索赔额是指数分布的马氏风险模型的破产概率

本文研究了马氏风险模型的破产概率,在索赔额服从指数分布或混合指数分布情形,通过解破产概率所满足的微积方程组,给出了破产概率的解析表达式.     

随机利率及保费的离散风险模型中的破产问题

本文研究了利率、保费均为随机变量的两个离散风险模型.利用递推的方法,得到了有限时间内的破产概率和最终破产概率所满足的积分方程,以及盈余首次穿过给定水平时刻的分布的递推公式,从而可以对保险公司各个破产指标得出数值结论.     

常利率下的Cox模型的破产概率

讨论了常利率下的Cox模型的破产概率 ,分别得到了条件破产概率和最终破产概率所满足的积分方程 .     

常利率下带干扰的Cox模型的破产概率

讨论了常利率下带干扰的Cox模型的破产概率,分别得到了条件破产概率和最终破产概率所满足的微积分方程.     

一类盈余过程的破产概率及其应用

本文给出了复合Poisson盈余过程在其个体理赔量服从两个指数分布的混合 分布时破产概率的显示解,并研究了此情形下破产概率的Lundberg界.作为应用,给出 了一种计算一般复合Poisson盈余过程破产概率的近似方法.     

带利率的更新风险模型的破产概率的上界估计

本研究了在常利率条件下普通更新风险模型的破产概率问题．采用一种递推的方法给出了这种情况下破产概率的一个上界估计．     

带息双二项风险模型的破产问题

本文研究了带随机利率的双二项风险模型的破产问题,得到了描述破产严重程度的破产前盈余分布,破产持续时间分布的递推公式,有限时间破产概率的递推公式及终极破产概率满足的积分方程.     

带干扰变破产限风险模型的破产概率

近年来,许多文献对经典风险模型及推广后的风险模型作了研究,并得出许多有用的结论.一般的文献都是假定保险公司的破产限为零.但在实际的保险业务中,当保险公司的盈余低于某一限度(破产限)时,保险公司就要调整政策或宣布破产.本文研究了带干扰的双Cox风险模型和带干扰的双Poisson风险模型在变破产限下的破产概率,得出了破产概率所满足的不等式,而且研究了当破产限为某一特殊函数时,破产概率所满足的不等式和具体的解析式.     

竞争型二元风险模型破产概率

本文研究了竞争型的二元风险模型,定义了两类破产概率以及状态过程,利用经典风险模型的已有结果和条件期望的性质,得到两类破产概率表达式,以及单个保险公司有限时间破产概率和最终破产概率,并给出两个保险公司的状态过程的概率分布列.     

离散的相依风险模型的破产问题

研究一类索赔时间相依的离散风险模型,模型中假设每次主索赔可能引起一次副索赔,而每次副索赔有可能延迟发生.通过引入辅助模型,运用概率论的分析方法得到了破产前瞬时盈余和破产时赤字联合分布的递推解,以及初始值为0时最终破产概率的明确表达式.最后结合保险实例进行了数值模拟.     

Approximation for Ruin Probability in the Sparre Andersen Model with Interest

We consider the Sparre Andersen model modified by the inclusion of interest on the surplus.Approximation for the ultimate ruin probability is derived by rounding.And upper bound and lower bound arealso derived by rounding-down and rounding-up respectively.According to the upper bound and lower bound,we can easily obtain the error estimation of the approximation.Applications of the results to the compoundPoisson model are given.     

Adaptive and Optimal Point-Wise Estimations for Densities in GARCH-Type Model by Wavelets

This paper considers adaptive point-wise estimations of density functions in GARCH-type model under the local Holder condition by wavelet methods.A point-wise lower bound estimation of that model is first investigated;then we provide a linear wavelet estimate to obtain the optimal convergence rate,which means that the convergence rate coincides with the lower bound.The non-linear wavelet estimator is introduced for adaptivity,although it is nearly-optimal.However,the non-linear wavelet one depends on an upper bound of the smoothness index of unknown functions,we finally discuss a data driven version without any assumptions on the estimated functions.     

带常利率的双Poisson模型的破产概率

本文在保费的收取和理赔都为复合Poisson过程的盈余过程的基础上,考虑盈余产生利息的双Pois-son模型,在保费收取量和理赔量都取整数值时,我们运用转移概率推导出了破产概率的近似计算公式及误差估计式,并且得到了破产概率的一个上界和一个下界.     

On the velocity of separation between two successive traveling waves in the asymptotics of the solution to the Cauchy problem for a Burgers-type equation

An upper bound on the distance between the centers of two successive traveling waves occurring in the asymptotics of the solution to the Cauchy problem for a Burgers-type equation is established under generic conditions. Taking into account a previously established lower bound, an asymptotically sharper estimate is derived.     

Upper bounds on the length of the shortest closed geodesic on simply connected manifolds

The subject of this paper is upper bounds on the length of the shortest closed geodesic on simply connected manifolds with non-trivial second homology group. We will give three estimates. The first estimate will explicitly depend on volume and the upper bound for the sectional curvature; the second estimate will depend on diameter, a positive lower bound for the volume, and on the (possibly negative) lower bound on sectional curvature; the third estimate will depend on diameter, on a (possibly negative) lower bound for the sectional curvature and on a lower bound for the simply-connectedness radius. The technique that we develop in order to obtain the last result will also enable us to estimate the homotopy distance between any two closed curves on compact simply connected manifolds of sectional curvature bounded from below and diameter bounded from above. More precisely, let c be a constant such that any metric ball of radius is simply connected. There exists a homotopy connecting any two closed curves such that the length of the trajectory of the points during this homotopy has an upper bound in terms of the lower bound of the curvature, the upper bound of diameter and c. Received November 10, 1997; in final form June 23, 1998     

A spectral estimate for the Dirac operator on Riemannian flows

We give a new upper bound for the smallest eigenvalues of the Dirac operator on a Riemannian flow carrying transversal Killing spinors. We derive an estimate on both Sasakian and 3-dimensional manifolds, and partially classify those satisfying the limiting case. Finally, we compare our estimate with a lower bound in terms of a natural tensor depending on the eigenspinor.     

Recursive lower and dual upper bounds for Bermudan-style options

Although Bermudan options are routinely priced by simulation and least-squares methods using lower and dual upper bounds, the latter are hardly optimized. In this paper, we optimize recursive upper bounds, which are more tractable than the original/nonrecursive ones, and derive two new results: (1) An upper bound based on (a martingale that depends on) stopping times is independent of the next-stage exercise decision and hence cannot be optimized. Instead, we optimize the recursive lower bound, and use its optimal recursive policy to evaluate the upper bound as well. (2) Less time-intensive upper bounds that are based on a continuation-value function only need this function in the continuation region, where this continuation value is less nonlinear and easier to fit (than in the entire support). In the numerical exercise, both upper bounds improve over state-of-the-art methods (including standard least-squares and pathwise optimization). Specifically, the very small gap between the lower and the upper bounds derived in (1) implies the recursive policy and the associated martingale are near optimal, so that these two specific lower/upper bounds are hard to improve, yet the upper bound is tighter than the lower bound.     

Ricci curvature and betti numbers

We derive a uniform bound for the total betti number of a closed manifold in terms of a Ricci curvature lower bound, a conjugate radius lower bound and a diameter upper bound. The result is based on an angle version of Toponogov comparison estimate for small triangles in a complete manifold with a Ricci curvature lower bound. We also give a uniform estimate on the generators of the fundamental group and prove a fibration theorem in this setting.     

A Lamination Upper Bound to the Free Energy of Shape Memory Alloys

Modeling the energetic behavior of materials showing martensitic phase transformations usually leads to non-convex energy formulations. In a variety of models based on quasi-convex analysis, the Reuß lower bound, which neglects the compatibility constraint for the deformation fluctuations, is used as an estimate for the so-called energy of mixing. We present an upper bound that is on the one hand based on the lamination mixture formula, which gives an estimate of the free energy of two-variant materials and is extended to a specialized n-variant case in our work. On the other hand, we rely on experimentally well established assumptions about the type of microstructure that forms in such alloys. More precisely, we restrict the set of physically admissible microstructures to the subset of second order laminated microstructres consisting of austenite and twinned martensites. We further refine our upper bound by taking into account the notion of twin-compatibility. For the physically relevant examples of 13- and 7-variant Cu-Al-Ni shape memory alloys, striking congruence is obtained in the comparison of the Reuß lower and our upper bound for fixed volume fractions. Furthermore, we show results of global minimization of the energy obtained by each bound over the volume fractions of the variants. Similarities and differences in the energy-minimizing volume fractions are discussed. (© 2006 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

An exponential decay estimate for the stationary axisymmetric perturbation of Poiseuille flow in a circular pipe

We prove a decay estimate for the steady state incompressible Navier-Stokes equations. The estimate describes the exponential decay, in the axial direction of a semi-infinite circular tube, for an energy-type functional in terms of the axisymmetric perturbation of Poiseuille flow, provided that the Reynolds number does not exceed a critical value, for which we exhibit a lower and an upper bound. Since the motion is considered axisymmetric we use a stream function formulation, and the results are similar to those obtained by Horgan [8], for a two-dimensional channel flow problem. For the Stokes problem our estimate for the rate of decay is a lower bound to the actual rate of decay which is obtained from an asymptotic solution to the Stokes equations. Finally we describe a numerical approach to computing bounds to the energy functionalE(0).