共查询到20条相似文献,搜索用时 31 毫秒
1.
Matthias Börger 《Bl?tter der DGVFM》2010,31(2):225-259
In general, the capital requirement under Solvency II is determined as the 99.5% Value-at-Risk of the Available Capital. In the standard model’s longevity risk module, this Value-at-Risk is approximated by the change in Net Asset Value due to a pre-specified longevity shock which assumes a 25% reduction of mortality rates for all ages. We analyze the adequacy of this shock by comparing the resulting capital requirement to the Value-at-Risk based on a stochastic mortality model. This comparison reveals structural shortcomings of the 25% shock and therefore, we propose a modified longevity shock for the Solvency II standard model. We also discuss the properties of different Risk Margin approximations and find that they can yield significantly different values. Moreover, we explain how the Risk Margin may relate to market prices for longevity risk and, based on this relation, we comment on the calibration of the cost of capital rate and make inferences on prices for longevity derivatives. 相似文献
2.
R. Monneau 《Journal of Fourier Analysis and Applications》2009,15(3):279-335
In this paper we are interested in pointwise regularity of solutions to elliptic equations. In a first result, we prove that
if the modulus of mean oscillation of Δu at the origin is Dini (in L
p
average), then the origin is a Lebesgue point of continuity (still in L
p
average) for the second derivatives D
2
u. We extend this pointwise regularity result to the obstacle problem for the Laplace equation with Dini right hand side at
the origin. Under these assumptions, we prove that the solution to the obstacle problem has a Taylor expansion up to the order
2 (in the L
p
average). Moreover we get a quantitative estimate of the error in this Taylor expansion for regular points of the free boundary.
In the case where the right hand side is moreover double Dini at the origin, we also get a quantitative estimate of the error
for singular points of the free boundary.
Our method of proof is based on some decay estimates obtained by contradiction, using blow-up arguments and Liouville Theorems.
In the case of singular points, our method uses moreover a refined monotonicity formula.
相似文献
3.
How to get the timing right. A computational model of the effects of the timing of contacts on team cohesion in demographically diverse teams 总被引:1,自引:0,他引:1
Lau and Murnighan’s faultline theory explains negative effects of demographic diversity on team performance as consequence of strong demographic faultlines. If demographic differences between group members are correlated across various dimensions, the team is likely to show a “subgroup split” that inhibits communication and effective collaboration between team members. Our paper proposes a rigorous formal and computational reconstruction of the theory. Our model integrates four elementary mechanisms of social interaction, homophily, heterophobia, social influence and rejection into a computational representation of the dynamics of both opinions and social relations in the team. Computational experiments demonstrate that the central claims of faultline theory are consistent with the model. We show furthermore that the model highlights a new structural condition that may give managers a handle to temper the negative effects of strong demographic faultlines. We call this condition the timing of contacts. Computational analyses reveal that negative effects of strong faultlines critically depend on who is when brought in contact with whom in the process of social interactions in the team. More specifically, we demonstrate that faultlines have hardly negative effects when teams are initially split into demographically homogeneous subteams that are merged only when a local consensus has developed. 相似文献
4.
The strong normalization theorem is uniformly proved for typed λ-calculi for a wide range of substructural logics with or
without strong negation.
We would like to thank the referees for their valuable comments and suggestions. This research was supported by the Alexander
von Humboldt Foundation. The second author is grateful to
the Foundation for providing excellent working conditions and generous support of this research.
This work was also supported by the Japanese Ministry of Education, Culture, Sports, Science
and Technology, Grant-in-Aid for Young Scientists (B) 20700015, 2008. 相似文献
5.
A. V. Arutyunov D. Y. Karamzin F. L. Pereira 《Journal of Optimization Theory and Applications》2011,149(3):474-493
A maximum principle in the form given by R.V. Gamkrelidze is obtained, although without a priori regularity assumptions to
be satisfied by the optimal trajectory. After its formulation and proof, we propose various regularity concepts that guarantee,
in one sense or another, the nondegeneracy of the maximum principle. Finally, we show how the already known first-order necessary
conditions can be deduced from the proposed theorem. 相似文献
6.
Jarmo Hietarinta Da-jun Zhang 《Journal of Difference Equations and Applications》2013,19(8):1292-1316
Hirota's bilinear method (‘direct method’) has been very effective for constructing soliton solutions to many integrable equations. The construction of one-soliton solution (1SS) and two-soliton solution (2SS) is possible even for non-integrable bilinear equations, but the existence of a generic three-soliton solution (3SS) imposes severe constraints and is in fact equivalent to integrability. This property has been used before in searching for integrable partial differential equations, and in this paper we apply it to two-dimensional (2D) partial difference equations defined on a 3 × 3 stencil. We also discuss how the obtained equations are related to projections and limits of the 3D master equations of Hirota and Miwa, and find that sometimes a singular limit is needed. 相似文献
7.
We provide an explicit formula for the Tornheim double series T(a,0,c) in terms of an integral involving the Hurwitz zeta function. For integer values of the parameters, a=m, c=n, we show that in the most interesting case of even weight N:=m+n the Tornheim sum T(m,0,n) can be expressed in terms of zeta values and the family of integrals
ò01logG(q)Bk(q)\operatornameCll+1(2pq) dq,\int_{0}^{1}\log\Gamma(q)B_{k}(q)\operatorname{Cl}_{l+1}(2\pi q)\,dq,\vspace*{-3pt} 相似文献
8.
Andrea C. G. Mennucci 《Applied Mathematics and Optimization》2011,63(2):191-216
We formulate an Hamilton–Jacobi partial differential equation
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