지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2016.2
- 수록면
- 265 - 274 (10page)
이용수
초록· 키워드
오류제보하기
In this paper, we consider a diffusion risk process, in which, its surplus process behaves like a Brownian motion in-between adjacent epochs of claims. We assume that the claims occur following a Poisson process and their sizes are independent, and exponentially distributed with the same intensity. Our main goal is to derive the exact formula of the joint moment generating function of the ruin time and the total amount of aggregated claim sizes until ruin in the diffusion risk process. We also provide a method for computing the related first and second moments using the joint moment generating function and the augmented matrix exponential function.
목차
등록된 정보가 없습니다.
참고문헌 (11)
참고문헌 신청
[단행본] - Ahn, S. / 2015 / Accepted in Stochastic Models
[기타자료] - Ahn, S. / 2016 / Insurance risk models with marked Poisson arrivals
[단행본] - Asmussen, S. / 2003 / Applied Probability and Queues / Springer Verlag
[학술지(정기간행물)] - Chi, Y. / 2010 / Analysis of the expected discounted penalty function for a general jump-di usion risk process and applications in nance / Insurance : Mathematics and Economics 46 : 385 ~ 396
[학술지(정기간행물)] - Fung, T. C. / 2004 / Computation of the matrix exponential and its derivatives by scaling and squaring / International Journal for Numerical Methods in Engineering 59 : 1273 ~ 1286
[기타자료] - Ahn, S. / 2016 / Insurance risk models with marked Poisson arrivals
[단행본] - Asmussen, S. / 2003 / Applied Probability and Queues / Springer Verlag
[학술지(정기간행물)] - Chi, Y. / 2010 / Analysis of the expected discounted penalty function for a general jump-di usion risk process and applications in nance / Insurance : Mathematics and Economics 46 : 385 ~ 396
[학술지(정기간행물)] - Fung, T. C. / 2004 / Computation of the matrix exponential and its derivatives by scaling and squaring / International Journal for Numerical Methods in Engineering 59 : 1273 ~ 1286
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
Surplus Process Perturbed by Diusion and Subject to Two Types of Claim
CSAM(Communications for Statistical Applications and Methods)
2015 .01
-
THE ULTIMATE RUIN PROBABILITY OF A DEPENDENT DELAYED-CLAIM RISK MODEL PERTURBED BY DIFFUSION WITH CONSTANT FORCE OF INTEREST
대한수학회보
2015 .01
-
혼합지수분포를 이용한 파산확률의 새로운 근사방법
한국데이터정보과학회지
2018 .01
-
Magnetic properties and microstructure evaluation of (Sm0.9Zr0.1)(Fe0.75Co0.25)11.35Ti0.65 particles with ThMn12 structure produced by reduction diffusion process
한국자기학회 학술연구발표회 논문개요집
2021 .07
-
A NOTE ON IDENTITIES INVOLVING SPECIAL NUMBERS AND MOMENTS OF POISSON RANDOM VARIABLE
Advanced Studies in Contemporary Mathematics
2022 .10
-
PRECISE LARGE DEVIATIONS FOR AGGREGATE LOSS PROCESS IN A MULTI-RISK MODEL
대한수학회지
2015 .01
-
TWISTED QUADRATIC MOMENTS FOR DIRICHLET L-FUNCTIONS
대한수학회보
2015 .01
-
Binary Truncated Moment Problems and the Hadamard Product
East Asian Mathematical Journal
2020 .01
-
Bounds for exponential moments of Bessel processes
대한수학회보
2019 .01
-
UNIVARIATE TRUNCATED MOMENT PROBLEMS VIA WEAKLY ORTHOGONAL POLNOMIAL SEQUENCES
East Asian Mathematical Journal
2024 .01
-
New generalized inverse Weibull distribution for lifetime modeling
CSAM(Communications for Statistical Applications and Methods)
2016 .03
-
Synthesis and Magnetic Properties of Ce₂Fe14B Prepared by Solid State Reaction and Reduction-Diffusion Process
한국자기학회 학술연구발표회 논문개요집
2023 .05
-
Preparation of Nd based nano composite by reduction-diffusion process
한국자기학회 학술연구발표회 논문개요집
2016 .05
-
Magnetic properties and microstructure evaluation of Sm(Fe0.8Co0.2)11Ti particles produced by reduction diffusion process
한국자기학회 학술연구발표회 논문개요집
2021 .11
-
Generalized half-logistic Poisson distributions
CSAM(Communications for Statistical Applications and Methods)
2017 .07
-
A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2015 .03
-
A TYPE OF THE EXPONENTIAL OF A MATRIX OVER DUAL QUATERNION IN CLIFFORD ANALYSIS
Nonlinear Functional Analysis and Applications
2018 .09
-
Functions subordinate to the exponential function
대한수학회논문집
2023 .01
-
A Comparative Study on Estimation Methods for Statistical Moments of Electromagnetic Performance Functions
Journal of Magnetics
2019 .06
-
Enhancement of magnetic properties of Fe-rich Sm(Fe0.8C0.2)11 Ti compounds by grain boundary diffusion process
한국자기학회 학술연구발표회 논문개요집
2019 .11
이 논문의 저자 정보
최근 본 자료
댓글(0)
0
UCI(KEPA) : I410-ECN-0101-2018-041-001377620