索赔次数数据分布的拟合方法的分析和比较

泊松分布和负二项分布常用于拟合保险索赔次数.它们和二项分布统称为(a,b,0)分布族.本文对(a,b,0)分布族进行了研究,然后在此基础上给出了(a,b,0)分布离散型随机变量是服从泊松分布,还是服从负二项分布或二项分布的检验方法.本文基于我国某家保险公司的索赔次数数据进行了实证分析,并对检验的功效进行了模拟研究.     

保险损失费分布研究

对保险公司关注的保险总损失费的分布和平均总损失费的置信上限进行了初步研究.基于危险事故的保险损失费为服从指数分布的随机变量,在投保人数为泊松随机变量的条件下,根据各投保个体损失费分布参数的不同情况,导出某一时间内总损失费的分布密度和均值.在投保人数确定的条件下,研究了给定置信度下平均总损失费的置信上限,并给出了数字例.     

欧式双向期权的两种定价比较

在股票价格服从泊松跳模型下,分别利用保险精算方法与无套利定价方法给出了欧式双向期权的定价公式;通过对这两种结果的比较发现,当股票价格服从特定的泊松跳模型时两种定价公式是相同的.     

泊松分布高阶原点矩的两种计算方法

考虑到直接用定义计算泊松分布高阶原点矩的复杂性,将组合数学中的第二类Stirling数和二项式定理应用到泊松分布高阶原点矩的计算中,得到了泊松分布高阶原点矩的简单和式与递推表达式,并利用结论计算了泊松分布的前九阶原点矩.     

非寿险中巨额损失数据的拟合与精算

利用极值理论给出了一种新的解决非寿险精算中巨额损失保费厘定问题的方法。在建模过程首先给出了极值理论的最大吸引域检验问题,然后利用不同方法讨论了最优门限值的选取问题,并在POT模型下利用广义帕累托分布对巨额损失分布进行拟合。然后在假设损失次数服从泊松分布的条件下,在复合泊松分布的框架下讨论了险位超赔再保险的纯保费计算问题。     

阈值分红策略下带常利率的对偶风险模型

研究了常利率下基于对偶复合泊松模型带阈值的分红策略,给出了公司在破产时累积红利期望现值函数的两个积分-微分方程,分情况讨论了收益服从指数分布时的显示表达式,以及服从一般分布时的拉普拉斯变换表达式.     

复合泊松过程的可加性

对复合泊松分布可加性的研究在许多的文献中都可以看到,本文首先应用特征函数的方法证明了复合泊松分布的可加性.以此为基础,结合对随机过程相关性质的讨论,证明了复合泊松过程也具有与复合泊松分布可加性相似的,某种意义上的可加性性质.     

关于李群胚和泊松作用的讨论

定义了纤维丛的相配群胚的概念,从作用的角度研究了李群胚与主丛的关系;给出了一个泊松群胚在泊松流形上的作用是泊松作用的充要条件;文末得到了一些关于泊松流形上Casimir函数的结果.     

泊松回归模型中协变量含误差的经验似然推断

在模型的协变量含有测量误差的情况下,考虑一类泊松回归模型的统计推断问题.通过巧妙地构造辅助随机向量,提出一个工具变量类型的经验似然统计推断方法.证明构造的经验对数似然比函数渐近服从标准卡方分布,进而给出了回归系数的置信区间.所提出的估计方法可以有效地消除测量误差对估计精度的影响,并且具有较好的有限样本性质.     

多元广义泊松分布的参数估计与诊断

广义泊松分布是普通泊松分布的自然推广,克服均值与方差相等的局限性.在计数数据中,常常会有多变量的情形,比如保险保单定价.因此文章考虑多元广义泊松分布的参数估计和假设检验问题,针对共协方差多元广义泊松模型提出两种参数估计的方法,矩估计方法和极大似然估计方法,并比较两种方法的优劣性.文章就多元广义泊松分布的假设检验问题,主要探讨了其退化检验及独立性检验,由于参数及变量较多,运用似然比检验方法构造服从卡方分布的检验统计量.最后,运用多元广义泊松理论分析不同地区森林发生火灾的次数,首先用文中提到的检验方法诊断数据是否可以用多元广义泊松分布,其次进行参数估计及实际问题的分析解释.     

Yarn motion during unwinding from packages

We study the motion of yarn modelled as a one-dimensional inelastic string. In textile production, the yarn is being withdrawn from cross-wound packages in warping and weft insertion. During unwinding, there appear forces in the yarn that are approximately proportional to the square of the unwinding velocity. The yarn tension is not constant, but it oscillates within some interval. This is especially noticeable in over-end unwinding from a static cross-wound package. Even when the yarn is not strongly stressed, so that the tension never exceeds a few percent of the breaking strength, the yarn can still break sometimes. The production process requires as large warping and weaving speeds as possible; therefore, it is necessary to improve our understanding of the cross-wound package unwinding and to find the necessary modifications of the yarn unwinding process. In addition to empirical tests, it has proved useful to study yarn unwinding by mathematical modelling and computer simulations. We state the equations of motion that describe the yarn unwinding and develop a mathematical model that permits to simulate the process of unwinding.     

Diffusion of Active Ingredients in Textiles

Most practical textile models are based on a two scale approach: a one-dimensional fiber model and a fabric model, see Fan et al. (Commun Comput Phys 4(4):929–948, 2008). No meso-level is used in between, i.e. the yarn scale is neglected in this setup. For dense textile substrates this seems appropriate as the yarns connect everywhere, but for loose fabrics or scrims this approach cannot be kept. Specifically when one is interested in tracking an active component released by the fibers, the yarn level plays an important role. This is because the saturation vapor pressure will influence the release rate from the fibers, and its value will vary over the yarn cross-section. Therefore, in this work we present a three step multiscale model: the active component is tracked in the fiber, the yarn, and finally at the fabric level. At the fiber level a one-dimensional reduction to a non-linear diffusion equation is performed, and solved on an as needed basis. At the yarn level both a two-dimensional or a one-dimensional model can be applied, and finally the yarn result is upscaled to the fabric level.     

Mathematical modeling and numerical simulation of yarn behavior in a modified ring spinning system

In the paper, yarn dynamical behavior and twist distribution in a modified ring spinning system are investigated. Equations of motion and twist wave propagation are used to obtain the numerical solutions of yarn path, yarn tension and twist distribution in steady state. It is observed that yarn path in the twisting zone has several classic modes corresponding to the yarn tension, and all of the yarn paths are approximately planar curves rather than spatial curves. The angular velocities of yarn at the twisting device are given as well as the twist of yarn in the modified ring spinning system. Experiments are conducted to evaluate the yarn paths and twist distributions under consideration. The theoretical and experimental results have a good agreement.     

Permeability of Clustered Fiber Networks: Modeling of the Unit Cell

The paper is focused on estimating the permeability of a clustered fiber network by variational methods. First, a laminar flow in ducts is considered by using polynomial trial functions. Then, a longitudinal flow through a square array is described by expanding the flow-rate field in trigonometric and Laurent series. Finally, a formal scheme for estimating the longitudinal permeability in a cluster with an irregular distribution of fibers is given. The irregular distribution is modeled by setting an individual effective radius for each fiber and then letting this fiber reach its minimum gravitational energy. The results obtained here form a basis for future predictions of the permeability of fibrous reinforcements.     

一类过程需求存贮系统的策略研究及其费用弹性分析

本文首先讨论了需求到达为复合泊松随机过程的库存管理问题,给出了在单位时间内期望总成本费用最小的条件下的确定性的最优订货策略(Q,T).然后分析了在订购量和订购周期为随机变量,其联合分布已知的条件下,基于随机局部弹性理论,分析了总费用关于订购量和订购周期的局部弹性的联合分布,为订购策略的制定提供了合理的依据.     

Mathematical simulation of failure processes of composite materials reinforced with brittle fibers

Conclusions 1. It is concluded on the basis of an analysis of experimental data and also from theoretical investigations with respect to stress redistribution upon the breaking of fibers that the successive breaking of a number of fibers, caused by the overload from the breaking of individual fibers, is one of the principal mechanisms according to which the complete failure of a material reinforced with brittle fibers takes place.2. A discrete model of a composite material has been worked out. A random fiber strength distribution over the surfaces of the cross sections of the composite material is produced on the computer by the application of Monte Carlo methods.3. A program was written for the computer which simulates the testing of composite materials, permitting the investigation of the statistical accumulation of damage in failure processes as well as the avalanchetype processes of the complete failure of a material.4. The effect of the statistical distribution of the strength of the reinforcing fibers, the ratio of properties, and the volume fractions of composites on the failure processes of composite materials is investigated. Deformation diagrams of a D-16 aluminum alloy-boron fiber composite material, constructed on the basis of an anlysis of the simulated process of fiber breaking in a composite, agree well with the experimental relations.5. The opinion is expressed that the development of cybernetic simulation of failure processes will permit giving an answer to a number of actual questions in the study of materials and the mechanics of failure.Baikov Institute of Metallurgy, Academy of Sciences of the USSR, Moscow. Translated from Mekhanika Polimerov, No. 5, pp. 800–808, September–October, 1976.     

整值随机变量序列的一类强律

本文引进似然比作为整值随机变量序列相对于服从Poisson分布的独立随机变量序列的偏差的一种度量，并通过限制似然比给出了样水空间的某种子集．在这种子集上得到了一类用不等式表示的强律，独立随机变量序列的一类强律是其特例．     

具有复合泊松损失和随机利率的巨灾期权定价

分析了带有复合泊松损失过程和随机利率的巨灾看跌期权的定价问题.资产价格通过跳扩散过程刻画,该过程与损失过程相关.当利率过程服从CIR模型时,获得了期权定价的显式解,并给出相关证明.通过一个实例,讨论了资产价格与期权价格的关系.     

Random partitioning over a sparse contingency table

The present article investigates a class of random partitioning distributions of a positive integer. This class is called the limiting conditional compound poisson (LCCP) distribution and characterized by the law of small numbers. Accordingly the LCCP distribution explains the limiting behavior of counts on a sparse contingency table by the frequencies of frequencies. The LCCP distribution is constructed via some combinations of conditioning and limiting, and this view reveals that the LCCP distribution is a subclass of several known classes that depend on a Bell polynomial. It follows that the limiting behavior of a Bell polynomial provides new asymptotics for a sparse contingency table. Also the Neyman Type A distribution and the Thomas distribution are revisited as the basis of the sparsity.