Analysis of survivorship life insurance portfolios with stochastic rates of return

A general portfolio of survivorship life insurance contracts is studied in a stochastic rate of return environment with a dependent mortality model. Two methods are used to derive the first two moments of the prospective loss random variable. The first one is based on the individual loss random variables while the second one studies annual stochastic cash flows. The distribution function of the present value of future losses at a given valuation time is derived. For illustrative purposes, an AR(1) process is used to model the stochastic rates of return, and the future lifetimes of a couple are assumed to follow a copula model. The effects of the mortality dependence, the portfolio size and the policy type, as well as the impact of investment strategies on the riskiness of portfolios of survivorship life insurance policies are analyzed by means of moments and probability distributions.     

New results for the Liebau phenomenon via fixed point index

We prove new results regarding the existence of positive solutions for a nonlinear periodic boundary value problem related to the Liebau phenomenon. As a consequence we obtain new sufficient conditions for the existence of a pump in a simple model. Our methodology relies on the use of classical fixed point index. Some examples are provided to illustrate our theory. We improve and complement previous results in the literature.     

Rough path properties for local time of symmetric α stable process

In this paper, we first prove that the local time associated with symmetric $\alpha$-stable processes is of bounded $p$-variation for any $p>\frac{2}{\alpha ?1}$ partly based on Barlow’s estimation of the modulus of the local time of such processes.  The fact that the local time is of bounded $p$-variation for any $p>\frac{2}{\alpha ?1}$ enables us to define the integral of the local time ${\int }_{?\infty }^{\infty }{?}_{?}^{\alpha ?1}f\left(x\right)d_x{L}_t^x$ as a Young integral for less smooth functions being of bounded $q$-variation with $1\le q<\frac{2}{3?\alpha }$. When $q\ge \frac{2}{3?\alpha }$, Young’s integration theory is no longer applicable. However, rough path theory is useful in this case. The main purpose of this paper is to establish a rough path theory for the integration with respect to the local times of symmetric $\alpha$-stable processes for $\frac{2}{3?\alpha }\le q<4$.     

Candidates for nonzero Betti numbers of monomial ideals

Let I be a monomial ideal in the polynomial ring S generated by elements of degree at most d. In this paper, it is shown that, if the i-th syzygy of I has no elements of degrees j,…,j+(d?1) (where j≥i+d), then (i+1)-th syzygy of I does not have any element of degree j+d. Then we give several applications of this result, including an alternative proof for Green–Lazarsfeld index of the edge ideals of graphs as well as an alternative proof for Fröberg’s theorem on classification of square-free monomial ideals generated in degree 2 with linear resolution. Among all, we deduce a partial result on subadditivity of the syzygies for monomial ideals.     

Hochster’s small MCM conjecture for three-dimensional weakly F-split rings

We prove Hochster’s small maximal Cohen–Macaulay conjecture for three-dimensional complete F-pure rings. We deduce this from a more general criterion, and show that only a weakening of the notion of F-purity is needed, to wit, being weakly F-split. We conjecture that any complete ring is weakly F-split.     

Some remarks on Bridgeland’s Hall algebras

We study the functorial properties of Bridgeland’s Hall algebras. Specifically, let 𝒜 and ? be two categories satisfying certain conditions for the definitions of Bridgeland’s Hall algebras, and let F:𝒜→? be a fully faithful exact functor, which preserves projectives, then F induces an embedding of algebras from the Bridgeland’s Hall algebra of 𝒜 to the one of ?. In addition, let A be a finite-dimensional algebra over a finite field and B some special quotient algebra of A, then the Bridgeland’s Hall algebra of B is the quotient algebra of the one of A. Moreover, we consider the BGP-reflection functors on the category of 2-cyclic complexes and obtain some homomorphisms of algebras among the subalgebras of Bridgeland’s Hall algebras.     

A canonical module characterization of Serre’s (R1)

In this short note, we give a characterization of domains satisfying Serre’s condition (R₁) in terms of their canonical modules. In the special case of toric rings, this generalizes a result of the second author [9 Yanagawa, K. (2015). Dualizing complexes of seminormal a?ne semigroup rings and toric face rings. J. Algebra 425:367–391.[Crossref], [Web of Science ®] , [Google Scholar]] where the normality is described in terms of the “shape” of the canonical module.     

0rr－Sommerfeld方程数值解法中的复广义矩阵特征值问题

Ｏｒｒ－Ｓｏｍｍｅｒｆｅｌｄ方程的求解通常可以化为一个复广义矩阵特征值问题ＡＸ＝ωＢＸ。本文用酉变换分别约化Ａ，Ｂ为上Ｈｅｓｓｅｎｂｅｒｇ阵和上三角阵，然后利用Ｍｕｌｌｅｒ求根方法可以求出其全部特征值，其中特征多项式的值由Ｈｙｍａｎ方法给出。当仅需要判断有无不稳定模态时，利用一个简单的矩阵变换将其化为强特征值的求解问题，从而可使用最简单的幂迭代，Ｃｈｅｂｙｓｈｅｖ配置点法算例表明两种算法均快速有效。