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Optimization of dividend and reinsurance strategies under ruin probability constraint
Nonlinear regular-singular stochastic optimal control Ruin
2010/10/20
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected p...
Continuous-time trading and the emergence of probability
Continuous-time trading emergence of probability
2010/11/1
This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized ...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'...
《Handbook of Game Theory with Economic Applications》Chapter 39 Utility and subjective probability
Handbook of Game Theory with Economic Applications Utility subjective probability
2009/4/3
《Handbook of Game Theory with Economic Applications》Chapter 39 Utility and subjective probability。