Search for Articles:
Title / Keyword
Author / Affiliation / Email
Journal
Article Type
 
 
Advanced Search
 
Section
Special Issue
Volume
Issue
Number
Page
 

Saved Queries

Sign in to use this feature.

Search Filter Reset All

Years

Between: -

Subjects

remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
Add Subjects Reset
Select Subjects

Journals

remove_circle_outline
remove_circle_outline
remove_circle_outline
Add Journals Reset
Select Journals

Article Types

remove_circle_outline
Add Article Types Reset
Select Article Types

Countries / Regions

remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
Add Countries / Regions Reset
Select Countries / Regions
Update Search
share announcement

Search Results (4)

Search Parameters:
Keywords = multi–layer dividend strategy

Order results
Result details
Results per page
Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:
21 pages, 473 KiB  
Article
Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model
by Apostolos D. Papaioannou and Lewis Ramsden
Risks 2023, 11(1), 1; https://doi.org/10.3390/risks11010001 - 20 Dec 2022
Cited by 2 | Viewed by 2470
Abstract
In this paper we consider a risk model with two independent classes of insurance risks in the presence of a multi-layer dividend strategy. We assume that both of the claim number processes are renewal processes with phase-type inter-arrival times. By analysing the Markov [...] Read more.
In this paper we consider a risk model with two independent classes of insurance risks in the presence of a multi-layer dividend strategy. We assume that both of the claim number processes are renewal processes with phase-type inter-arrival times. By analysing the Markov chains associated with the two given phase-type distributions of the inter-arrival times, algorithmic schemes for the determination of explicit expressions for the Gerber–Shiu expected discounted penalty function, as well as the expected discounted dividend payments are derived, using two different approaches. Full article
(This article belongs to the Special Issue Interplay between Financial and Actuarial Mathematics II)
18 pages, 325 KiB  
Article
On a Fractional Stochastic Risk Model with a Random Initial Surplus and a Multi-Layer Strategy
by Enrica Pirozzi
Mathematics 2022, 10(4), 570; https://doi.org/10.3390/math10040570 - 12 Feb 2022
Cited by 2 | Viewed by 1734
Abstract
The paper deals with a fractional time-changed stochastic risk model, including stochastic premiums, dividends and also a stochastic initial surplus as a capital derived from a previous investment. The inverse of a ν-stable subordinator is used for the time-change. The submartingale property [...] Read more.
The paper deals with a fractional time-changed stochastic risk model, including stochastic premiums, dividends and also a stochastic initial surplus as a capital derived from a previous investment. The inverse of a ν-stable subordinator is used for the time-change. The submartingale property is assumed to guarantee the net-profit condition. The long-range dependence behavior is proven. The infinite-horizon ruin probability, a specialized version of the Gerber–Shiu function, is considered and investigated. In particular, we prove that the distribution function of the infinite-horizon ruin time satisfies an integral-differential equation. The case of the dividends paid according to a multi-layer dividend strategy is also considered. Full article
(This article belongs to the Special Issue Stochastic Models with Applications)
16 pages, 1031 KiB  
Article
Research on the Prediction of A-Share “High Stock Dividend” Phenomenon—A Feature Adaptive Improved Multi-Layers Ensemble Model
by Yi Fu, Bingwen Li, Jinshi Zhao and Qianwen Bi
Entropy 2021, 23(4), 416; https://doi.org/10.3390/e23040416 - 31 Mar 2021
Cited by 2 | Viewed by 2324
Abstract
Since the “high stock dividend” of A-share companies in China often leads to the short-term stock price increase, this phenomenon’s prediction has been widely concerned by academia and industry. In this study, a new multi-layer stacking ensemble algorithm is proposed. Unlike the classic [...] Read more.
Since the “high stock dividend” of A-share companies in China often leads to the short-term stock price increase, this phenomenon’s prediction has been widely concerned by academia and industry. In this study, a new multi-layer stacking ensemble algorithm is proposed. Unlike the classic stacking ensemble algorithm that focused on the differentiation of base models, this paper used the equal weight comprehensive feature evaluation method to select features before predicting the base model and used a genetic algorithm to match the optimal feature subset for each base model. After the base model’s output prediction, the LightGBM (LGB) model was added to the algorithm as a secondary information extraction layer. Finally, the algorithm inputs the extracted information into the Logistic Regression (LR) model to complete the prediction of the “high stock dividend” phenomenon. Using the A-share market data from 2010 to 2019 for simulation and evaluation, the proposed model improves the AUC (Area Under Curve) and F1 score by 0.173 and 0.303, respectively, compared to the baseline model. The prediction results shed light on event-driven investment strategies. Full article
(This article belongs to the Special Issue Machine/Statistical Learning and Modeling with Potential Applications in Entropy, Information Theory, and Artificial Intelligence)
►▼ Show Figures

Figure 1

35 pages, 940 KiB  
Article
Upper Bounds and Explicit Formulas for the Ruin Probability in the Risk Model with Stochastic Premiums and a Multi-Layer Dividend Strategy
by Olena Ragulina and Jonas Šiaulys
Mathematics 2020, 8(11), 1885; https://doi.org/10.3390/math8111885 - 30 Oct 2020
Viewed by 2195
Abstract
This paper is devoted to the investigation of the ruin probability in the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. We obtain an exponential bound for the ruin probability and investigate conditions, under which it [...] Read more.
This paper is devoted to the investigation of the ruin probability in the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. We obtain an exponential bound for the ruin probability and investigate conditions, under which it holds for a number of distributions of the premium and claim sizes. Next, we use the exponential bound to construct non-exponential bounds for the ruin probability. We show that the non-exponential bounds turn out to be tighter than the exponential one in some cases. Moreover, we derive explicit formulas for the ruin probability when the premium and claim sizes have either the hyperexponential or the Erlang distributions and apply them to investigate how tight the bounds are. To illustrate and analyze the results obtained, we give numerical examples. Full article
(This article belongs to the Special Issue Applied Probability)
►▼ Show Figures

Figure 1

Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:
 
Displaying article 1-50 on page 1 of 1.
Back to TopTop