英文标题：
《A State-Dependent Dual Risk Model》
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作者：
Lingjiong Zhu
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最新提交年份：
2015
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英文摘要：
In a dual risk model, the premiums are considered as the costs and the claims are regarded as the profits. The surplus can be interpreted as the wealth of a venture capital, whose profits depend on research and development. In most of the existing literature of dual risk models, the profits follow the compound Poisson model and the cost is constant. In this paper, we develop a state-dependent dual risk model, in which the arrival rate of the profits and the costs depend on the current state of the wealth process. Ruin probabilities are obtained in closed-forms. Further properties and results will also be discussed.
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中文摘要：
在双重风险模型中，保费被视为成本，索赔被视为利润。盈余可以解释为风险资本的财富，其利润取决于研发。在现有的大多数双风险模型文献中，利润遵循复合泊松模型，成本是常数。在本文中，我们建立了一个依赖于状态的双重风险模型，其中利润和成本的到达率取决于财富过程的当前状态。破产概率是以封闭形式得到的。还将讨论进一步的性质和结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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