Stochastic analysis in life office management: applications to large annuity portfolios

The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.     

多心理账户下机构投资者的风险优化研究

从决策有限理性角度，引入行为金融理论于机构投资风险优化系统，对多心理账户条件下机构投资的风险优化设计进行了研究。以Friedman和Savage之谜为释例，对机构投资风险优化中的诸多非标准金融异像进行了解释。以Shefrin和Statman行为证券组合理论为核心，建立了多心理账户条件下机构投资的风险优化模型，为机构投资的风险优化实践提供了一种量化分析工具。     

Calculation of Normal Vibrations of Chlorin by the Method of Density Functionals

Using the DFT/B3LYP method with a 6-31G(d) basis set, the structure, normal vibration frequencies, and the absolute band intensities in the IR spectra of the chlorin molecule and its four symmetric isotopomers have been calculated. Scaling of the force field by the Pulay method in independent and natural coordinates has been carried out. A method for obtaining effective force fields without using experimental data on the fundamental vibration frequencies is proposed. By comparing the vibration modes and constructing special matrices, complete assignment of the fundamental frequencies of porphin and chlorin has been carried out. It has been shown that the majority of porphin macroring vibrations upon pyrrolenine ring hydrogenation are frequency-characteristic and only 12 vibrations change considerably. A frequency correlation with regard for the mode transition between chlorin and all its isotopomers under consideration has been established. Comparative analysis of the force fields of porphin and chlorin in dependent natural coordinates has revealed the unique nonlocal character of the change in force constants of the macroring upon hydrogenation of one pyrrolenine ring. Modeling of the IR spectra of chlorin and its isotopomers has been performed. Assignment and interpretation of the normal vibrations of the molecules under consideration have been carried out.     

Reference values for drag and lift of a two‐dimensional time‐dependent flow around a cylinder

This paper presents a numerical study of a two‐dimensional time‐dependent flow around a cylinder. Its main objective is to provide accurate reference values for the maximal drag and lift coefficient at the cylinder and for the pressure difference between the front and the back of the cylinder at the final time. In addition, the accuracy of these values obtained with different time stepping schemes and different finite element methods is studied. Copyright © 2004 John Wiley & Sons, Ltd.     

Paul阱内的压缩效应与量子跃迁

处理一个一维Ｐａｕｌ阱系统中的压缩现象与量子跃迁现象，对于阱内的最强压缩态和共振跃迁（一种极不稳定状态）之间的关系作了阐述，并对利用压缩性质在阱内进行精密测量的可能性作了讨论     

Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences

Recently, Fishbum and Lavalle (1995) and Lefèvre and Utev (1996) have considered some stochastic order relations specific for arithmetic random variables. The present work is concerned with these orderings, together with two other classes of stochastic order relations closely related. First, attention is paid to characterizations and various properties of all these orderings. Then, sufficient conditions of crossing-type for the two new classes of orderings are derived and extrema among discrete random variables are deduced. This is applied in actuarial sciences to obtain new bounds for the classical single life premiums as well as for the probability of ruin in the compound binomial risk model.     

Field optimized initial state based control of photodissociation

A new scheme for controlling photodissociation through preparation of a variationally optimized linear superposition of field free vibrational eigenstates is applied for selective control of IBr and HI dissociation. The dependence of photodissociation on various field parameters and initial conditions is examined to investigate the mechanistic basis of selective control. The parametric equations of motion approach for determining vibrational dynamics as a function of field parameters without having to solve the time dependent Schrödinger equation explicitly for each field parameter separately is outlined and its use to identify field characteristics which will provide the requisite population mix represented by the optimal linear superposition of vibrational states is advocated.     

Semi-parametric estimation of covariate effects using the positive stable frailty model

Many biological and medical studies have as a response of interest the time to occurrence of some event, such as the occurrence of a particular symptom or disease, remission, relapse, death due to some specific disease, or simply death. In this paper we study the problem of assessing the effect of potential risk factors on the outcome event of interest through a parametric or semi-parametric frailty model where the lifetimes have a reason to be considered dependent. This dependence may arise because of multiple endpoints within the same individual or because, when studying a single endpoint, there are natural groupings between study subjects. The objective of this paper is to extend both parametric and semi-parametric approaches to regression analysis in which the lifetimes of individuals in a group are effected by the same random frailty which follows a positive stable distribution. Some comparisons of the properties of this frailty distribution with other frailty distributions are made and an example which assesses the effect of a treatment in a litter-matched tumorigenesis study is presented.     

证券投资组合的风险与收益

本文利用概率统计原理对证券的投资组合能减轻所遇的风险作了讨论 ,并介绍了如何选择投资组合可使所遇风险达到最小     

Determination of the portfolio selection for a property-liability insurance company

This paper presents an analysis of a portfolio model which can be used to assist a property-liability insurance company in determining the optimal composition of the insurance and investment portfolios. By introducing insurer's threshold risk and relaxing some non-realistic assumptions made in traditional chance constraint insurance and investment portfolio models, we propose a method for an insurer to maximize his return threshold for a given threshold risk level. This proposed model can be used to optimize the composition of underwriting and investment portfolios regarding the insurer's threshold risk level, as well as to generate the efficient frontier by adjusting insurer's threshold risk levels. A numerical example is given based on the industry's aggregated data for a sixteen year period.