产业生命周期视角下的并购期权价值评估方法优化研究

由于并购活动具有期权的特点,其价值常采用Black-Scholes模型计算。但传统的Black-Scholes模型没有考虑产业生命周期对并购期权价值的影响。本文分析了产业生命周期不同阶段并购期权价值的特点,指出期权价值随产业生命周期的不同发展阶段而变化。研究通过采用Gompertz曲线预测模型拟合产业生命周期曲线,并对其作适当变换,推导出了修正系数η_t,对并购期权价值的Black-Scholes评估模型进行了优化。这种优化有助于避免评估过程中的高估风险,从而使并购价值的计算更合理,确保并购决策更具科学性。     

The beta generalized Gompertz distribution

A new five-parameter continuous model called the beta generalized Gompertz distribution is introduced and studied. This distribution contains the Gompertz, generalized Gompertz, beta Gompertz, generalized exponential, beta generalized exponential, exponential and beta exponential distributions as special sub-models. Some mathematical properties of the new model are derived. We show that the density function of the new distribution can be expressed as a linear combination of Gompertz densities. We obtain explicit expressions for the moments, moment generating function, quantile function, density function of the order statistics and their moments, mean deviations, Bonferroni and Lorenz curves and Rényi entropy. The model parameters are estimated by using the maximum likelihood method of estimation and the observed information matrix is determined. Finally, an application to real data set is given to illustrate the usefulness of the proposed model.     

A new weighted Gompertz distribution with applications to reliability data

A new weighted version of the Gompertz distribution is introduced. It is noted that the model represents a mixture of classical Gompertz and second upper record value of Gompertz densities, and using a certain transformation it gives a new version of the two-parameter Lindley distribution. The model can be also regarded as a dual member of the log-Lindley-X family. Various properties of the model are obtained, including hazard rate function, moments, moment generating function, quantile function, skewness, kurtosis, conditional moments, mean deviations, some types of entropy, mean residual lifetime and stochastic orderings. Estimation of the model parameters is justified by the method of maximum likelihood. Two real data sets are used to assess the performance of the model among some classical and recent distributions based on some evaluation goodness-of-fit statistics. As a result, the variance-covariance matrix and the confidence interval of the parameters, and some theoretical measures have been calculated for such data for the proposed model with discussions.     

Trajectory planning based on non-convex global optimization for serial manipulators

To perform specific tasks in dynamic environments, robots are required to rapidly update trajectories according to changing factors. A continuous trajectory planning methodology for serial manipulators based on non-convex global optimization is presented in this paper. First, a kinematic trajectory planning model based on non-convex optimization is constructed to balance motion rapidity and safety. Then, a model transformation method for the non-convex optimization model is presented. In this way, the accurate global solution can be obtained with an iterative solver starting from arbitrary initializations, which can greatly improve the computational accuracy and efficiency. Furthermore, an efficient initialization method for the iterative solver based on multivariable-multiple regression is presented, which further speeds up the solution process. The results show that trajectory planning efficiency is significantly enhanced by model transformation and initialization improvement for the iterative solver. Consequently, real-time continuous trajectory planning for serial manipulators with many degrees of freedom can be achieved, which lays a basis for performing dynamic tasks in complex environments.     

Asymptotically periodic solution and optimal harvesting policy for Gompertz system

In this paper, the single species modelled by (asymptotically) periodic Gompertz equation is investigated. It is shown that the (asymptotically) periodic system has a unique (asymptotically) periodic solution which is globally asymptotically stable for the positive solution. When the nonautonomous Gompertz equation is subject to harvesting, we study the optimal harvesting policy for the periodic system and obtain the corresponding optimal population level and the maximum sustainable yield. Further, when the functions in the exploited Gompertz system are stably bounded functions, we study the ultimately optimal harvesting policy. By choosing the average limiting maximum sustainable yield as management objective, the corresponding optimal population level is determined.     

Nonselective harvesting of a prey-predator fishery with Gompertz law of growth

This paper develops a mathematical model for the nonselective harvesting of a prey-predator system in which both the prey and the predator obey the Gompertz law of growth and some prey avoid predation by hiding. The steady states of the system are determined, and the dynamical behaviour of both species is examined. The possibility of existence of bionomic equilibria is discussed. The optimal harvest policy is formulated and solved as a control problem with the help of Pontryagin's maximal principle. Finally, the results are illustrated with the help of a numerical example.     

Quadratic interval innovation diffusion models for new product sales forecasting

An appropriate sales forecasting method is vital to the success of a business firm. The logistic model and the Gompertz model are usually adopted to forecast the growth trends and the potential market volume of innovative products. All of these models rely on statistics to explain the relationships between dependent and independent variables, and use crisp parameters. However, fuzzy relationships are more appropriate for describing the relationships between dependent and independent variables; these relationships require less data than traditional models to generate reasonable estimates of parameters. Therefore, we have combined fuzzy regression with the logistic and Gompertz models to develop a quadratic-interval Gompertz model and a quadratic-interval logistic model, and we applied the models to three cases. Our practical application of the two models shows that they are appropriate tools that can reveal the best and worst possible sales volume outcomes.     

A health insurance pricing model based on prevalence rates: Application to critical illness insurance

The Italian health insurance market is currently undersized. The paucity of assured data and the discontinuous statistical surveys carried out by the National Institute of Statistics (ISTAT) represent one of the main obstacles to the insurance market development. The paper sets forth a parametric model to estimate technical basis for health insurance policies when data are limited and only aggregated information on mortality and morbidity is available. The probabilistic framework is based on a multiple state continuous and time inhomogeneous Markov model. We provide an estimate of transition intensities from the healthy state to the sickness state when only prevalence rates of sickness are available, according to an extension and modification of the methodology proposed in Olivieri (1996) for Long Term Care insurance. We assume that mortality intensity of both healthy and sick lives is modelled by two independent Gompertz–Makeham models.     

Multiscale cancer modeling: In the line of fast simulation and chemotherapy

Although Multiscale Cancer Modeling has a realistic view in the process of tumor growth, its numerical algorithm is time consuming. Therefore, it is problematic to run and to find the best treatment plan for chemotherapy, even in case of a small size of tissue. Using an artificial neural network, this paper simulates the multiscale cancer model faster than its numerical algorithm. In order to find the best treatment plan, it suggests applying a simpler avascular model called Gompertz. By using these proposed methods, multiscale cancer modeling may be extendable to chemotherapy for a realistic size of tissue.In order to simulate multiscale model, a hierarchical neural network called Nested Hierarchical Self Organizing Map (NHSOM) is used. The basis of the NHSOM is an enhanced version of SOM, with an adaptive vigilance parameter. Corresponding parameter and the overall bottom-up design guarantee the quality of clustering, and the embedded top-down architecture reduces computational complexity.Although by applying NHSOM, the process of simulation runs faster compared with that of the numerical algorithm, it is not possible to check a simple search space. As a result, a set containing the best treatment plans of a simpler model (Gompertz) is used. Additionally, it is assumed in this paper, that the distribution of drug in vessels has a linear relation with the blood flow rate. The technical advantage of this assumption is that by using a simple linear relation, a given diffusion of a drug dosage may be scaled to the desired one.By extracting a proper feature vector from the multiscale model and using NHSOM, applying the scaled-best treatment plans of Gompertz model is done for a small size of tissue. In addition, simulating the effect of stress reduction on normal tissue after chemotherapy is another advantage of using NHSOM, which is a kind of “emergent”.     

Analysis of the Hopf bifurcation for the family of angiogenesis models

In this paper we study a family of models with delays describing the process of angiogenesis, that is a physiological process involving the growth of new blood vessels from pre-existing ones. This family includes the well-known models of tumour angiogenesis proposed by Hahnfeldt et al. and d?Onofrio-Gandolfi and is based on the Gompertz type of the tumour growth. As a consequence we start our analysis from the influence of delay onto the Gompertz model dynamics. The family of models considered in this paper depends on two time delays and a parameter α∈[0,1] which reflects how strongly the vessels dynamics depends on the ratio between tumour and vessels volume. We focus on the analysis of the model in three cases: one of the delays is equal to 0 or both delays are equal, depending on the parameter α. We study the stability switches, the Hopf bifurcation and the stability of arising periodic orbits for different α∈[0,1], especially for α=1 and α=0 which reflects the Hahnfeldt et al. and the d?Onofrio-Gandolfi models. For comparison we use also the value α=1/2.     

Analysis of a stage structured predator–prey Gompertz model with disturbing pulse and delay

In this paper, we introduce a general and robust prey-dependent consumption predator–prey Gompertz model with periodic harvesting for the prey and stage structure for the predator with constant maturation time delay and perform a systematic mathematical and ecological study. Sufficient conditions which guarantee the global attractivity of predator-extinction periodic solution and permanence of the system are obtained. We also prove that constant maturation time delay and impulsive catching or poisoning for the prey can bring great effects on the dynamics of system by numerical analysis. Our results provide reliable tactic basis for the practical pest management.     

Gompertz分布TFR模型多步步进应力加速寿命试验的统计分析

本文给出了Gompertz分布产品的多步步加试验损伤失效率模型下参数的极大似然估计和拟矩估计, 最后通过模拟例子说明本文方法是可行的. 另外, 本文还给出了参数的区间估计.     

具有Holling Ⅲ功能反应和阶段结构的Gompertz生态系统的持久性

以生态学与微分方程的理论和方法为基础,建立了一类具有HollingⅢ功能反应和阶段结构的生态Gompertz模型.利用频闪映射,获得了捕食者灭绝周期解,分析了此周期解的全局吸引性.在对食饵进行脉冲收获和捕食者具有成长期时滞条件下,运用脉冲微分方程比较定理和小振幅扰动技巧,获得了系统一致持续生存的条件.     

Optimal harvesting policies for periodic Gompertz systems

In this paper, we study the periodic Gompertz system with harvesting. First, we analyze the system with continuous harvesting and obtain the maximum annual-sustainable yield, the optimal harvesting effort and the optimal population level for such a system. Then, the harvesting is assumed to occur at fixed moments every year, and we establish the Gompertz system with impulsive perturbation. And we investigate the impulsive harvesting policy to maximize the annual yield and to keep the population sustainable development. At last, the optimal results of the impulsive harvesting system are compared with those of the continuous harvesting system.     

Modelling life tables with advanced ages: An extreme value theory approach

We propose a new model – we call it a smoothed threshold life table (STLT) model – to generate life tables incorporating information on advanced ages. Our method allows a smooth mortality transition from non-extreme to extreme ages, and provides objectively determined highest attained ages with which to close the life table.We proceed by modifying the threshold life table (TLT) model developed by Li et al. (2008). In the TLT model, extreme value theory (EVT) is used to make optimal use of the relatively small number of observations at high ages, while the traditional Gompertz distribution is assumed for earlier ages. Our novel contribution is to constrain the hazard function of the two-part lifetime distribution to be continuous at the changeover point between the Gompertz and EVT models. This simple but far-reaching modification not only guarantees a smooth transition from non-extreme to extreme ages, but also provides a better and more robust fit than the TLT model when applied to a high quality Netherlands dataset. We show that the STLT model also compares favourably with other existing methods, including the Gompertz–Makeham model, logistic models, Heligman–Pollard model and Coale–Kisker method, and that a further generalisation, a time-dependent dynamic smooth threshold life table (DSTLT) model, generally has superior in-sample fitting as well as better out-of-sample forecasting performance, compared, for example, with the Cairns et al. (2006) model.     

On selective harvesting of an inshore–offshore fishery: a bioeconomic model

A bioeconomic model is developed for the selective harvesting of a single species, inshore–offshore fishery, assuming that the growth of the species is governed by the Gompertz law. The dynamical system governing the fishery is studied in depth; the local and global stability of its non-trivial steady state are examined. Existence of a bionomic equilibrium is established under different parametric considerations. The optimal harvest policy is discussed by invoking Pontryagin's Maximum Principle. Lastly, the results are illustrated with the help of a numerical example.     

Rapid and modular prototyping-based Petri nets and distributed simulation for manufacturing systems

This paper presents an approach to simulate and implement by stepwise refinement the whole manufacturing system (MS) by means of distributed simulation. This approach is based on the use of different classes of Petri nets to model different levels of a manufacturing system. Furthermore these classes may match the abstraction levels of a high-level Petri net used to model the MS. Each level can be simulated on a processor or a cluster of processors which can communicate between themselves using a network. The main contribution is to give the opportunity to combine simulation, performance evaluation and emulation. The emulation means that a part of the system can be run in real time while the other part is simulated. Moreover based on the abstraction levels of high-level Petri nets, subsystems can be integrated step-by-step from the design stage to the implementation one, allowing inter-changeability between simulated components and real-time physical systems. This approach is achieved by defining a simulation engine which involves a local simulator, an emulator and an interface to the physical process. Criteria are defined to use an emulator or a local control software for a physical process as a logical process for the conservative distributed simulation.     

Optimising the design of fume extraction hoods using a combination of engineering and CFD modelling

Fume and hygiene hoods are widely used to prevent fugitive emissions from charge ports, tap holes and many other openings in mineral processing and smelting vessels. The highly buoyant nature of the fume combined with often complex geometries make the design of these hoods difficult with traditional engineering tools. However, by combining the traditional engineering approach with computational fluid dynamics (CFD) techniques, a clear understanding of the shortfalls of an existing system can be obtained, and an optimised hood design can be achieved. This paper reports on a combined engineering and CFD analysis of a fume extraction system for a zinc slag fumer charge port. The engineering model revealed that the existing plant components (bag house and fan) were not capable of capturing the required amount of fume, and that the original hood design was flawed. The CFD model was then used to predict the fume capture and emission from the existing hood. CFD model predictions showed that increasing the draft flow rate by an order of magnitude would only give a marginal improvement in fume capture. Using findings of both the models enabled a new fume capture hood to be designed. CFD analysis of the new hood revealed that a significant improvement in fume capture is possible. Construction and installation of the hood has been performed and a 65% reduction in fume emission was achieved, thus significantly mitigating a long-standing emission problem.     

Multi-item spare parts systems with lateral transshipments and waiting time constraints

This paper deals with the analysis of a multi-item, continuous review model of two-location inventory systems for repairable spare parts, used for expensive technical systems with high target availability levels. Lateral and emergency shipments occur in response to stockouts. A continuous review basestock policy is assumed for the inventory control of the spare parts. The objective is to minimize the total costs for inventory holding, lateral transshipments and emergency shipments subject to a target level for the average waiting time per demanded part at each of the two locations. A solution procedure based on Lagrangian relaxation is developed to obtain both a lower bound and an upper bound on the optimal total cost. The upper bound follows from a heuristic solution. An extensive numerical experiment shows an average gap of only 0.31% between the lower and upper bounds. The experiment also gives insights into the relative improvement achieved by applying lateral transshipments and or the system approach. We also apply the proposed model to actual data from an air carrier company.