arXiv subjects

Junyi Guo

Publications and source records attributed to Junyi Guo.

25 records · Page 2Linked to original sources

arXiv2020

Lundberg-type inequalities for non-homogeneous risk models

In this paper, we investigate the ruin probabilities of non-homogeneous risk models. By employing martingale method, the Lundberg-type inequalities of ruin probabilities of non-homogeneous renewal risk models are obtained under weak assumptions. In addition, for the periodic and quasi-periodic risk models the adjustment coefficients of the Lundberg-type inequalities are obtained. Finally, examples are presented to show that estimations obtained in this paper are more accurate and the ruin probability in non-homogeneous risk models may be fast decreasing which is impossible for the case of homogeneity.

math.PR↗

arXiv2020

Exponential bounds of ruin probabilities for non-homogeneous risk models

Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented in this paper. By employing martingale method, the upper bounds of ruin probabilities are obtained for the general risk models under weak assumptions. In addition, several risk models, including the newly defined united risk model and quasi-periodic risk model with interest rate, are studied.

math.PR↗

arXiv2020

Optimal Control of Investment for an Insurer in Two Currency Markets

In this paper, we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in the foreign market is allowed, and therefore, the foreign exchange rate model is considered and incorporated. It is assumed that the instantaneous mean growth rate of foreign exchange rate price follows an Ornstein-Uhlenbeck process. Dynamic programming method is employed to study the problem of maximizing the expected exponential utility of terminal wealth. By soloving the correspoding Hamilton-Jacobi-Bellman equations, the optimal investment strategies and the value functions are obtained. Finally, numerical analysis is presented.

q-fin.PM↗

arXiv2020

Prokhorov distance with rates of convergence under sublinear expectations

Prokhorov distances under sublinear expectations are presented in CLT and functional CLT, and the convergence rates for them are obtained by Lindeberg method. In particular, the obtained estimate in functional CLT yields known Borovkov's estimate in classical functional CLT with explicit constant.

math.PR↗

arXiv2018

Optimal Singular Dividend Problem under the Sparre Anderson Model

Consider an insurance company for which the reserve process follows the Sparre Anderson model. In this paper, we study the optimal dividend problem for such a company as Bai, Ma and Xing [9] do. However, we remove the constant restriction on the dividend rates, i.e. the optimization problem is of singular type. In this case, the value function is no longer bounded and the associated HJB equation is a variational inequality involving a first order integro-differential operator and a gradient constraint. We use other techniques to prove the regularity properties for the value function and show that the value function is a constrained viscosity solution of the associated HJB equation. In addition, we show that the value function is the upper semi-continuous envelop of the supremum for a class of subsolutions.

math.OC↗

arXiv2016

Non-parametric threshold estimation for classical risk process perturbed by diffusion

In this paper,we consider a macro approximation of the flow of a risk reserve, The process is observed at discrete time points. Because we cannot directly observe each jump time and size then we will make use of a technique for identifying the times when jumps larger than a suitably defined threshold occurred. We estimate the jump size and survival probability of our risk process from discrete observations.

math.ST↗

arXiv2014

A Stochastic Maximum Principle for Processes Driven by G-Brownian Motion and Applications to Finance

In this paper, we consider the stochastic optimal control problems under model risk caused by uncertain volatilities. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brwonian motion introduced by Peng(2007). Based on the theory of stochastic differential equations on a sublinear expectation space $(Ω,\mathcal{H},\hat{\mathbb{E}})$, we prove a stochastic maximum principle for controlled processes driven by G-Brownian motion. Then we obtain the maximum condition in terms of the $\mathcal{H}$-function plus some convexity conditions constitute sufficient conditions for optimality. Finally, we solve a portfolio optimization problem with ambiguous volatility as an explicitly illustrated example of the main result.

math.OC↗