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Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims
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作者 LIU Zai-ming GENG Bing-zhen WANG Shi-jie 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2024年第1期98-113,共16页
Consider a nonstandard continuous-time bidimensional risk model with constant force of interest,in which the two classes of claims with subexponential distributions satisfy a general dependence structure and each pair... Consider a nonstandard continuous-time bidimensional risk model with constant force of interest,in which the two classes of claims with subexponential distributions satisfy a general dependence structure and each pair of the claim-inter-arrival times is arbitrarily dependent.Under some mild conditions,we achieve a locally uniform approximation of the finite-time ruin probability for all time horizon within a finite interval.If we further assume that each pair of the claim-inter-arrival times is negative quadrant dependent and the two classes of claims are consistently-varying-tailed,it shows that the above obtained approximation is also globally uniform for all time horizon within an infinite interval. 展开更多
关键词 bidimensional risk model asymptotic formula subexponential distribution consistently varying tail ruin probability
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Preoperative risk modelling for oesophagectomy: A systematic review
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作者 James Paul Grantham Amanda Hii Jonathan Shenfine 《World Journal of Gastrointestinal Surgery》 SCIE 2023年第3期450-470,共21页
BACKGROUND Oesophageal cancer is a frequently observed and lethal malignancy worldwide.Surgical resection remains a realistic option for curative intent in the early stages of the disease.However,the decision to under... BACKGROUND Oesophageal cancer is a frequently observed and lethal malignancy worldwide.Surgical resection remains a realistic option for curative intent in the early stages of the disease.However,the decision to undertake oesophagectomy is significant as it exposes the patient to a substantial risk of morbidity and mortality.Therefore,appropriate patient selection,counselling and resource allocation is important.Many tools have been developed to aid surgeons in appropriate decision-making.AIM To examine all multivariate risk models that use preoperative and intraoperative information and establish which have the most clinical utility.METHODS A systematic review of the MEDLINE,EMBASE and Cochrane databases was conducted from 2000-2020.The search terms applied were((Oesophagectomy)AND(Risk OR predict OR model OR score)AND(Outcomes OR complications OR morbidity OR mortality OR length of stay OR anastomotic leak)).The applied inclusion criteria were articles assessing multivariate based tools using exclusively preoperatively available data to predict perioperative patient outcomes following oesophagectomy.The exclusion criteria were publications that described models requiring intra-operative or post-operative data and articles appraising only univariate predictors such as American Society of Anesthesiologists score,cardiopulmonary fitness or pre-operative sarcopenia.Articles that exclusively assessed distant outcomes such as long-term survival were excluded as were publications using cohorts mixed with other surgical procedures.The articles generated from each search were collated,processed and then reported in accordance with PRISMA guidelines.All risk models were appraised for clinical credibility,methodological quality,performance,validation,and clinical effectiveness.RESULTS The initial search of composite databases yielded 8715 articles which reduced to 5827 following the deduplication process.After title and abstract screening,197 potentially relevant texts were retrieved for detailed review.Twenty-seven published studies were ultimately included which examined twenty-one multivariate risk models utilising exclusively preoperative data.Most models examined were clinically credible and were constructed with sound methodological quality,but model performance was often insufficient to prognosticate patient outcomes.Three risk models were identified as being promising in predicting perioperative mortality,including the National Quality Improvement Project surgical risk calculator,revised STS score and the Takeuchi model.Two studies predicted perioperative major morbidity,including the predicting postoperative complications score and prognostic nutritional index-multivariate models.Many of these models require external validation and demonstration of clinical effectiveness.CONCLUSION Whilst there are several promising models in predicting perioperative oesophagectomy outcomes,more research is needed to confirm their validity and demonstrate improved clinical outcomes with the adoption of these models. 展开更多
关键词 OESOPHAGECTOMY risk model Oesophageal cancer PREOPERATIVE MORBIDITY MORTALITY
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Combined and intraoperative risk modelling for oesophagectomy:A systematic review
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作者 James Paul Grantham Amanda Hii Jonathan Shenfine 《World Journal of Gastrointestinal Surgery》 SCIE 2023年第7期1485-1500,共16页
BACKGROUND Oesophageal cancer is the eighth most common malignancy worldwide and is associated with a poor prognosis.Oesophagectomy remains the best prospect for a cure if diagnosed in the early disease stages.However... BACKGROUND Oesophageal cancer is the eighth most common malignancy worldwide and is associated with a poor prognosis.Oesophagectomy remains the best prospect for a cure if diagnosed in the early disease stages.However,the procedure is associated with significant morbidity and mortality and is undertaken only after careful consideration.Appropriate patient selection,counselling and resource allocation is essential.Numerous risk models have been devised to guide surgeons in making these decisions.AIM To evaluate which multivariate risk models,using intraoperative information with or without preoperative information,best predict perioperative oesophagectomy outcomes.METHODS A systematic review of the MEDLINE,EMBASE and Cochrane databases was undertaken from 2000-2020.The search terms used were[(Oesophagectomy)AND(Model OR Predict OR Risk OR score)AND(Mortality OR morbidity OR complications OR outcomes OR anastomotic leak OR length of stay)].Articles were included if they assessed multivariate based tools incorporating preoperative and intraoperative variables to forecast patient outcomes after oesophagectomy.Articles were excluded if they only required preoperative or any post-operative data.Studies appraising univariate risk predictors such as preoperative sarcopenia,cardiopulmonary fitness and American Society of Anesthesiologists score were also excluded.The review was conducted following the preferred reporting items for systematic reviews and meta-analyses model.All captured risk models were appraised for clinical credibility,methodological quality,performance,validation and clinical effectiveness.RESULTS Twenty published studies were identified which examined eleven multivariate risk models.Eight of these combined preoperative and intraoperative data and the remaining three used only intraoperative values.Only two risk models were identified as promising in predicting mortality,namely the Portsmouth physiological and operative severity score for the enumeration of mortality and morbidity(POSSUM)and POSSUM scores.A further two studies,the intraoperative factors and Esophagectomy surgical Apgar score based nomograms,adequately forecasted major morbidity.The latter two models are yet to have external validation and none have been tested for clinical effectiveness.CONCLUSION Despite the presence of some promising models in forecasting perioperative oesophagectomy outcomes,there is more research required to externally validate these models and demonstrate clinical benefit with the adoption of these models guiding postoperative care and allocating resources. 展开更多
关键词 OESOPHAGECTOMY risk model Oesophageal cancer PREOPERATIVE INTRAOPERATIVE MORBIDITY MORTALITY
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Predicting lymph node metastasis in colorectal cancer:An analysis of influencing factors to develop a risk model
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作者 Yun-Peng Lei Qing-Zhi Song +2 位作者 Shuang Liu Ji-Yan Xie Guo-Qing Lv 《World Journal of Gastrointestinal Surgery》 SCIE 2023年第10期2234-2246,共13页
BACKGROUND Colorectal cancer(CRC)is a significant global health issue,and lymph node metastasis(LNM)is a crucial prognostic factor.Accurate prediction of LNM is essential for developing individualized treatment strate... BACKGROUND Colorectal cancer(CRC)is a significant global health issue,and lymph node metastasis(LNM)is a crucial prognostic factor.Accurate prediction of LNM is essential for developing individualized treatment strategies for patients with CRC.However,the prediction of LNM is challenging and depends on various factors such as tumor histology,clinicopathological features,and molecular characteristics.The most reliable method to detect LNM is the histopathological examination of surgically resected specimens;however,this method is invasive,time-consuming,and subject to sampling errors and interobserver variability.AIM To analyze influencing factors and develop and validate a risk prediction model for LNM in CRC based on a large patient queue.METHODS This study retrospectively analyzed 300 patients who underwent CRC surgery at two Peking University Shenzhen hospitals between January and December 2021.A deep learning approach was used to extract features potentially associated with LNM from primary tumor histological images while a logistic regression model was employed to predict LNM in CRC using machine-learning-derived features and clinicopathological variables as predictors.RESULTS The prediction model constructed for LNM in CRC was based on a logistic regression framework that incorporated machine learning-extracted features and clinicopathological variables.The model achieved high accuracy(0.86),sensitivity(0.81),specificity(0.87),positive predictive value(0.66),negative predictive value(0.94),area under the curve for the receiver operating characteristic(0.91),and a low Brier score(0.10).The model showed good agreement between the observed and predicted probabilities of LNM across a range of risk thresholds,indicating good calibration and clinical utility.CONCLUSION The present study successfully developed and validated a potent and effective risk-prediction model for LNM in patients with CRC.This model utilizes machine-learning-derived features extracted from primary tumor histology and clinicopathological variables,demonstrating superior performance and clinical applicability compared to existing models.The study provides new insights into the potential of deep learning to extract valuable information from tumor histology,in turn,improving the prediction of LNM in CRC and facilitate risk stratification and decision-making in clinical practice. 展开更多
关键词 Colorectal cancer Lymph node metastasis Machine learning risk prediction model Clinicopathological factors Individualized treatment strategies
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Analysis of risk factors and the establishment of a risk model for peripherally inserted central catheter thrombosis 被引量:5
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作者 Fang Hu Ruo-Nan Hao +1 位作者 Jie Zhang Zhi-Cheng Ma 《Chinese Nursing Research》 CAS 2016年第1期41-44,共4页
Objective: To investigate the main risk factors of peripherally inserted central catheter(PICC) related upper extremity deep venous thrombosis and establish the risk predictive model of PICC-related upper extremity de... Objective: To investigate the main risk factors of peripherally inserted central catheter(PICC) related upper extremity deep venous thrombosis and establish the risk predictive model of PICC-related upper extremity deep venous thrombosis.Methods: Patients with PICC who were hospitalized between January 2014 and July 2015 were studied retrospectively; they were divided into a thrombosis group(n ? 52), with patients who had a venous thrombosis complication after PICC, and a no-thrombosis group(n ? 144), with patients without venous thrombosis. To compare between the two groups, significantly different variables were selected to perform multivariate logistic regression to establish the risk-predictive model.Results: The PICC catheter history, catheter tip position, and diameter of blood vessel were the key factors for thrombosis. The logistic regression predictive model was as follows: Y ? 3.338 t 2.040 PICC catheter history t1.964 catheter tip position 1.572 diameter of vessel. The area under the receiver operating characteristic curve for the model was 0.872, 95%CI(0.817e0.927). The cut-off point was 0.801,the sensitivity of the model was 0.832, and the specificity was 0.745.Conclusions: The PICC catheterization history, catheter tip position, the diameter of blood vessel were the key factors for thrombosis. The logistic regression risk model based on these factors is reliable for predicting PICC-related upper extremity deep venous thrombosis. 展开更多
关键词 PICC Upper extremity deep venous thrombosis risk factor risk model
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Development of a Risk Model for Abdominal Wound Dehiscence
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作者 Mujahid Ahmad Mir Farzana Manzoor +3 位作者 Balvinder Singh Imtiyaz Ahmad Sofi Abu Zaved Rameez Sheikh Imran Farooq 《Surgical Science》 2016年第10期466-474,共10页
Objectives: To identify independent risk factors for abdominal wound dehiscence and develop a risk model to recognize high risk patients. Methods: The samples studied were patients who underwent midline laparotomy in ... Objectives: To identify independent risk factors for abdominal wound dehiscence and develop a risk model to recognize high risk patients. Methods: The samples studied were patients who underwent midline laparotomy in the department of surgery, SMHS Hospital Srinagar from March 2009 to April 2015. For each case of abdominal wound dehiscence, three controls were selected from a group of patients who had undergone open abdominal surgery as close as possible in time. Preoperative, perioperative, and postoperative variables and in-hospital mortality were studied for all patients. Cases were compared with controls using the chi-square test or the Mann-Whitney U-test for categorical or continuous data, respectively. Subsequently, multivariate stepwise logistic regression with backwards elimination test used to identify main independent risk factors of abdominal wound dehiscence. The resulting regression coefficients for the major risk factors were used as weights for these variables to calculate a risk score for abdominal wound dehiscence. Results: 140 cases of abdominal wound dehiscence were reported and compared with 420 selected controls. All variables that were significant in univariate analyses were entered in a multivariate stepwise logistic regression to determine which variables were significant independent risk factors. Major independent risk factors were male gender, chronic pulmonary disease, corticosteroid use, smoking, obesity, anemia, jaundice, ascites, and sepsis, type of surgery, postoperative coughing, and wound infection. Based on these findings, a risk model was developed. Conclusions: The model can give an estimate of the risk of abdominal wound dehiscence for individual patients. High-risk patients may be planned preventive wound closing with reinforcements as mesh. 展开更多
关键词 Abdominal Wound Dehiscence risk Factors risk model Abdominal Complications
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The Survival Probability in Generalized Poisson Risk Model 被引量:6
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作者 GONG Ri-zhao( Institute of Mathematics and Software, Xiangtan Polytechnic University, Xiangtan 411201, China) 《Chinese Quarterly Journal of Mathematics》 CSCD 2003年第2期134-139,共6页
In this paper we generalize the aggregated premium income process from a constant rate process to a poisson process for the classical compound Poinsson risk model,then for the generalized model and the classical compo... In this paper we generalize the aggregated premium income process from a constant rate process to a poisson process for the classical compound Poinsson risk model,then for the generalized model and the classical compound poisson risk model ,we respectively get its survival probability in finite time period in case of exponential claim amounts. 展开更多
关键词 生存概率 广义复合Poisson风险模型 条件期望 集体风险论 保险 POISSON过程 指数分布
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ON THE EXPECTED DISCOUNTED PENALTY FUNCTION IN A MARKOV-DEPENDENT RISK MODEL WITH CONSTANT DIVIDEND BARRIER 被引量:7
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作者 刘娟 徐建成 胡亦钧 《Acta Mathematica Scientia》 SCIE CSCD 2010年第5期1481-1491,共11页
This article considers a Markov-dependent risk model with a constant dividend barrier.A system of integro-differential equations with boundary conditions satisfied by the expected discounted penalty function,with give... This article considers a Markov-dependent risk model with a constant dividend barrier.A system of integro-differential equations with boundary conditions satisfied by the expected discounted penalty function,with given initial environment state,is derived and solved.Explicit formulas for the discounted penalty function are obtained when the initial surplus is zero or when all the claim amount distributions are from rational family.In two state model,numerical illustrations with exponential claim amounts are given. 展开更多
关键词 风险模型 屏障功能 罚金函数 常数 积分微分方程 边界条件 环境状况 显式公式
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Establishment of risk model for pancreatic cancer in Chinese Han population 被引量:3
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作者 Xing-Hua Lu Li Wang +3 位作者 Hui Li Jia-Ming Qian Rui-Xue Deng Lu Zhou 《World Journal of Gastroenterology》 SCIE CAS CSCD 2006年第14期2229-2234,共6页
瞄准:为胰腺的癌症调查风险因素并且为汉人口建立一个风险模型。方法:这基于人口的盒子控制研究从 2002 年 1 月被执行到 2004 年 4 月。119 个胰腺的癌症病人和 238 个健康的人完成了被用于风险因素分析的问询表。逻辑回归分析被用... 瞄准:为胰腺的癌症调查风险因素并且为汉人口建立一个风险模型。方法:这基于人口的盒子控制研究从 2002 年 1 月被执行到 2004 年 4 月。119 个胰腺的癌症病人和 238 个健康的人完成了被用于风险因素分析的问询表。逻辑回归分析被用来推测机会比率(ORs ) , 95% 信心间隔(Cls ) 和贝它珍视,它进一步被用来建立风险模型。结果:根据学习,吸了超过 17 包装年的人有更高的风险与不抽烟的人或轻吸烟者(不超过 17 包装年) 相比得胰腺的癌症(或 1.98;95% CI 1.11-3.49, P = 0.017 ) 。更重要地,在人的重吸烟者为得胰腺的癌症增加了风险(或 2.11;95%CI 1.18-3.78, P = 0.012 ) 比女人。重白酒喝酒者(】20 杯年) 为胰腺的癌症增加了风险(或 3.68;95%CI 1.60-8.44 ) 。有高肉吸入的施米特氏饮食也被连接到胰腺的癌症。而且, 18.5% 胰腺的癌症病人与 5.8% 的控制组相比有糖尿病(P = 0.0003 ) 。胰腺的癌症的典型症状是厌食,上面的腹的疼痛,膨胀,黄疸和重量损失。每个风险因素被分配价值代表它与胰腺的癌症联系的重要性。随后由一起增加所有点,一个风险得分模型作为在风险得胰腺的癌症比 45 高与价值被建立。结论:,吸烟,喝的、高肉食和糖尿病是为胰腺的癌症的主要风险因素。为在中国汉人口的胰腺的癌症的一个风险模型与 88.9% 敏感和 97.6% 特性被建立了。 展开更多
关键词 胰腺肿瘤 中国 汉族 病理机制
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RUIN PROBABILITY IN A SEMI-MARKOV RISK MODEL WITH CONSTANT INTEREST FORCE AND HEAVY-TAILED CLAIMS 被引量:2
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作者 杨虎 薛凯 《Acta Mathematica Scientia》 SCIE CSCD 2013年第4期998-1006,共9页
In the present paper,we consider a kind of semi-Markov risk model(SMRM) with constant interest force and heavy-tailed claims,in which the claim rates and sizes are conditionally independent,both fluctuating according ... In the present paper,we consider a kind of semi-Markov risk model(SMRM) with constant interest force and heavy-tailed claims,in which the claim rates and sizes are conditionally independent,both fluctuating according to the state of the risk business.First,we derive a matrix integro-diferential equation satisfied by the survival probabilities.Second,we analyze the asymptotic behaviors of ruin probabilities in a two-state SMRM with special claim amounts.It is shown that the asymptotic behaviors of ruin probabilities depend only on the state 2 with heavy-tailed claim amounts,not on the state 1 with exponential claim sizes. 展开更多
关键词 破产概率 风险模型 马尔可夫 索赔 利率 条件独立 生存概率 积分方程
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Large Deviations for Random Sums on Some Kind of Heavy-tailed Classes in Risk Models 被引量:3
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作者 KONG Fan-chao WANG Jin-liang 《Chinese Quarterly Journal of Mathematics》 CSCD 北大核心 2006年第1期71-79,共9页
这份报纸是进为随机的和的大偏差的进一步的调查重尾巴,我们在裁判员扩大了并且改善一些结果。[1 ] 并且[2 ] 。这些结果罐头在保险和金融适用于一些问题。
关键词 风险模型 巨大偏差 更新计算过程 随机和
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DURATION OF NEGATIVE SURPLUS FOR A TWO STATE MARKOV-MODULATED RISK MODEL 被引量:2
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作者 马学敏 袁海丽 胡亦钧 《Acta Mathematica Scientia》 SCIE CSCD 2010年第4期1167-1173,共7页
We consider a continuous time risk model based on a two state Markov process, in which after an exponentially distributed time, the claim frequency changes to a different level and can change back again in the same wa... We consider a continuous time risk model based on a two state Markov process, in which after an exponentially distributed time, the claim frequency changes to a different level and can change back again in the same way. We derive the Laplace transform for the first passage time to surplus zero from a given negative surplus and for the duration of negative surplus. Closed-form expressions are given in the case of exponential individual claim. Finally, numerical results are provided to show how to estimate the moments of duration of negative surplus. 展开更多
关键词 风险模型 剩余 期限 调制 状态 作者 马尔可夫过程 连续时间
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Cardiovascular disease: Risk factors and applicability of a risk model in a Greek cohort of renal transplant recipients 被引量:3
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作者 Nikolaos-Andreas Anastasopoulos Evangelia Dounousi +5 位作者 Evangelos Papachristou Charalampos Pappas Eleni Leontaridou Eirini Savvidaki Dimitrios Goumenos Michael Mitsis 《World Journal of Transplantation》 2017年第1期49-56,共8页
AIM To investigate the incidence and the determinants of cardiovascular morbidity in Greek renal transplant recipients(RTRs) expressed as major advance cardiac event(MACE) rate. METHODS Two hundred and forty-two adult... AIM To investigate the incidence and the determinants of cardiovascular morbidity in Greek renal transplant recipients(RTRs) expressed as major advance cardiac event(MACE) rate. METHODS Two hundred and forty-two adult patients with a functioning graft for at least three months and availabledata that were followed up on the August 31, 2015 at two transplant centers of Western Greece were included in this study. Baseline recipients' data elements included demographics, clinical characteristics, history of comorbid conditions and laboratory parameters. Follow-up data regarding MACE occurrence were collected retrospectively from the patients' records and MACE risk score was calculated for each patient. RESULTS The mean age was 53 years(63.6% males) and 47 patients(19.4%) had a pre-existing cardiovascular disease(CVD) before transplantation. The mean estimated glomerular filtration rate was 52 ± 17 mL /min per 1.73 m2. During follow-up 36 patients(14.9%) suffered a MACE with a median time to MACE 5 years(interquartile range: 2.2-10 years). Recipients with a MACE compared to recipients without a MACE had a significantly higher mean age(59 years vs 52 years, P < 0.001) and a higher prevalence of pre-existing CVD(44.4% vs 15%, P < 0.001). The 7-year predicted mean risk for MACE was 14.6% ± 12.5% overall. In RTRs who experienced a MACE, the predicted risk was 22.3% ± 17.1% and was significantly higher than in RTRs without an event 13.3% ± 11.1%(P = 0.003). The discrimination ability of the model in the Greek database of RTRs was good with an area under the receiver operating characteristics curve of 0.68(95%CI: 0.58-0.78).CONCLUSION In this Greek cohort of RTRs, MACE occurred in 14.9% of the patients, pre-existing CVD was the main risk factor, while MACE risk model was proved a dependable utility in predicting CVD post RT. 展开更多
关键词 Cardiovascular disease Major ADVANCE cardiac event risk factors risk model Kidney Transplantation
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A Local Asymptotic Behavior for Ruin Probability in the Renewal Risk Model 被引量:1
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作者 MODIBO Diarra 《Wuhan University Journal of Natural Sciences》 CAS 2007年第3期407-411,共5页
Let R(t)=u+ct-sum from(i=1) to (N(t)) Xi,t≥0 be the renewal risk model,with FX ( x )being the distribution function of the claim amount X. Let ψ (u ) be the ruin probability with initial surplus u. Under the conditi... Let R(t)=u+ct-sum from(i=1) to (N(t)) Xi,t≥0 be the renewal risk model,with FX ( x )being the distribution function of the claim amount X. Let ψ (u ) be the ruin probability with initial surplus u. Under the condition of FX (x) ∈ S *(γ ),γ≥ 0,by the geometric sum method,we derive the local asymptotic behavior for ψ (u ,u + z for every 0<z<∞. On one hand,the asymptotic behavior of ψ ( u) can be derived from the result obtained. On the other hand,the result of this paper can be applied to the insurance risk management of an insurance company. 展开更多
关键词 破产概率 更新风险模型 局部渐进行为 分布函数
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Some Insights in Novel Risk Modeling of Liquefied Natural Gas Carrier Maintenance Operations 被引量:1
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作者 T. C. Nwaoha Andrew John 《Journal of Marine Science and Application》 CSCD 2016年第2期144-156,共13页
这研究在海上的环境讨论各种各样的当模特儿的途径和对液化天然气(LNG ) 搬运人操作适用的维护技术的分析。各种各样的新奇建模技术被讨论;包括基因算法,模糊逻辑并且证据的推理。我们也在风险评价并且维护建模的区域在 LNG 搬运人工... 这研究在海上的环境讨论各种各样的当模特儿的途径和对液化天然气(LNG ) 搬运人操作适用的维护技术的分析。各种各样的新奇建模技术被讨论;包括基因算法,模糊逻辑并且证据的推理。我们也在风险评价并且维护建模的区域在 LNG 搬运人工业识别这些算法的实用性。 展开更多
关键词 液化天然气 建模方法 维修业务 风险评估 天然气运输 遗传算法 证据推理 模糊逻辑
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On two actuarial quantities for the compound Poisson risk model with tax and a threshold dividend strategy 被引量:1
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作者 WANG Wen-yuan XIAO Li-qun +1 位作者 MING Rui-xing HU Yi-jun 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2013年第1期27-39,共13页
In this paper, we consider a compound Poisson risk model with taxes paid according to a loss-carry-forward system and dividends paid under a threshold strategy. First, the closed-form expression of the probability fun... In this paper, we consider a compound Poisson risk model with taxes paid according to a loss-carry-forward system and dividends paid under a threshold strategy. First, the closed-form expression of the probability function for the total number of taxation periods over the lifetime of the surplus process is derived. Second, analytical expression of the expected accumulated discounted dividends paid between two consecutive taxation periods is provided. In addition, explicit expressions are also given for the exponential individual claims. 展开更多
关键词 风险模型 阈值 复合 精算 封闭形式 概率函数 生命周期 表达式
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Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model 被引量:1
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作者 SHEN Xin-mei FU Ke-ang ZHONG Xue-ting 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2018年第4期491-502,共12页
Consider a multidimensional renewal risk model, in which the claim sizes {X_k, k ≥1} form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be depend... Consider a multidimensional renewal risk model, in which the claim sizes {X_k, k ≥1} form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be dependent on each other. The univariate marginal distributions of these vectors have consistently varying tails and finite means. Suppose that the claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. A precise large deviation for the multidimensional renewal risk model is obtained. 展开更多
关键词 PRECISE large deviation SIZE-DEPENDENT CONSISTENT variation MULTIDIMENSIONAL risk model Re-newal COUNTING process
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Uniform Asymptotics for Finite-Time Ruin Probabilities of Risk Models with Non-Stationary Arrivals and Strongly Subexponential Claim Sizes
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作者 XU Chenghao WANG Kaiyong PENG Jiangyan 《Wuhan University Journal of Natural Sciences》 CAS CSCD 2024年第1期21-28,共8页
This paper considers the one-and two-dimensional risk models with a non-stationary claim-number process.Under the assumption that the claim-number process satisfies the large deviations principle,the uniform asymptoti... This paper considers the one-and two-dimensional risk models with a non-stationary claim-number process.Under the assumption that the claim-number process satisfies the large deviations principle,the uniform asymptotics for the finite-time ruin probability of a one-dimensional risk model are obtained for the strongly subexponential claim sizes.Further,as an application of the result of onedimensional risk model,we derive the uniform asymptotics for a kind of finite-time ruin probability in a two dimensional risk model sharing a common claim-number process which satisfies the large deviations principle. 展开更多
关键词 one-dimensional risk model two-dimensional risk model large deviations principle finite-time ruin probability heavy-tailed distributions
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Survival probability and ruin probability of a risk model 被引量:1
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作者 LUO Jian-hua College of Science,Central South University of Forestry and Technology,Changsha 410004,China Institute of Statistics,Central South University of Forestry and Technology,Changsha 410004,China. 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2008年第3期256-264,共9页
In this paper,a new risk model is studied in which the rate of premium income is regarded as a random variable,the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning pr... In this paper,a new risk model is studied in which the rate of premium income is regarded as a random variable,the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning process.The integral representations of the survival probability are gotten.The explicit formula of the survival probability on the infinite interval is obtained in the special case-exponential distribution.The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory. 展开更多
关键词 存活率 破产概率 风险模型 积分表示
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Optimal Dividend Problem for a Compound Poisson Risk Model 被引量:1
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作者 Ying Shen Chuancun Yin 《Applied Mathematics》 2014年第10期1496-1502,共7页
In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generaliz... In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model includes the classical risk model and the Pólya-Aeppli risk model as special cases. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. We show that under some conditions the optimal dividend strategy is formed by a barrier strategy. Moreover, two conjectures are proposed. 展开更多
关键词 BARRIER STRATEGY OPTIMAL DIVIDEND STRATEGY Generalized COMPOUND POISSON risk model Stochastic Control
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