Evaluation and default time for companies with uncertain cash flows

In this study, we propose a modelling framework for evaluating companies financed by random liabilities, such as insurance companies or commercial banks. In this approach, earnings and costs are driven by double exponential jump–diffusion processes and bankruptcy is declared when the income falls below a default threshold, which is proportional to the charges. A change of numeraire, under the Esscher risk neutral measure, is used to reduce the dimension. A closed form expression for the value of equity is obtained in terms of the expected present value operators, with and without disinvestment delay. In both cases, we determine the default threshold that maximizes the shareholder’s equity. Subsequently, the probabilities of default are obtained by inverting the Laplace transform of the bankruptcy time. In numerical applications of the proposed model, we apply a procedure for calibration based on market and accounting data to explain the behaviour of shares for two real-world examples of insurance companies.     

Optimal proportional reinsurance with common shock dependence

In this paper, we consider the optimal proportional reinsurance strategy in a risk model with multiple dependent classes of insurance business, which extends the work of Liang and Yuen (2014) to the case with the reinsurance premium calculated under the expected value principle and to the model with two or more classes of dependent risks. Under the criterion of maximizing the expected exponential utility, closed-form expressions for the optimal strategies and value function are derived not only for the compound Poisson risk model but also for the diffusion approximation risk model. In particular, we find that the optimal reinsurance strategies under the expected value premium principle are very different from those under the variance premium principle in the diffusion risk model. The former depends not only on the safety loading, time and interest rate, but also on the claim size distributions and the counting processes, while the latter depends only on the safety loading, time and interest rate. Finally, numerical examples are presented to show the impact of model parameters on the optimal strategies.     

Syntheses, Crystal Structures and Properties of Two Supramolecules Assembled from Weak Interactions

Two complexes, [Cu2(Htdb)4(H2O)2] (1) and [Cd(bipy)2(Hmcmbc)2] (2) (H2tdb = 2,2-thiodibenzoic acid, H2mcmbc = m-(carboxyl-methyloxy)-benzenecarboxylic acid, bipy = 4,4'-bipyridine), have been prepared, and were characterized by elemental analysis, FT-IR and single-crystal X-ray diffraction. Structures indicate that complex 1 is a single molecule, and 2 is a one-dimensional chain. Their two-and three-dimensional frameworks are constructed through hydrogen bonding, π…π or C–H…π stacking, and such other weak interactions. The cyclic voltametric behavior of complex 1 and luminescence property of complex 2 were investigated. 1 belongs to the triclinic system, space group P with a = 7.8607(6), b = 11.7619(9), c = 15.3481(12) , α = 109.3670(10), β = 92.4420(10), γ = 92.0450(10)°, V = 1335.65(18) 3, Mr = 1256.26, Dc = 1.5619(2) g/cm3, F(000) = 642, μ = 1.029 mm–1, Z = 1, the final R = 0.0289 and wR = 0.0763 for 5199 observed reflections with I > 2σ(I). Complex 2 crystallizes in triclinic, space group P with a = 9.6378(10), b = 9.7508(10), c = 19.055(2) , α = 88.7020(10), β = 80.5260(10), γ = 69.2000(10)o, V = 1649.9(3) 3, Mr = 815.07, Dc = 1.641 g/cm3, μ = 0.732 mm-1, F(000) = 828, Z = 2, the final R = 0.0511 and wR = 0.1149 for 4729 observed reflections (I > 2σ(I)).     

On constant elasticity of substitution – Constant elasticity of transformation Directional Distance Functions

This paper aims to present non-linear CES (Constant Elasticity of Substitution)–CET (Constant Elasticity of Transformation) Directional Distance Functions. These measures inherit the structure of the standard Directional Distance Functions and that of the CES–CET technology. These functions allow non-parametric estimation of efficiency scores through linear programming method. Besides, the CES –CET technology gives the opportunity to explore α-returns to scale assumption for the new distance functions. The duality theory is investigated through pseudo profit, cost and revenue functions. The dual standpoint provides non-linear adjusted prices that can occur into non-linear pricing practices. An application is proposed to give an illustrative example of the primal CES–CET Directional Distance Functions.     

Weighted core–EP inverse of an operator between Hilbert spaces

We introduce and study the weighted core–EP inverse of an operator between two Hilbert spaces as a generalization of the weighted core–EP inverse for a rectangular matrix. Several new properties of weighted core–EP inverses are given and some known results are extended. Using a weighted operator, the core–EP pre-order and the minus partial order of corresponding operators, we define new pre-orders on the set of all Wg–Drazin invertible operators between two Hilbert spaces. As consequences of our results, we present a new characterization and new representations of the core–EP inverse, new characterizations of the core–EP pre-order and extend the core–EP pre-order to a partial order.     

On explicit order 1.5 approximations with varying coefficients: The case of super-linear diffusion coefficients

A conjecture appears in Kumar and Sabanis (2016), in the form of a remark, where it is stated that it is possible to construct, in a specified way, any high order explicit numerical schemes to approximate the solutions of SDEs with superlinear coefficients. We answer this conjecture to the positive for the case of order 1.5 approximations and show that the suggested methodology works. Moreover, we explore the case of having Hölder continuous derivatives for the diffusion coefficients.     

Blow-up and global solutions for a class of time fractional nonlinear reaction–diffusion equation with weakly spatial source

This paper investigates the blow-up of solutions for a time fractional nonlinear reaction–diffusion equation with weakly spatial source. We first derive two sufficient conditions under which the solutions may blow up in finite time. Then, we prove the existence of global solution when the initial data are small enough. Moreover, the long time behavior of bounded solutions will be analyzed.     

Breather and rogue wave solutions for the (2+1)-dimensional nonlinear Schrödinger–Maxwell–Bloch equation

In this paper, we mainly study the (2+1)-dimensional Schrödinger–Maxwell–Blochequation (SMBE). We have constructed the generalized N-fold Darboux transformations (DT), and based on the plane wave solutions, the breather and rogue wave solutions are systematically generated, the dynamical features of those solutions are graphically represented.     

An improvement of the Kolmogorov–Riesz compactness theorem

The purpose of this short note is to provide a new and very short proof of a result by Sudakov (1957), offering an important improvement of the classical result by Kolmogorov–Riesz on compact subsets of Lebesgue spaces.     

Remark on a lower diameter bound for compact shrinking Ricci solitons

In this paper, inspired by Fernández-López and García-Río [11], we shall give a new lower diameter bound for compact non-trivial shrinking Ricci solitons depending on the range of the potential function, as well as on the range of the scalar curvature. Moreover, by using a universal lower diameter bound for compact non-trivial shrinking Ricci solitons by Chu and Hu [7] and by Futaki, Li, and Li [13], we shall provide a new sufficient condition for four-dimensional compact non-trivial shrinking Ricci solitons to satisfy the Hitchin–Thorpe inequality. Furthermore, we shall give a new lower diameter bound for compact self–shrinkers of the mean curvature flow depending on the norm of the mean curvature. We shall also prove a new gap theorem for compact self–shrinkers by showing a necessary and sufficient condition to have constant norm of the mean curvature.