Copula界在多元VaR中的应用

首先介绍了多元随机变量和的边界,以及由此导出的VaR边界,然后全面总结了有关Copula下界的公式,而Copula下界及其对偶函数分别构成计算VaR边界的依据.最后根据VaR边界的数值算法,针对不同的Copula下界,分多种情景详细分析了VaR的边界范围.关于上证指数和深成指数收益率序列的实证分析发现.Spearman相关系数和正象限相依对VaR界的收窄作用最强.     

Coset bounds for algebraic geometric codes

We develop new coset bounds for algebraic geometric codes. The bounds have a natural interpretation as an adversary threshold for algebraic geometric secret sharing schemes and lead to improved bounds for the minimum distance of an AG code. Our bounds improve both floor bounds and order bounds and provide for the first time a connection between the two types of bounds.     

Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model

We obtain lower and upper bounds for the severity of ruin in the renewal (Sparre Andersen) model of risk theory. We present two types of bounds: (i) bounds applicable generally; and (ii) exponential bounds for the case where the adjustment coefficient of the risk process exists. Many of these bounds are obtained using existing bounds and the integral equation for the severity of ruin.     

On the frame bounds of iterated filter banks

We investigate the frame bounds of iterated non-perfect reconstruction filter banks. We provide frame bounds valid for iterated FBs with an arbitrary number of stages using the frame bounds of the underlying frame on the real line. Conversely, given the frame bounds of the iterated FB, we derive bounds for the underlying wavelet frame.     

Tail bounds for the joint distribution of the surplus prior to and at ruin

For the classical risk model with Poisson arrivals, we study the (bivariate) tail of the joint distribution of the surplus prior to and at ruin. We obtain some exact expressions and new bounds for this tail, and we suggest three numerical methods that may yield upper and lower bounds for it. As a by-product of the analysis, we obtain new upper and lower bounds for the probability and severity of ruin. Many of the bounds in the present paper improve and generalise corresponding bounds that have appeared earlier. For the numerical bounds, their performance is also compared against bounds available in the literature.     

Error bounds for stochastic shortest path problems

For stochastic shortest path problems, error bounds for value iteration due to Bertsekas elegantly generalize the classic MacQueen–Porteus error bounds for discounted infinite-horizon Markov decision problems, but incur prohibitive computational overhead. We derive bounds on these error bounds that can be computed with little or no overhead, making them useful in practice—especially so, since easily-computed error bounds have not previously been available for this class of problems.     

Evaluating Improvements for Spacings of Order Statistics

We evaluate sharp upper bounds for the consecutive spacings of order statistics from an i.i.d. sample, measured in scale units generated by various central absolute moments of the parent distribution. The bounds are based on the projection method combined with the Hölder inequalities. We characterize the probability distributions for which the bounds are attained. We also evaluate the so obtained bounds numerically and compare them with other existing bounds.     

Bounds for separating hash families

This paper aims to present new upper bounds on the size of separating hash families. These bounds improve previously known bounds for separating hash families.     

Bounds and perturbation bounds for the matrix exponential

Some new types of bounds and perturbation bounds, based on the Jordan normal form, for the matrix exponential are derived. These bounds are compared to known bounds, both theoretically and by numerical examples. Some recent results on the matrix exponential and the logarithmic norm are also included.     

New permanental bounds for Ferrers matrices

We survey the most recent results on permanental bounds of a nonnegative matrix. Some older bounds are revisited as well. Applying refinements of the arithmetic mean-geometric mean inequality leads to sharp bounds for the permanent of a fully indecomposable Ferrers matrix. In the end, several relevant examples comparing the bounds are discussed.     

Lower bounds for the zeros of analytic functions

Summary In the present work the problem of finding lower bounds for the zeros of an analytic function is reduced by a Hilbert space technique to the well-known problem of finding upper bounds for the zeros of a polynomial. Several lower bounds for all the zeros of analytic functions are thus found, which are always better than the well-known Carmichael-Mason inequality. Several numerical examples are also given and a comparison of our bounds with well-known bounds in literature and/or the exact solution is made.     

Bounds on the largest root of the matching polynomial

We use properties of the dependence polynomial to prove several new bounds on the largest root of the matching polynomial. These bounds are compared with earlier bounds.     

Sharp bounds on the volume fractions of two materials in a two-dimensional body from electrical boundary measurements: the translation method

We deal with the problem of estimating the volume of inclusions using a small number of boundary measurements in electrical impedance tomography. We derive upper and lower bounds on the volume fractions of inclusions, or more generally two phase mixtures, using two boundary measurements in two dimensions. These bounds are optimal in the sense that they are attained by certain configurations with some boundary data. We derive the bounds using the translation method which uses classical variational principles with a null Lagrangian. We then obtain necessary conditions for the bounds to be attained and prove that these bounds are attained by inclusions inside which the field is uniform. When special boundary conditions are imposed the bounds reduce to those obtained by Milton and these in turn are shown here to reduce to those of Capdeboscq–Vogelius in the limit when the volume fraction tends to zero. The bounds of this article, and those of Milton, work for inclusions of arbitrary volume fractions. We then perform some numerical experiments to demonstrate how good these bounds are.     

Simple bounds and monotonicity results for finite multi-server exponential tandem queues

Simple and computationally attractive lower and upper bounds are presented for the call congestion such as those representing multi-server loss or delay stations. Numerical computations indicate a potential usefulness of the bounds for quick engineering purposes. The bounds correspond to product-form modifications and are intuitively appealing. A formal proof of the bounds and related monotonicity results will be presented. The technique of this proof, which is based on Markov reward theory, is of interest in itself and seems promising for further application. The extension to the non-exponential case is discussed. For multiserver loss stations the bounds are argued to be insensitive.     

Sharp Bounds for Symmetric and Asymmetric Diophantine Approximation

In 2004, Tong found bounds for the approximation quality of a regular continued fraction convergent to a rational number, expressed in bounds for both the previous and next approximation. The authors sharpen his results with a geometric method and give both sharp upper and lower bounds. The asymptotic frequencies that these bounds occur are also calculated.     

关于矩阵多项式特征值界的注记

本文讨论矩阵多项式特征值定域问题.首先对Higham和Tisseur[Linear Algebra Appl.,358(2003),5-22]得到的结果给出较详细的比较.然后利用分块矩阵谱半径的估计给出了获取特征值界的一种新办法.利用这种新办法,不但可以简明地得出很多已有的界,且对椭圆及双曲矩阵多项式得出了特征值的新的界.     

Some improvements for two-sided bounds on the inverse of diagonally dominant tridiagonal matrices

In this paper, we obtain lower and upper bounds for the entries of the inverses of diagonally dominant tridiagonal matrices. First of all we derive the bounds for off-diagonal elements of the inverse as a function of the diagonal ones, then we improve the two-sided bounds for the diagonal entries obtaining sharper lower and upper bounds for all the elements of the inverse.     

Approximation in variationally posed eigenvalue problems

Summary In this paper bounds are established for the error in Ritz-Galerkin approximation of variationally posed eigenvalue problems. For the most part these bounds are upper bounds, but lower bounds for the error are established for certain selfadjoint problems.The results in this paper form part of a Ph.D. thesis written at the University of Maryland under the direction of Professor John. E. Osborn     

Bounds for the expectation of linear combinations of order statistics with application to pert networks

The bounds derived by Arnold and Groeneveld [l] for the expectation of linear combinations of order statistics are slightly extended, and this allows us to deduce directly as particular cases the upper bounds obtained by Aven [2] for the expectation of the maximum of a number of random variables. These latter bounds are then used to construct simple explicit upper bounds for the mean completion time in Pert networks     

Two-machine flow shop scheduling problems with minimal and maximal delays

In this paper, we show lower bounds and upper bounds for the F2/max delay/Cmax problem. These bounds allow us to build a branch-and-bound procedure. Computational experiments reveal that these bounds and the associated branch-and-bound procedure are efficient. Received: May 2004 / Revised version: February 2005 AMS classification: 90B35, 90C57