自由群的直积的检验元素的注记

本文研究了自由群的直积的检验元素,通过对直积的自同态的分解,得到了直积中的元素为检验元素的充分必要条件,改进了O'neill和Turner的结果.此外,构造了两类具体的检验元素.     

环的投射自由性的研究

引进了两类新环,进而研究了其投射自由性,得到了群环上的模结构,推广了Quillen-Suslin定理.     

幂格与商格的关系的注记

研究了分配格上的幂格,给出了格的相对凸子格的概念,得到了分配格上的幂格的一个充要条件,建立了幂格与商格的联系.     

关于特征值的平方和的注记

探讨了特征值的平方和这一计算问题,指出了常用方法的不足之处,并在深入研究方阵相似的基础之上弥补了这一不足,彻底解决了这一问题,此外运用这种方法还能解决特征值高次幂之和与多项式之和的计算问题.最后文中给出了一种新的计算特征值平方和的方法,这种方法能够回避第一种方法的不足,但缺点是不易推广.     

基于GRA-DEA模型的有关农民收入的九城市的评价

有关农民收入,文章以山西省九个城市为例进行了评价.首先用灰色关联分析法分析了2016年这些城市的有关数据,筛选出影响农民收入的主要因素;其次构建了指标体系,利用数据包络分析法对有关农民收入九个城市进行了DEA有效性评价;再次对非DEA有效的城市,借助投影公式探索了改进方法;最后得出了九城市分为两类的结论,提出了针对性的建议.     

由自然数的因子构成的半群

本文首先介绍了半群、群的定义,研究了自然数n取何值时,通过定义相应的代数运算,使得它的因子集构成半群、群,从而为半群的代数理论提供了一个有趣的实例.     

基于小波变换的信号突变检测的方法

本文利用高斯函数的正整数阶导函数的一个性质,给出了一种探测信号奇异性的方法,得到了奇异点的位置,阶数α以及相应的平滑因子a和k,推导出了α满足的方程,对文献[8]的结论进行了推广.最后进行了数值试验,相对Mallat定理的10%的误差,取得了较好的效果.     

标准体系的使用期的模型与分析

本文提出了关于标准体系使用期的两个模型。首先定义了标准使用期,然后讨论了模型的合理性。通过模型讨论了标准使用期的性质,给出了数值示例。提出了需进一步研究的问题。     

含有共轭三键的高聚物的掺杂机制的探讨

本文从实验事实出发,对含有共轭三键的共轭高聚物——聚丁二炔的掺杂及电导的特点进行了详细的分析;对聚丁二炔晶体掺杂的机制进行了初步的探讨;从结构相变的角度出发,提出了一个掺杂模型,并从能量的角度估算了由于掺杂引起链段结构改变所需的能量,较好地解释了聚丁二炔晶体掺杂未取得成功的原因.     

伪造的遗书

小试身手 杰森和助手里克匆匆赶到一家医院,给他们打电话的青年约翰迎接了他们。 “是这样的：我父亲昨天出了车祸住进了医院,我听到消息后立即从外地赶回来,但还是晚了一步,父亲在我到达前三小时去世了。     

一类逐段决定风险模型罚金函数的期望(英)

本文主要考虑了一类逐段决定的风险模型的罚金函数.利用建立的积分-微分方程,我们得出了此类风险模型罚金函数期望的一般解.     

一类逐段决定风险模型罚金函数的期望

本文主要考虑了一类逐段决定的风险模型的罚金函数．利用建立的积分一微分方程,我们得出了此类风险模型罚金函数期望的一般解．     

The hitting time for a Cox risk process

This paper investigates the hitting time of a Cox risk process. The relationship between the hitting time of the Cox risk process and the classical risk process is established and an explicit expression of the Laplace–Stieltjes transform of the hitting time is derived by the probability method. Similarly, we derive the explicit expression of the Laplace–Stieltjes transform of the last exit time. Further, we study the situation when the intensity process is an n$n$-state Markov process.     

Analysis of risk models using a level crossing technique

This paper analyzes ruin-like risk models in Insurance, which are variants of the Cramer–Lundberg (C–L) model with a barrier or a threshold. We consider three model variants, which have different portfolio strategies when the risk reserve reaches the barrier or exceeds the threshold. In these models we construct a time-extended risk process defined on cycles of a specific renewal process. The time until ruin is equal to one cycle of the specific renewal process. We also consider a fourth model, which is a variant of a model proposed by Dickson and Waters (2004). The analysis of each model employs a level crossing method (LC) to derive the steady-state probability distribution of the time-extended risk process. From the derived distribution we compute the expected time until ruin, the probability distribution of the deficit at ruin, and related quantities of interest.     

Analysis of risk models using a level crossing technique

This paper analyzes ruin-like risk models in Insurance, which are variants of the Cramer–Lundberg (C–L) model with a barrier or a threshold. We consider three model variants, which have different portfolio strategies when the risk reserve reaches the barrier or exceeds the threshold. In these models we construct a time-extended risk process defined on cycles of a specific renewal process. The time until ruin is equal to one cycle of the specific renewal process. We also consider a fourth model, which is a variant of a model proposed by Dickson and Waters (2004). The analysis of each model employs a level crossing method (LC) to derive the steady-state probability distribution of the time-extended risk process. From the derived distribution we compute the expected time until ruin, the probability distribution of the deficit at ruin, and related quantities of interest.     

An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process

In this paper we investigate an asset–liability management problem for a stream of liabilities written on liquid traded assets and non-traded sources of risk. We assume that the financial market consists of a risk-free asset and a risky asset which follows a geometric Lévy process. The non-tradeable factor (insurance risk or default risk) is driven by a step process with a stochastic intensity. Our framework allows us to consider financial risk, systematic and unsystematic insurance loss risk (including longevity risk), together with possible dependencies between them. An optimal investment strategy is derived by solving a quadratic optimization problem with a terminal objective and a running cost penalizing deviations of the insurer’s wealth from a specified profit-solvency target. Techniques of backward stochastic differential equations and the weak property of predictable representation are applied to obtain the optimal asset allocation.     

Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.     

An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process

In this paper we investigate an asset-liability management problem for a stream of liabilities written on liquid traded assets and non-traded sources of risk. We assume that the financial market consists of a risk-free asset and a risky asset which follows a geometric Lévy process. The non-tradeable factor (insurance risk or default risk) is driven by a step process with a stochastic intensity. Our framework allows us to consider financial risk, systematic and unsystematic insurance loss risk (including longevity risk), together with possible dependencies between them. An optimal investment strategy is derived by solving a quadratic optimization problem with a terminal objective and a running cost penalizing deviations of the insurer’s wealth from a specified profit-solvency target. Techniques of backward stochastic differential equations and the weak property of predictable representation are applied to obtain the optimal asset allocation.     

一类Cox风险过程中的三联分布(英文)

本文研究了一类Cox风险过程破产时、破产瞬间前的余额、破产时的赤字这三个重要精算量的联合分布,并给出了一些密度测度的分布.     

Ruin probabilities for a risk process with stochastic return on investments

In this paper, we consider a risk process with stochastic return on investments. The basic risk process is the classical risk process while the return on the investment generating process is a compound Poisson process plus a Brownian motion with positive drift. We obtain an integral equation for the ultimate ruin probability which is twice continuously differentiable under certain conditions. We then derive explicit expressions for the lower bound for the ruin probability. We also study a joint distribution related to exponential functionals of Brownian motion which is required in the derivations of the explicit expressions for the lower bound.