Stochastic risk processes with economic factors

具有经济因素的随机风险过程

• 批准号: 386552-2010
• 负责人: Hao, Xuemiao
• 金额: $ 1.22万
• 依托单位: University of Manitoba
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2013
• 资助国家: 加拿大
• 起止时间: 2013-01-01 至 2014-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=528936
• 关键词: Stochastic; risk; processes; economic; factors

In this research program I plan to follow some recent works to model the surplus process of an insurance business as a compound of two semimartingales. Among them, one process is regarded as a risk process in a world without economic factors and the other describes returns on risky and/or risk-free investments. This proposed stochastic model covers most of the useful insurance risk models. Also, it builds a broad platform for many results and methods from statistics and probability.

在这个研究计划中，我计划遵循一些最近的工作，以模型的盈余过程的保险业务作为一个复合的两个半鞅。其中，一个过程被认为是在没有经济因素的世界中的风险过程，另一个过程描述了风险和/或无风险投资的回报。该随机模型涵盖了大多数保险风险模型。同时，它为统计和概率的许多结果和方法建立了一个广阔的平台。