Optimization methods for compound Poisson risk processes

被引：2
|
作者：
Lyubchenko, GI
Nakonechnyi, AN
机构：
来源：
CYBERNETICS AND SYSTEMS ANALYSIS | 1998年 / 34卷 / 02期
关键词：
Lagrange Function; Expectation Operator; Multiplier Method; Risk Process; Monte Carlo Estimate;
D O I：
10.1007/BF02742072
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this article we introduce the notion of the family of compound Poisson risk processes that depend on a finite-dimensional parameter; we describe examples of such families that arise during formalization of surplus, quota, and quota-surplus reinsurance contracts; the optimization problem is stated for the growth rate of insurance company capital subject to a given constraint on the probability of ruin; numerical methods for solving this problem by Lagrange function saddle-point techniques are reviewed.
引用
收藏
页码：230 / 237
页数：8
相关论文
共 50 条
  • [1] Optimization methods for compound poisson risk processes
    G. I. Lyubchenko
    A. N. Nakonechnyi
    Cybernetics and Systems Analysis, 1998, 34 : 230 - 237
  • [2] POISSON PROCESSES AND COMPOUND POISSON PROCESSES IN INSURANCE MANAGEMENT
    Milic, Dominika Crnjac
    INTERDISCIPLINARY MANAGEMENT RESEARCH VI, 2010, 6 : 534 - 541
  • [3] Weak convergence approach to compound Poisson risk processes perturbed by diffusion
    Sarkar, J
    Sen, A
    INSURANCE MATHEMATICS & ECONOMICS, 2005, 36 (03): : 421 - 432
  • [4] On the Moment Characteristics for the Univariate Compound Poisson and Bivariate Compound Poisson Processes with Applications
    Ozel, Gamze
    REVISTA COLOMBIANA DE ESTADISTICA, 2013, 36 (01): : 59 - 77
  • [5] Some Compound Fractional Poisson Processes
    Khandakar, Mostafizar
    Kataria, Kuldeep Kumar
    FRACTAL AND FRACTIONAL, 2023, 7 (01)
  • [6] The Wavelet Compressibility of Compound Poisson Processes
    Aziznejad, Shayan
    Fageot, Julien
    IEEE TRANSACTIONS ON INFORMATION THEORY, 2022, 68 (04) : 2752 - 2766
  • [7] LEVERS ASSOCIATED WITH COMPOUND POISSON PROCESSES
    POUGET, J
    COMPTES RENDUS HEBDOMADAIRES DES SEANCES DE L ACADEMIE DES SCIENCES SERIE A, 1968, 266 (19): : 994 - &
  • [8] COMPARISON OF APPROXIMATIONS FOR COMPOUND POISSON PROCESSES
    Seri, Raffaello
    Choirat, Christine
    ASTIN BULLETIN, 2015, 45 (03): : 601 - 637
  • [9] ON THE ESTIMATION FOR COMPOUND POISSON INARCH PROCESSES
    Goncalves, E.
    Mendes-Lopes, N.
    Silva, F.
    REVSTAT-STATISTICAL JOURNAL, 2021, 19 (02) : 207 - 236
  • [10] APPROXIMATIONS FOR COMPOUND POISSON AND POLYA PROCESSES
    EMBRECHTS, P
    JENSEN, JL
    MAEJIMA, M
    TEUGELS, JL
    ADVANCES IN APPLIED PROBABILITY, 1985, 17 (03) : 623 - 637
12345