The Experts below are selected from a list of 4806 Experts worldwide ranked by ideXlab platform
W U Chuanj - One of the best experts on this subject based on the ideXlab platform.
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ruin problems in a Compound Poisson renewal risk model with a constant interest rate
Journal of Mathematics, 2014Co-Authors: W U ChuanjAbstract:The Compound Poisson-renewal risk model is such that the aggregate premium is a Compound Poisson Process and the aggregate claim is a Compound renewal Process. This paper considers the Compound Poisson-renewal risk model with a constant interest rate. Using discretization method, we give the series expansions of ruin probability and the distributions of the surplus at ruin and immediately before ruin. So the recent relevant results of [1] and [2] are extended.
Sheng Fan - One of the best experts on this subject based on the ideXlab platform.
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A Stochastic String with a Compound Poisson Process
Abstract and Applied Analysis, 2013Co-Authors: Sheng FanAbstract:We investigate a Compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic Process. We derive the no-arbitrage condition on the drift of instantaneous forward rates in the Compound model and study the impact of random jump on the price of the zero-coupon bond.
Mohamed Abdelhameed - One of the best experts on this subject based on the ideXlab platform.
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optimal control of a dam using pmλ τ policies and penalty cost when the input Process is a Compound Poisson Process with positive drift
Journal of Applied Probability, 2000Co-Authors: Mohamed AbdelhameedAbstract:In this paper we consider the optimal control of an infinite dam using P M λ,τ policies assuming that the input Process is a Compound Poisson Process with a non-negative drift term, and using the total discounted cost and long-run average cost criteria. The results of Lee and Ahn (1998) as well as other well-known results are shown to follow from our results.
Peter Spreij - One of the best experts on this subject based on the ideXlab platform.
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a kernel type nonparametric density estimator for deCompounding
Bernoulli, 2007Co-Authors: A J Van Es, Shota Gugushvili, Peter SpreijAbstract:Abstract Given a sample from a discretely observed Compound Poisson Process, we consider estimation of the density of the jump sizes. We propose a kernel type nonparametric density estimator and study its asymptotic properties. An order bound for the bias and an asymptotic expansion of the variance of the estimator are given. Pointwise weak consistency and asymptotic normality are established. The results show that, asymptotically, the estimator behaves very much like an ordinary kernel estimator. Keywords: asymptotic normality; consistency; deCompounding; kernel estimation Full-text: Access by subscription (subscriber: Univ Biblio SZ (UVA))
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a kernel type nonparametric density estimator for deCompounding
arXiv: Statistics Theory, 2005Co-Authors: Bert Van Es, Shota Gugushvili, Peter SpreijAbstract:Given a sample from a discretely observed Compound Poisson Process, we consider estimation of the density of the jump sizes. We propose a kernel type nonparametric density estimator and study its asymptotic properties. An order bound for the bias and an asymptotic expansion of the variance of the estimator are given. Pointwise weak consistency and asymptotic normality are established. The results show that, asymptotically, the estimator behaves very much like an ordinary kernel estimator.
Elias S W Shiu - One of the best experts on this subject based on the ideXlab platform.
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on optimal dividend strategies in the Compound Poisson model
The North American Actuarial Journal, 2006Co-Authors: Hans U. Gerber, Elias S W ShiuAbstract:The optimal dividend problem goes back to a paper that Bruno De Finetti presented to the International Congress of Actuaries in New York (1957). For a stock company that pays dividends to its shareholders, what is the strategy that maximizes the expectation of the discounted dividends (until possible ruin)? Jeanblanc-Picque and Shiryaev (1995) and Asmussen and Taksar (1997) solved the problem in the Brownian motion model, when a ceiling is imposed for the dividend rate. Here we study the problem with the Brownian motion generalized to a Compound Poisson Process. In particular, we derive a rule for deciding between plowback and dividend payout, which is a key issue in corporate finance.