The influence of input parameters on the equilibrium strategies is discussed by numerical examples.Sensitivity analysis shows that reducing the vacation probability or rising the vacation rate will encourage more customers to join the system,thereby improving the system throughput.In addition,the disclosure of real-time server state information will also improve the system throughput.展开更多
This paper studies the optimal dividend problem in the diffusion model with stochastic return on investments. The insurance company invests its surplus in a financial market. More specially, the authors consider the c...This paper studies the optimal dividend problem in the diffusion model with stochastic return on investments. The insurance company invests its surplus in a financial market. More specially, the authors consider the case of investment in a Black-Scholes market with risky asset such as stock. The classical problem is to find the optimal dividend payment strategy that maximizes the expectation of discounted dividend payment until ruin. Motivated by the idea of Thonhauser and Albrecher （2007）, we take the lifetime of the controlled risk process into account, that is, the value function considers both the expectation of discounted dividend payment and the time value of ruin. The authors conclude that the optimal dividend strategy is a barrier strategy for the unbounded dividend payment case and is of threshold type for the bounded dividend payment case.展开更多
基金Supported by the Science and Technology Foundation of Hubei Province (D20092207)the Hubei Normal University Post-Graduate Foundation (2010C17)
文摘In this paper,a Markov-dependent risk model with a threshold strategy is considered. The expected discounted dividend payments satisfy some integro-differential equations. The analytical solutions to these systems are given. Finally,some numerical exam-ples in some special cases are provided.
基金Supported by the National Natural Science Foundation of China(No.10771119,No.11171179)the Research Fund for the Doctoral Program of Higher Education of China(No.20093705110002)The research of Kam C.Yuen was supported by a university research grant of the University of Hong Kong
文摘Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. In this paper, we show that a threshold strategy （also called refraction strategy） forms an optimal strategy under the condition that the Levy measure has a completely monotone density.
基金the National Natural Science Foundation of China(10571092)the major program of Key Research Institute of HumanitiesSocial Sciences at Universities(04JJD790006).
文摘In this article, a threshold dividend strategy is used for classical risk model. Under this dividend strategy, certain probability of ruin, which occurs in case of constant barrier strategy, is avoided. Using the strong Markov property of the surplus process and the distribution of the deficit in classical risk model, the survival probability for this model is derived, which is more direct than that in Asmussen（2000, P195, Proposition 1.10）. The occupation time of non-dividend of this model is also discussed by means of Martingale method.
基金Supported by the Science Technology Foundation of Hubei Province (D20092207)the Hubei Normal University Post-Graduate Foun-dation (2010C17)
文摘This paper studies a Markov-dependent risk model in which the claim occurrence and the claim amount are regulated by an external discrete time Markov process. Integro-differential equations in matrix form for the Gerber-Shiu discounted penalty function are presented. Then the analytical solutions to the equations are derived. Finally, in the two-state model, some numerical results are obtained when claim amount is exponentially distributed.
基金the National Natural Science Foundation of China(No.52175103)。
文摘An autonomous altitude adjustment system for a stratospheric satellite(StratoSat)platform is proposed.This platform consists of a helium balloon,a ballonet,and a two-way blower.The helium balloon generates lift to balance the platform gravity.The two-way blower inflates and deflates the ballonet to regulate the buoyancy.Altitude adjustment is achieved by tracking the differential pressure difference(DPD),and a threshold switching strategy is used to achieve blower flow control.The vertical acceleration regulation ability is decided not only by the blower flow rate,but also by the designed margin of pressure difference(MPD).Pressure difference is a slow-varying variable compared with altitude,and it is adopted as the control variable.The response speed of the actuator to disturbance can be delayed,and the overshoot caused by the large inertia of the platform is inhibited.This method can maintain a high tracking accuracy and reduce the complexity of model calculation,thus improving the robustness of controller design.
文摘In this paper,we propose a novel adjustable multiple cross-hexagonal search(AMCHS) algorithm for fast block motion estimation. It employs adjustable multiple cross search patterns(AMCSP) in the first step and then uses half-way-skip and half-way-stop technique to determine whether to employ two hexagonal search patterns(HSPs) subsequently. The AMCSP can be used to find small motion vectors efficiently while the HSPs can be used to find large ones accurately to ensure prediction quality. Simulation results showed that our proposed AMCHS achieves faster search speed,and provides better distortion performance than other popular fast search algorithms,such as CDS and CDHS.
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Supported by the National Natural Sciences Foundations of China (70971037 and 71171078)the Doctoral Fund of Ministry of Education of China (20100161110022)+3 种基金China Postdoctoral Science Foundation funded project(2012M521514)Hunan Postdoctoral Scientific Program of China (2012RS4030)the Sciences Foundations of Hunan Institute of Science and Technology of China (2012Y26)the aid program for Science and Technology Research Team in Higher Educational Institutions of Hunan Province of China
文摘This paper considers a perturbed renewal risk process in which the inter-claim times have a phasetype distribution under a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generating function and the ruth moment of the present value of all dividends until ruin are derived. Explicit expressions for the expectation of the present value of all dividends until ruin are obtained when the claim amount distribution is from the rational family. Finally, we present an example.
基金Supported by the National Basic Research Program of China(973 Program) 2007CB814905the National Natural Science Foundation of China(No.10871102)the Research Fund of the Doctorial Program of Higher Education,the Keygrant Project of Chinese Ministry of Education(No.309009)
文摘In this paper, we consider the Perturbed Compound Poisson Risk Model with a threshold dividend strategy （PCT）. Integro-differential equations （IDE） for its Cerber-Shiu functions and dividend payments function are stated. We maily focus on deriving the boundary conditions to solve these equations.
基金Supported by the Natural Science Foundation of Jiangxi Province (2008GQS0035)the Foundation of Zhejiang Provincial Education Department Research Projects (Y200803009)
文摘In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certain boundary conditions for the present value of dividends until ruin. When the claims from both classes are exponentially distributed, we show that the threshold dividend strategy is an optimal dividend strategy.
基金supported in part by the National Natural Science Foundation of China under Grant No.72371259the Emerging Interdisciplinary Project of Central University of Finance and Economics under Grant No.CUFE-21XXJC010+1 种基金the Project of Establishing the“Double First-Class”Discipline of Surveying and Mapping Science and Technology under Grant No.GCCRC202307the Key Science and Technology Research Project of Henan Province under Grant No.242102210137。
文摘Facing various pieces of information disclosed by the system upon arrival,customers often exhibit different strategic responses.In this paper,customers'strategic behavior is studied in a Markovian queue with Bernoulli-type working vacations.Upon completion of a service,the server starts a working vacation if the system is empty.If the system is found to be non-empty,the server takes a working vacation with a certain probability.During a working vacation,the server provides service at a lower service rate.Upon arrival,each customer decides whether to join the system or not based on the information disclosed and a reward-cost structure.The authors study the equilibrium balking strategies of customers at two information levels.For the fully observable case,the authors derive the two-dimensional threshold strategies,under which customers behave accordingly in the regular state and the working vacation state.For the partially observable case,the authors obtain a threshold strategy that completely depends on the queue length of the system.The influence of input parameters on the equilibrium strategies is discussed by numerical examples.Sensitivity analysis shows that reducing the vacation probability or rising the vacation rate will encourage more customers to join the system,thereby improving the system throughput.In addition,the disclosure of real-time server state information will also improve the system throughput.
基金This work is supported by the National Basic Research Program of China （973 Program） under Grant No. 2007CB814905 and the National Natural Science Foundation of China under Grant No. 10871102.
文摘This paper studies the optimal dividend problem in the diffusion model with stochastic return on investments. The insurance company invests its surplus in a financial market. More specially, the authors consider the case of investment in a Black-Scholes market with risky asset such as stock. The classical problem is to find the optimal dividend payment strategy that maximizes the expectation of discounted dividend payment until ruin. Motivated by the idea of Thonhauser and Albrecher （2007）, we take the lifetime of the controlled risk process into account, that is, the value function considers both the expectation of discounted dividend payment and the time value of ruin. The authors conclude that the optimal dividend strategy is a barrier strategy for the unbounded dividend payment case and is of threshold type for the bounded dividend payment case.
