Asymptotic and numerical solutions for diffusion models for compounded risk reserves with dividend payments英文文献资料.docVIP

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Asymptotic and numerical solutions for diffusion models for compounded risk reserves with dividend payments英文文献资料.doc

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ASYMPTOTICANDNUMERICALSOLUTIONSFORDIFFUSION MODELSFORCOMPOUNDEDRISKRESERVES WITHDIVIDENDPAYMENTS S.SHAOandC.L.CHANG Received 17April 2003 We study a family of di?usion models for compounded risk reserves which account for the investment income earned and for the in?ation experienced on claim amounts. We are interested in the models in which the dividend payments are paid from the risk reserves. After de?ning the process ofconditional probability in?nite time, martingale theory turns thenonlinear stochastic di?erential equation toaspecial classofboundary value problems de?ned byaparabolic equation withanonsmooth coe?cient oftheconvection term.Based on the behavior of the total income ?ow, asymptotic and numerical methods are used to solve thespecial class ofdi?usion equations which govern theconditional ruin probability over ?nite time. 2000 Mathematics Subject Classi?cation: 91B30, 35K20, 35B40, 65M06. 1. Introduction. A risk reserve is set up to provide ?nancial support in the event ofaloss forthecollection ofpolicy holders. The di?usion-type modelling forrisk re- serves is one of the most popular methods for the valuing of the investment income earnedandforthein?ationexperiencedonclaimamountsinstudyinginsurancemod- els. The basic assumption is that the risk reserve is modelled as a one-dimensional di?usion process. In a continuous time aspect of the system under study, di?usion process isanarbitrary strong Markov process with continuous sample paths, oreven more speci?cally, di?usion process is given as a strong solution of a stochastic dif- ferential equation driven by the underlying Brownian motion. This approach, which uses an appropriate di?usion process to approximate the actual claims process, has beenexamined bymanyauthorsduringthepasttwentyyearsincluding Garrido[4,5], YoungandZariphopoulou[13],Shao[10],andmanyothers.Garrido[5]studiedafamily ofdi?usion models forcompounded riskreserves. Forthelinearcase,heobtained an explicitsolution ofthe