國立高雄大學圖資館 |

語系: 繁體中文

說明(常見問題)

圖資館首頁

登入

回首頁 到查詢結果 [ subject:"Applied Mathematics." ]

切換: 標籤 | MARC模式 | ISBD

Stochastic Differential Equations: S...

Temple University.

Stochastic Differential Equations: Some Risk and Insurance Applications.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Stochastic Differential Equations: Some Risk and Insurance Applications.
作者:	Xiong, Sheng.
面頁冊數:	76 p.
附註:	Source: Dissertation Abstracts International, Volume: 72-08, Section: B, page: 4706.
附註:	Adviser: Wei-Shih Yang.
Contained By:	Dissertation Abstracts International72-08B.
標題:	Applied Mathematics.
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3457962
ISBN:	9781124691176

Stochastic Differential Equations: Some Risk and Insurance Applications.
Xiong, Sheng.

Stochastic Differential Equations: Some Risk and Insurance Applications. - 76 p.

Source: Dissertation Abstracts International, Volume: 72-08, Section: B, page: 4706.

Thesis (Ph.D.)--Temple University, 2011.

In this dissertation, we have studied diffusion models and their applications in risk theory and insurance. Let Xt be a d-dimensional diffusion process satisfying a system of Stochastic Differential Equations defined on an open set G &sube; Rd, and let Ut be a utility function of Xt with U 0 = u0. Let T be the first time that Ut reaches a level u*. We study the Laplace transform of the distribution of T, as well as the probability of ruin, psi(u0) = Pr {T < infinity}, and other important probabilities. A class of exponential martingales is constructed to analyze the asymptotic properties of all probabilities. In addition, we prove that the expected discounted penalty function, a generalization of the probability of ultimate ruin, satisfies an elliptic partial differential equation, subject to some initial boundary conditions. Two examples from areas of actuarial work to which martingales have been applied are given to illustrate our methods and results: 1. Insurer's insolvency. 2. Terrorism risk. In particular, we study insurer's insolvency for the Cramer-Lundberg model with investments whose price follows a geometric Brownian motion. We prove the conjecture proposed by Constantinescu and Thommann.

ISBN: 9781124691176Subjects--Topical Terms:

530992
Applied Mathematics.

Stochastic Differential Equations: Some Risk and Insurance Applications.
LDR:02249nmm 2200313 4500 001 380600
005 20130530092652.5
008 130708s2011 ||||||||||||||||| ||eng d
020 $a 9781124691176
035 $a (UMI)AAI3457962
035 $a AAI3457962
040 $a UMI $c UMI
100 1 $a Xiong, Sheng. $3 603150
245 1 0 $a Stochastic Differential Equations: Some Risk and Insurance Applications.
300 $a 76 p.
500 $a Source: Dissertation Abstracts International, Volume: 72-08, Section: B, page: 4706.
500 $a Adviser: Wei-Shih Yang.
502 $a Thesis (Ph.D.)--Temple University, 2011.
520 $a In this dissertation, we have studied diffusion models and their applications in risk theory and insurance. Let Xt be a d-dimensional diffusion process satisfying a system of Stochastic Differential Equations defined on an open set G &sube; Rd, and let Ut be a utility function of Xt with U 0 = u0. Let T be the first time that Ut reaches a level u*. We study the Laplace transform of the distribution of T, as well as the probability of ruin, psi(u0) = Pr {T < infinity}, and other important probabilities. A class of exponential martingales is constructed to analyze the asymptotic properties of all probabilities. In addition, we prove that the expected discounted penalty function, a generalization of the probability of ultimate ruin, satisfies an elliptic partial differential equation, subject to some initial boundary conditions. Two examples from areas of actuarial work to which martingales have been applied are given to illustrate our methods and results: 1. Insurer's insolvency. 2. Terrorism risk. In particular, we study insurer's insolvency for the Cramer-Lundberg model with investments whose price follows a geometric Brownian motion. We prove the conjecture proposed by Constantinescu and Thommann.
590 $a School code: 0225.
650 4 $a Applied Mathematics. $3 530992
650 4 $a Mathematics. $3 184409
690 $a 0364
690 $a 0405
710 2 $a Temple University. $b Mathematics. $3 603151
773 0 $t Dissertation Abstracts International $g 72-08B.
790 1 0 $a Yang, Wei-Shih, $e advisor
790 1 0 $a Powers, Michael R. $e committee member
790 1 0 $a Chen, Hua $e committee member
790 1 0 $a Berhanu, Shiferaw S. $e committee member
790 $a 0225
791 $a Ph.D.
792 $a 2011
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3457962