Simulation analysis of ruin capital in Sparre Andersen’s model of risk

Ruin capital is a function of premium rate set to render the probability of ruin within finite time equal to a given value. The analytical studies of this function in the classical Lundberg model of risk with exponential claim sizes done in Malinovskii (2014) have shown that the ruin capital’s shape is surprisingly simple. This work presents the results of related simulation studies. They are focused on the question whether this shape remains similar in Sparre Andersen’s model of risk.     

Analysis and Numerical Approximation of a Contact Problem Involving Nonlinear Hencky-Type Materials with Nonlocal Coulomb’s Friction Law

A static frictional contact problem between an elasto-plastic body and a rigid foundation is considered. The material’s behavior is described by the nonlinear elastic constitutive Hencky’s law. The contact is modeled with the Signorini condition and a version of Coulomb’s law in which the coefficient of friction depends on the slip. The existence of a weak solution is proved by using Schauder’s fixed-point theorem combined with arguments of abstract variational inequalities. Afterward, a successive iteration technique, based on the Ka?anov method, to solve the problem numerically is proposed, and its convergence is established. Then, to improve the conditioning of the iterative problem, an appropriate Augmented Lagrangian formulation is used and that will lead us to Uzawa block relaxation method in every iteration. Finally, numerical experiments of two-dimensional test problems are carried out to illustrate the performance of the proposed algorithm.     

A lattice Boltzmann model for Maxwell’s equations

In this paper, a lattice Boltzmann model for the Maxwell’s equations is proposed by taking separate sets of distribution functions for the electric and magnetic fields, and a lattice Boltzmann model for the Maxwell vorticity equations with third order truncation error is proposed by using the higher-order moment method. At the same time, the expressions of the equilibrium distribution function and the stability conditions for this model are given. As numerical examples, some classical electromagnetic phenomena, such as the electric and magnetic fields around a line current source, the electric field and equipotential lines around an electrostatic dipole, the electric and magnetic fields around oscillating dipoles are given. These numerical results agree well with classical ones.     

Bayesian single and double variable sampling plans for the Weibull distribution with censoring

The sampling inspection problem is one of the main research topics in quality control. In this paper, we employ Bayesian decision theory to study single and double variable sampling plans, for the Weibull distribution, with Type II censoring. A general loss function which includes the sampling cost, the time-consuming cost, the salvage value, and the after-sales cost is proposed to determine the Bayes risk and the corresponding optimal sampling plan. Explicit expressions for the Bayes risks for both single and double sampling plans are derived, respectively. Numerical examples are given to illustrate the effectiveness of the proposed method. Comparisons between single and double sampling plans are made, and sensitivity analysis is performed.     

A variables sampling plan based on Cpmk for product acceptance determination

Process capability indices are useful management tools, particularly in the manufacturing industry, which provide common quantitative measures on manufacturing capability and production quality. Most supplier certification manuals include a discussion of process capability analysis and describe the recommended procedure for computing a process capability index. Acceptance sampling plans have been one of the most practical tools used in classical quality control applications. It provides both vendors and buyers to reserve their own rights by compromising on a rule to judge a batch of products. Both sides may set their own safeguard line to protect their benefits. Two kinds of risks are balanced using a well-designed sampling plan. In this paper, we introduce a new variables sampling plan based on process capability index C_pmk to deal with product sentencing (acceptance determination). The proposed new sampling plan is developed based on the exact sampling distribution hence the decisions made are more accurate and reliable. For practical purpose, tables for the required sample sizes and the corresponding critical acceptance values for various producer’s risk, the consumer’s risk and the capability requirements acceptance quality level (AQL), and the lot tolerance percent defective (LTPD) are provided. A case study is also presented to illustrate how the proposed procedure can be constructed and applied to the real applications.     

Refined geometric realization of a quantum group and Lusztig’s symmetries

In this paper, we shall give a refinement of the geometric realization of Lusztig’s algebra f given by Lusztig. This realization gives a geometric interpretation of the decomposition of f. As an application, we shall give geometric realizations of Lusztig’s symmetries on the whole quantum group.     

关于Hilbert积分算子的一个分解

应用权函数及参量化的方法,建立了一对新的Hilbert型积分不等式,它是Hilbert积分不等式的一个分解.还考虑了其等价式,引入参数的最佳推广式及逆式.作为应用,求出了Hilbert积分算子的一个范数分解式.     

基于公私不同风险偏好的PPP项目政府补偿机制研究

本文在考虑双方风险偏好差异的基础上,围绕PPP项目补偿问题构建了公私双方的Stackelberg博弈模型,从集中决策和分散决策协调的角度研究了PPP项目的补偿机制。研究表明,在公私双方存在风险厌恶时,直接补贴契约无法诱导私人投资者做出符合整体最优的决策。因此,本文设计了一种基于政府部分承担建设投资的混合补偿契约改进前补贴模式。分析表明,当建设投资分担比例合适时,混合补偿契约可以协调风险厌恶下的PPP补偿博弈的分散决策和集中决策,实现Pareto改进。最后,通过数值分析进一步研究了补偿契约的影响因素和适用范围。     

考虑决策者风险偏好的区间直觉模糊多属性群决策方法

提出了一种考虑决策者风险偏好且属性权重信息不完全的区间直觉模糊数多属性群决策方法。同时考虑相似度和接近度,确定每一属性的决策者权重。为了考虑决策者风险偏好对决策结果的影响和避免区间直觉模糊矩阵的渐进性,引入了决策者风险偏好系数,将集结后的综合决策矩阵转换成区间数矩阵。然后,为了客观地求出属性权重信息不完全环境下属性的权重,构建了基于区间直觉模糊交叉熵的属性权重目标规划模型,该模型不仅考虑了评价值的偏差,也强调了评价值自身的可信度。最后,通过研发项目选择问题的实例分析说明了所提方法的合理性和优越性。     

Classical versus Bayesian risks in acceptance sampling: a sensitivity analysis

Assuming a beta prior distribution on the fraction defective, $p$ , failure-censored sampling plans for Weibull lifetime models using classical (or average) and Bayesian (or posterior) producer’s and consumer’s risks are designed to determine the acceptability of lots of a given product. The average risk criterion provides a certain assurance that good (bad) lots will be accepted (rejected), whereas the posterior risk criterion provides a determined confidence that an accepted (rejected) lot is indeed good (bad). The performance of classical and Bayesian risks are analyzed in developing sampling plans when the lifetime variable follows the Weibull distribution. Several figures and tables illustrate the sensitivity of the risks and optimal sample sizes for selected censoring levels and specifications according to the available prior information on $p$ . The analysis clarifies the distinction among the different risks for a given sampling plan, and the effect of the prior knowledge on the required sample size. The study shows that, under uncertainty in the prior variance of $p$ , the designs using Bayesian risks are more appropriate.     

Extension of Talenti’s Inequality and Maximum Values Relative to Rearrangement Classes

The article starts by revisiting and extending the Talenti’s inequality where the sharpness of the extended inequality is also addressed. The process leading to the extension comprises two steps. First, an observation that the Talenti’s inequality indeed can be formulated in terms of a rearrangement class. Second, proving that the inequality holds even when the rearrangement class is replaced by a much bigger (modulo trivial cases) set namely an appropriate closure of the class. The article then continues to introduce and explore a related maximization problem, associated to the classical Poisson equation, where the admissible set is the class of rearrangements of a given function. The article briefly explains the physical interest in this optimization problem. The existence of optimal solutions is proved and the optimality conditions they satisfy are explicitly derived. The particular case where the rearrangement class is built out of a characteristic function is also discussed.     

Some matrix inequalities related to Kwong functions

The aim of this note is to investigate some inequalities related to Kwong functions. Refinements of Kaur’s and Zhan’s inequality are presented by the Hadamard product. In addition, variations of the Heinz–Heron type means on Kwong functions are also given.     

Hardy-Hilbert型积分不等式的一种新改进

研究了带积分核函数和参数λ（λ〉1）的Hardy-Hilbert型不等式,并利用加强的Hlder’s不等式对Hardy-Hilbert不等式作了改进,建立了一些新的不等式.     

唯一补格中与分配性的等价条件和关于Peirces定理的证明

本文首先提出唯一补格与原子对偶原子相关的充要条件;然后对Peirces定理第4步证明提出了新的方法;进而提出并证明了唯一补格中与分配性的四个等价条件;本文最后提出了在唯一补格中可以推出分配性的四个等价条件,并逐一进行了证明。     

A new system of skip‐lot sampling plans having a provision for reducing normal inspection

The skip‐lot sampling program can be used for reducing the amount of inspection on a product that has excellent quality history. Thus skip‐lot sampling plans are designed to reduce inspection costs. Moreover, the skip‐lot concept is sound and useful and is economically advantageous to use in the design of sampling plans. Hence, a new system of skip‐lot sampling plans designated as the SkSP‐V plan is developed in this paper. The proposed plan requires a return to normal inspection whenever a lot is rejected during sampling inspection, but has a provision for a reduced normal inspection upon demonstration of superior product quality. A Markov chain formulation and derivation of performance measures for this new plan are presented. The properties of SkSP‐V plan are studied with single sampling plan as the reference plan. Advantages of this new plan are also discussed. Finally, certain cost models are given for the economic design of the SkSP‐V plan. Copyright © 2010 John Wiley & Sons, Ltd.     

Confidence band for expectation dependence with applications

Motivated by the applications of the concept of expectation dependence in economics and finance, we propose a method to construct uniform confidence band for expectation dependence. It is derived based on Hoeffding’s inequality. Our proposed confidence band can be explicitly expressed and thus it is very easy to implement. Our method has applications to demand for a risky asset and first-order risk aversion problems. Simulations suggest our proposed confidence interval can control the coverage probabilities very well, and the average lengths are very short. Two empirical applications are presented to illustrate the usefulness of the constructed confidence band of expectation dependence.     

基于结构元线性生成的复Fuzzy值函数项级数

文献[1]中提出了基于结构元理论的Fuzzy数项级数的概念,文献[2]、文献[3]、文献[4]对其收敛性进行了探讨,文献[5]、文献[6]对模糊值函数项数列及级数进行了研究。本文在此基础上给出了基于结构元线性生成的复Fuzzy值函数项数列及级数的定义,同时对复Fuzzy值函数项级数的一些重要性质进行了研究,并给出了相应定理。