逆Weibull分布随机变量的随机比较(英文)

研究了两个相互独立的逆Weibull分布随机变量间的随机序,似然比序,危险率序以及凸序之间的相互关系,给出了两个相互独立但不同分布的随机变量满足各种随机序时其分布所含参数间的相应关系.也给出了两组相互独立但不同分布的随机变量极值间在一般随机序下的大小关系.     

逆Weibull分布随机变量的随机比较

研究了两个相互独立的逆Weibull分布随机变量间的随机序,似然比序,危险率序以及凸序之间的相互关系,给出了两个相互独立但不同分布的随机变量满足各种随机序时其分布所含参数间的相应关系．也给出了两组相互独立但不同分布的随机变量极值间在一般随机序下的大小关系．     

Ⅰ型极值分布随机变量的随机比较

研究了两个相互独立的Ⅰ型极大值分布随机变量间的随机序,似然比序,危险率序及凸序之间的相互关系,给出了两个相互独立但不同分布的随机变量满足各种随机序时其分布所含参数间的相应关系．文中也给出了两组相互独立但不同分布的随机变量极值间在一般随机序下的大小关系．     

Ⅰ型极值分布随机变量的随机比较(英文)

研究了两个相互独立的Ⅰ型极大值分布随机变量间的随机序,似然比序,危险率序及凸序之间的相互关系,给出了两个相互独立但不同分布的随机变量满足各种随机序时其分布所含参数间的相应关系.文中也给出了两组相互独立但不同分布的随机变量极值间在一般随机序下的大小关系.     

对Geo/Geo/1抢占优先权排队平稳队长的分析

讨论了Geo/Geo/1抢占优先权排队模型,该模型可以用一个具有可数位相的拟生灭(QBD)过程来描述.对该过程,首先给出率算子以及联合平稳分布的结果.在此基础上,进一步得到了平稳状态时低优先权顾客数分布的概率母函数,并证明低优先权顾客数可以分解为两个相互独立的随机变量之和.     

离散椭球分布下两阶段WCVaR风险利润优化模型及应用

本文研究随机变量非完全分布下的两阶段风险-利润优化问题。采用最坏情况下条件风险(Worst-case Conditional Value-at-Risk:WCVaR) 度量指标,在离散椭球分布下建立了两阶段WCVaR 约束下利润期望最大优化模型,运用优化对偶方法将复杂的Max-Min 结构化简,理论上证明了简化模型和原模型的同解性,以发电商电能分配组合优化为数值实例,验证了模型和计算方法的有效性。     

异步休假M／M／C排队的稳态理论

本文研究异步休假的M／M／c排队,对多重休假和单重休假两类模型给出了统一的处理,得到了稳态队长,等等时间分布,提出了条件的随机分解的概念,证明服务台全忙条件下系统中排队顾客数和等待时间均可分解为两个独立随机变量之和,其中一个是经典无休假系统中对应的条件随机变量。     

L族END的多元部分和的精确大偏差下界

从保险的实际出发,研究服从长尾分布族(L族)上的多元风险模型中随机变量序列的部分和的精确大偏差,其中假设随机变量序列是一列延拓负相依(END)的、同分布的随机变量序列,利用基于求L族的精确大偏差的方法得到了随机变量部分和的渐近下界.     

随机变量序列两种收敛性的一个注记

随机变量序列的依概率收敛必有依分布收敛,反之未必成立.若极限随机变量服从退化分布,则两种收敛等价.自然地,若这两种收敛等价,是否有极限随机变量服从退化分布?给予该问题肯定的回答.     

基于失效分析的独立均匀随机变量和的分布及应用初探

数学模型是基于材料失效分析提出来的,同时结合了BS模型的方法理论背景.材料样品在周期性应力作用下,主因裂纹的扩大量是一个随机变量.对于均匀材料,主因裂纹的扩大量可看作是均匀随机变量与一个大于零的实数的乘积,材料主因裂纹的总的扩大量可表示为这些独立均匀随机变量的和,或称为加权随机和.实际上,本文给出一类新的随机模型及其概率分布函数,并初步讨论了该模型分布的一些基本特征,通过数值模拟还讨论了其独特的分布特征,如与正态分布的关系与区别,以及该模型分布收敛于正态分布的速度等.这些工作可为材料失效分析提供新的模型与方法.     

Robust portfolio optimization with copulas

Conditional Value at Risk (CVaR) is widely used in portfolio optimization as a measure of risk. CVaR is clearly dependent on the underlying probability distribution of the portfolio. We show how copulas can be introduced to any problem that involves distributions and how they can provide solutions for the modeling of the portfolio. We use this to provide the copula formulation of the CVaR of a portfolio. Given the critical dependence of CVaR on the underlying distribution, we use a robust framework to extend our approach to Worst Case CVaR (WCVaR). WCVaR is achieved through the use of rival copulas. These rival copulas have the advantage of exploiting a variety of dependence structures, symmetric and not. We compare our model against two other models, Gaussian CVaR and Worst Case Markowitz. Our empirical analysis shows that WCVaR can asses the risk more adequately than the two competitive models during periods of crisis.     

鲁棒均值-CVaR投资组合模型及实证:基于安全准则的视角

考虑证券市场的不确定性,将资产的收益率看成区间随机变量。利用鲁棒优化方法,构建鲁棒均值-CVaR投资组合模型。采用对偶理论,将鲁棒均值-CVaR投资组合模型转换为线性规划问题,降低了模型的求解难度,有助于计算大规模的资产组合。进一步地,考虑投资者的安全性需求,在模型中引入最大违反概率,控制模型的保守程度,并直观反映投资者的安全性要求。采用实证的方法,研究模型的有效性。结果表明:鲁棒均值-CVaR投资组合模型具有较好的稳健性,且满足投资者的安全性要求,在实际的投资决策中具有可行性。     

An Oligopolistic Investment Model of the Finnish Electricity Market

The investment problem faced by producers in deregulated electricity markets contains high uncertainties about the future. It can also be seen as a game, as only a small number of large players act in the market. A dynamic stochastic oligopoly model to describe the production and investment in such a situation is developed and applied to the Finnish electricity market. The demand growth rate is modeled as a stochastic variable. The strategies of the firms consist of investments and production levels for base and peak load periods. The firms have nuclear, hydro and thermal capacities, but are only allowed to invest in new thermal capacity. Using a so-called sample-path adapted open-loop information structure, the model contributes to the understanding of the dynamics of production, investment and market power in a medium time horizon. The solution method uses recent developments in variational inequality and mixed complementarity problem formulations.     

多损失WCVaR模型的等价性定理

研究了多概率分布簇下的多损失下的WCVaR(Multi Worst Conditional Value-at-Risk)模型等价性定理, 根据概率分布簇的VaR测度值, 定义了多损失下的WCVaR风险测度值和对应的多目标优化模型(MWCVaR), 证明了多目标优化模型(MWCVaR)等价另一个多目标优化模型求解. 对于有限分布簇情形, 在一定条件下, 证明了用有限个分布簇就可以近似计算多损失(MWCVaR)优化模型.     

Capital Accumulation and Embodied Technological Progress

This paper combines technology adoption with capital accumulation taking into account technological progress. We model this as a multi-stage optimal control problem and solve it using the corresponding maximum principle. The model with linear revenue can be solved analytically, while the model with market power is solved numerically. We obtain that investment jumps upwards right at the moment that a new technology is adopted. We find that, if the firm has market power, the firm cuts down on investment before a new technology is adopted. Furthermore, we find that larger firms adopt a new technology later.     

下层独立的一主多从双层随机线性规划问题研究

Herminia I.Calvete等研究了一主多从双层确定性线性规划问题,证明了这类问题等价于一类常规的双层线性规划问题.本文在此基础上,推广确定型的问题到随机型优化情况,考虑了一类下层优化相互独立的一主多从双层随机优化问题(SLBMFP).在特定的随机变量分布条件下,理论上证明了该类问题可以转化为一主一从双层确定性优化问题.本文的研究对于求解一主多从双层随机优化模型,解决此类模型在实际应用中的问题具有一定的意义.     

Forecasting the Development of the Market for Business Telephones in the UK

The problem of producing medium- to long-term forecasts of the market for business telephones is examined. Growth curves are generally appropriate for forecasting developing markets. However, this market is particularly sensitive to the state of business confidence and the feasibility of incorporating explanatory economic variables into the forecasting model is investigated. Three different model types are compared: growth curves with a fixed saturation level, multivariate linear models and growth curves with saturation levels determined by explanatory variables. The initial promise of models using explanatory variables is considerably diminished, once forecast rather than actual values of these variables are used. The market development model implicit in the growth curve is shown to be more robust than the linear model. Although the variable saturation level growth curve grants more insight into the maturity of the market, it does not produce significantly better forecasts than that with the fixed saturation level.     

Forecasting model with asymmetric market response and its application to pricing of consumer package goods

This paper presents a dynamic forecasting model that accommodates asymmetric market responses to marketing mix variable—price promotion—by threshold models. As a threshold variable to generate a mechanism for different market responses, we use the counterpart to the concept of a price threshold applied to a representative consumer in a store. A Bayesian approach is taken for statistical modelling because of advantages that it offers over estimation and forecasting. The proposed model incorporates the lagged effects of a price variable. Thereby, myriad pricing strategies can be implemented in the time horizon. Their effectiveness can be evaluated using the predictive density. We intend to improve the forecasting performance over conventional linear time series models. Furthermore, we discuss efficient dynamic pricing in a store using strategic simulations under some scenarios suggested by an estimated structure of the models. Empirical studies illustrate the superior forecasting performance of our model against conventional linear models in terms of the root mean square error of the forecasts. Useful information for dynamic pricing is derived from its structural parameter estimates. This paper develops a dynamic forecasting model that accommodates asymmetric market responses to marketing mix variable—price promotion—by the threshold models. Copyright © 2005 John Wiley & Sons, Ltd.