Dependent interest and transition rates in life insurance

For market consistent life insurance liabilities modelled with a multi-state Markov chain, it is of importance to consider the interest and transition rates as stochastic processes, for example in order to consider hedging possibilities of the risks, and for risk measurement. In the literature, this is usually done with an assumption of independence between the interest and transition rates. In this paper, it is shown how to valuate life insurance liabilities using affine processes for modelling dependent interest and transition rates. This approach leads to the introduction of so-called dependent forward rates. We propose a specific model for surrender modelling, and within this model the dependent forward rates are calculated, and the market value and the Solvency II capital requirement are examined for a simple savings contract.     

一类自治单种群模型及其最优捕获策略

用一种新的方法,讨论了单种群生物资源的捕获优化问题.分别以单位时间最大可持续捕获量和单位时间最大净利润为管理目标,得到一类自治单种群捕获模型的最优捕获策略,所得结果包括了文献中研究过的几乎所有自治单种群捕获模型的相应研究结果.     

Real-time decision support and information gathering system for financial domain

The challenge of the investment domain is that a large amount of diverse information can be potentially relevant to an investment decision, and that, frequently, the decisions have to be made in a timely manner. This presents the potential for better decision support, but poses the challenge of building a decision support agent that gathers information from different sources and incorporates it for timely decision support.These problems motivate us to investigate ways in which the investors can be equipped with a flexible real-time decision support system to be practical in time-critical situations. The flexible real-time decision support system considers a tradeoff between decision quality and computation cost. For this purpose, we propose a system that uses the object oriented Bayesian knowledge base (OOBKB) design to create a decision model at the most suitable level of detail to guide the information gathering activities, and to produce an investment recommendation within a reasonable length of time. The decision models our system uses are implemented as influence diagrams.We validate our system with experiments in a simplified investment domain. The experiments show that our system produces a quality recommendation under different urgency situations. The contribution of our system is that it provides the flexible decision recommendation for an investor under time constraints in a complex environment.     

Individual and group stability in neutral restrictions of hedonic games

We consider a class of coalition formation games called hedonic games, i.e., games in which the utility of a player is completely determined by the coalition that the player belongs to. We first define the class of subset-additive hedonic games and show that they have the same representation power as the class of hedonic games. We then define a restriction of subset-additive hedonic games that we call subset-neutral hedonic games and generalize a result by Bogomolnaia and Jackson (2002) by showing the existence of a Nash stable partition and an individually stable partition in such games. We also consider neutrally anonymous hedonic games and show that they form a subclass of the subset-additive hedonic games. Finally, we show the existence of a core stable partition that is also individually stable in neutrally anonymous hedonic games by exhibiting an algorithm to compute such a partition.     

不含5-圈和相邻4-圈的平面图的线性2-荫度的一个上界

图G的一个边分解是指将G分解成子图G_1,G_2,…,G_m使得E(G)=E(G_1)=∪E(G_2)∪…∪E(G_m),且对于i≠j,E(G_i)∩E(G_j)=?.一个线性k-森林是指每个分支都是长度最多为k的路的图.图G的线性k-荫度la_k(G)是使得G可以边分解为m个线性k-森林的最小整数m.显然,la_1(G)是G的边色数χ'(G); la_∞(G)表示每条分支路是无限长度时的情况,即通常所说的G的线性荫度la(G).利用权转移的方法研究平面图的线性2-荫度la_2(G).设G是不含有5-圈和相邻4-圈的平面图,证明了若G连通且δ(G)≥2,则G包含一条边xy使得d(x)+d(y)≤8或包含一个2-交错圈.根据这一结果得到其线性2-荫度的上界为[△/2]+4.     

Reflections on modern macroeconomics: Can we travel along a safer road?

In this paper we sketch some reflections on the pitfalls and inconsistencies of the research program—currently dominant among the profession—aimed at providing microfoundations to macroeconomics along a Walrasian perspective. We argue that such a methodological approach constitutes an unsatisfactory answer to a well-posed research question, and that alternative promising routes have been long mapped out but only recently explored. In particular, we discuss a recent agent-based, truly non-Walrasian macroeconomic model, and we use it to envisage new challenges for future research.     

Brownian-motion ensembles of random matrix theory: A classification scheme and an integral transform method

We study a class of Brownian-motion ensembles obtained from the general theory of Markovian stochastic processes in random-matrix theory. The ensembles admit a complete classification scheme based on a recent multivariable generalization of classical orthogonal polynomials and are closely related to Hamiltonians of Calogero–Sutherland-type quantum systems. An integral transform is proposed to evaluate the n-point correlation function for a large class of initial distribution functions. Applications of the classification scheme and of the integral transform to concrete physical systems are presented in detail.     

Critical homoclinic orbits lead to snap-back repellers

When nondegenerate homoclinic orbits to an expanding fixed point of a map f:X→X,X⊆Rⁿ, exist, the point is called a snap-back repeller. It is known that the relevance of a snap-back repeller (in its original definition) is due to the fact that it implies the existence of an invariant set on which the map is chaotic. However, when does the first homoclinic orbit appear? When can other homoclinic explosions, i.e., appearance of infinitely many new homoclinic orbits, occur? As noticed by many authors, these problems are still open. In this work we characterize these bifurcations, for any kind of map, smooth or piecewise smooth, continuous or discontinuous, defined in a bounded or unbounded closed set. We define a noncritical homoclinic orbit and a homoclinic orbit of an expanding fixed point is structurally stable iff it is noncritical. That is, only critical homoclinic orbits are responsible for the homoclinic explosions. The possible kinds of critical homoclinic orbits will be also investigated, as well as their dynamic role.