D.C.隶属函数模糊集及其应用(I)--D.C.隶属函数模糊集基本概念与性质

本文是D.C.隶属函数模糊集及其应用系列研究的第一部分.建立了D.C.隶属函数模糊集的基本概念.探讨了D.C.隶属函数模糊集的基本性质和D.C.隶属函数模糊集对一些常见的重要t模、余模和伪补的封闭性.并以此建立了丰富的模糊数学应用模型.     

(伪)单调集值映射拟均衡问题

主要讨论G-凸上的广义向量拟均衡问题,推广W.O ettli,D.Sch l ger,Q.H.A nsari,I.V.K onnov,和J.C.Y ao的一些主要结果.     

仿酉对称矩阵的构造及对称正交多小波滤波带的参数化

仿酉矩阵在小波、多小波、框架的构造中发挥了重要的作用.本文给出仿酉对称矩阵(简记为p.s.m.)的显式构造算法,其中仿酉对称矩阵是元素为对称或反对称多项式的仿酉矩阵.基于已构造的p.s.m.和已知的正交对称多小波(简记为o.s.m.),给出o.s.m.的参数化.恰当地选择一些参数,可得到具有一些优良性质的o.s.m.,例如Armlet.最后作这一个算例,构造出一类对称的Chui-Lian Armlet滤波带.     

名人名著谈统计学

W.E.Denting(1940),Discussion of Professor Hottelling's Paper "The Teaching of Statistics"(Ann.Math.Stat.Vol.11,457-470): Above all,a statistician must be a scientist. 最重要的是,统计学家应该是科学家.     

中学生中存在的24种不良学习习惯

良好的学习习惯是有效提高学业成绩的保障,不良的学习习惯影响、制约着广大学生的学习效率.现列举24种当代中学生不良学习习惯,愿广大学生、家长对照参考,矫正不足,养成良好习惯,提高学习水平.1.学习、生活、作息不规律,无计划.2.学习用品乱堆乱放,用时又找不到.3.审题不清,随意下笔.4.课堂上不主动回答老师提出的问题.     

Improvement of convergence to steady state solutions of Euler equations with weighted compact nonlinear schemes

The convergence to steady state solutions of the Euler equations for weighted compact nonlinear schemes (WCNS) [Deng X. and Zhang H. (2000), J. Comput. Phys. 165, 22-44 and Zhang S., Jiang S. and Shu C.-W. (2008), J. Comput. Phys. 227, 7294-7321] is studied through numerical tests. Like most other shock capturing schemes, WCNS also suffers from the problem that the residue can not settle down to machine zero for the computation of the steady state solution which contains shock waves but hangs at the truncation error level. In this paper, the techniques studied in [Zhang S. and Shu. C.-W. (2007), J. Sci. Comput. 31, 273-305 and Zhang S., Jiang S and Shu. C.-W. (2011), J. Sci. Comput. 47, 216-238], to improve the convergence to steady state solutions for WENO schemes, are generalized to the WCNS. Detailed numerical studies in one and two dimensional cases are performed. Numerical tests demonstrate the effectiveness of these techniques when applied to WCNS. The residue of various order WCNS can settle down to machine zero for typical cases while the small post-shock oscillations can be removed.     

Uniqueness of entire functions sharing one value

We deal with the problem of entire functions sharing one value weakly. Moreover, we improve and generalize some former results obtained by J.-F.Chen, et al. [6], Y.Xu and H.L.Qiu [4], M.L. Fang [5], C.C. Yang, and X.H. Hua [3].     

柔性圆环壳在子午面内整体弯曲的复变量方程及细环壳的一般解

在З.Л.Аксельрад(E.L.Axelrad)非轴对称载荷下柔性旋转壳线性方程的基础上,导出了圆环壳在子午面内整体弯曲的复变量方程和相应的细环壳方程.该方程可与钱伟长给出了一般解的В.В.Новожилов(V.V.Novozhilov)轴对称环壳方程相类比.通过类比,给出了细环壳在子午面内整体弯曲的一般解.所给出的解可以用来计算波纹管整弯曲的应力和端面位移.     

PHANTOM MAPS AND SPACES OF THE SAME n-TYPE FOR ALL n

1.IntroductionLetXbeaconnectedCWcomplexandX.denoteitsn-skeleton.Amapf:X-YiscalledaphantommapifitsrestrictiontoeachskeletonXuisnullhomotopic.ItiseasytoknowthateveryphantommapfromafiniteCWcomplexortoaspacewithonlyfinitenootrivialhomotopygroupsisnecessarilytrivialuptohomotopy.HenceessentialphantommapcanoccuronlywhenthedomainXisaninfinitedimensionalspaceorthetargetisaspacewithinfinitenontrivialhomotopygroups.Suchmapsappeartobenullhomotopicfromanumberofdifferentpoilltsofview;e.g.,theyinducethe…     

POLES OF ZETA FUNCTIONS OF COMPLETE INTERSECTIONS

51.IntroductionLetF.beafinitefieldofqele~swithcharederisticp.LetXbeanThdilnensionalalgebraicsetdeadedoverF..ThezetafunctionofX/F.isdennedbywhereXOdenotesthesetofclosedpointsOfX/F.and#X(F.d)denotesthenUInberof.F.d-rationalpointsonX.ItiseasytoseethatZ(X,T)isapowerserieswithintegercoefficients.Dwork'srationalltytheoremIg]showsthatthezetafunctionZ(X,T)isrationalinT.ThuS,therearealgebraicintegerspll'.3Pr,pl,'3basuchthatThereisagoodreasonthatwemoantheabovezetafunctionbythepower(--1)"-…     

Univariate and multivariate measures of risk aversion and risk premiums

This paper develops univariate and multivariate measures of risk aversion for correlated risks. We derive Rubinstein's measures of risk aversion from the risk premiums with correlated random initial wealth and risk. It is shown that these measures are not only consistent with those for uncorrelated or independent risks, but also have the corresponding local properties of the Arrow-Pratt measures of risk aversion. Thus Rubinstein's measures of risk aversion are the appropriate extension of the Arrow-Pratt measures of risk aversion in the univariate case. We also derive a risk aversion matrix from the risk premiums with correlated initial wealth and risk vectors. This matrix measure is the multivariate version of Rubinstein's measures and is also the generalization of Duncan's results for non-random initial wealth. The univariate and multivariate measures of risk aversion developed in this paper are applied to portfolio theory in Li and Ziemba [15].This research was partially supported by the National Research Council of Canada.     

我国新三板企业股权质押融资的风险评价

针对我国新三板市场的发展情况及新三板企业的自身特征,选择工业、信息技术和材料三个行业,采用PFM模型和VaR模型分别对新三板企业股权质押融资的违约风险和市场风险进行了实证分析.研究结果表明,PFM模型对于新三板企业违约风险度量具有较强的适用性,用VaR度量的股权质押融资的市场风险及其质押率与市场实际操作基本一致.从行业均值来看,新三板工业行业的违约风险和市场风险均为最小,信息技术行业的两者次之,材料行业则都最大.但是,进一步研究并未发现新三板企业股权质押融资的市场风险与违约风险存在显著的相关性.因此,股权质押融资风险主要来源于市场波动,企业经营状况对其没有直接影响.研究结果为新三板企业股权质押融资的风险防范提供了理论借鉴.     

基于鞅测度的流动性风险溢价的测算

研究了在一般市场条件下流动性风险的定价问题.首先借助金融数学和金融工程的无套利思想在鞅测度下对市场风险和流动性风险进行定价,通过等价测度变换,使可交易资产的贴现价值过程转化为鞅过程,得到了市场风险和流动性风险的市场价格,进而给出了流动性风险溢价的计算公式.得到的风险的市场价格在同一市场中对于所有可交易资产都是相同的,并且这一价格对于所有投资者也都是相同的,不会因投资者的风险厌恶水平的不同而不同.     

Securitization, structuring and pricing of longevity risk

Pricing and risk management for longevity risk have increasingly become major challenges for life insurers and pension funds around the world. Risk transfer to financial markets, with their major capacity for efficient risk pooling, is an area of significant development for a successful longevity product market. The structuring and pricing of longevity risk using modern securitization methods, common in financial markets, have yet to be successfully implemented for longevity risk management. There are many issues that remain unresolved for ensuring the successful development of a longevity risk market. This paper considers the securitization of longevity risk focusing on the structuring and pricing of a longevity bond using techniques developed for the financial markets, particularly for mortgages and credit risk. A model based on Australian mortality data and calibrated to insurance risk linked market data is used to assess the structure and market consistent pricing of a longevity bond. Age dependence in the securitized risks is shown to be a critical factor in structuring and pricing longevity linked securitizations.     

博弈参与人的偏好对最优反应的影响分析

在现实社会中，每个人都有自己的偏好，因此在博弈过程中，参与人的不同偏好在其选择策略时起着不同的作用。本文运用多目标决策方法研究了总需求不确定情况下具有风险偏好的企业决策者关于一种产品价格博弈模型和均衡，并进一步讨论了参与人具有相同偏好和不同偏好情况下风险厌恶程度、价格对需求影响程度等参数对参与人最优反应的影响。     

盈余过程的马氏性与索赔到达间隔分布为离散型的连续时间风险模型

本文研究广泛的一类连续时间风险模型盈余过程的马氏性,得到了盈余过程成为马氏过程的充分必要条件．首次建立了索赔到达间隔为离散型分布的连续时间风险模型．并对两个基本特例得到了破产概率的准确表达式．     

The one-year non-life insurance risk

A major part of the literature on non-life insurance reserve risk has been devoted to the ultimo risk, the risk in the full run-off of the liabilities. This is in contrast to the short time horizon in internal risk models at insurance companies, and the one-year risk perspective taken in the Solvency II project of the European Community.This paper aims at clarifying the one-year risk concept and describing simulation approaches, in particular for the one-year reserve risk. We also discuss the one-year premium risk and its relation to the premium reserve.Finally, we initiate a discussion on the role of risk margins and discounting for the reserve and premium risk, with focus on the Cost-of-Capital method. We show that risk margins do not affect the reserve risk and show how reserve duration can be used for easy calculation of risk margins. ¹     

Tail Risk of Multivariate Regular Variation

Tail risk refers to the risk associated with extreme values and is often affected by extremal dependence among multivariate extremes. Multivariate tail risk, as measured by a coherent risk measure of tail conditional expectation, is analyzed for multivariate regularly varying distributions. Asymptotic expressions for tail risk are established in terms of the intensity measure that characterizes multivariate regular variation. Tractable bounds for tail risk are derived in terms of the tail dependence function that describes extremal dependence. Various examples involving Archimedean copulas are presented to illustrate the results and quality of the bounds.     

Hedging guarantees in variable annuities under both equity and interest rate risks

Effective hedging strategies for variable annuities are crucial for insurance companies in preventing potentially large losses. We consider discrete hedging of options embedded in guarantees with ratchet features, under both equity (including jump) risk and interest rate risk. Since discrete hedging and the underlying model considered lead to an incomplete market, we compute hedging strategies using local risk minimization. Our results suggest that risk minimization hedging, under a joint model for the underlying and interest rate, leads to effective risk reduction. Moreover, hedging with standard options is superior to hedging with the underlying when both equity and interest rate risks are appropriately modeled.     

再生水补给河流水质风险评价体系研究

对再生水补给河流后水质的风险状况进行分析,参考土壤的生态风险评价体系,构建新的水质风险等级制度,对由再生水补给的河流的水质进行风险管理.仿真结果验证了评价体系的有效性和可信性.新构建的风险评价体系不但反映了某一特定环境下各种污染物对水环境的影响,也反映了水环境中多种污染物的综合效应,并能运用定量方法划分出潜在生态风险程度,可为水质管理提供更好的参考和依据.