Dynamic investigation of triangles inscribed in a circle,which tend to an equilateral triangle

We present a geometrical investigation of the process of creating an infinite sequence of triangles inscribed in a circle, whose areas, perimeters and lengths of radii of the inscribed circles tend to a limit in a monotonous manner.

First, using geometrical software, we investigate four theorems that represent interesting geometrical properties, after which we present formal proofs that rest on a combination between different fields of mathematics: trigonometry, algebra and geometry, and the use of the concept of standard deviation that is taken from statistics.     

Symmetry and the golden ratio in the analysis of a regular pentagon

The regular pentagon had a symbolic meaning in the Pythagorean and Platonic philosophies and a subsequent important role in Western thought, appearing also in arts and architecture. A property of regular pentagons, which was probably discovered by the Pythagoreans, is that the ratio between the diagonal and the side of these pentagons is equal to the golden ratio. Here, we will study some relations existing between a regular pentagon and this ratio. First, we will focus on the group of fivefold rotational symmetry, to find the position in the complex plane of the vertices of this geometric figure. Then, we will propose an analytic method to solve the same problem based on the Cartesian coordinates, a method where we find the golden ratio without any specific geometric consideration. This study shows a comparison of the use of complex numbers, symmetries and analytic methods, applied to a subject which can be interesting for general education in mathematics. In fact, the proposed approach can convey and link several concepts, requiring only a general pre-college education, showing at the same time the richness that mathematics can offer in solving geometric problems.     

Unit-linked life insurance policies: Optimal hedging in partially observable market models

In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on the market. In particular, we consider an endowment insurance contract, that is a combination of a term insurance policy and a pure endowment, whose final value depends on the trend of a stock market where the premia the policyholder pays are invested. To allow for mutual dependence between the financial and the insurance markets, we use the progressive enlargement of filtration approach. We assume that the stock price process dynamics depends on an exogenous unobservable stochastic factor that also influences the mortality rate of the policyholder. We characterize the optimal hedging strategy in terms of the integrand in the Galtchouk–Kunita–Watanabe decomposition of the insurance claim with respect to the minimal martingale measure and the available information flow. We provide an explicit formula by means of predictable projection of the corresponding hedging strategy under full information with respect to the natural filtration of the risky asset price and the minimal martingale measure. Finally, we discuss applications in a Markovian setting via filtering.     

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.     

The valuation of life contingencies: A symmetrical triangular fuzzy approximation

This paper extends the framework for the valuation of life insurance policies and annuities by Andrés-Sánchez and González-Vila (2012, 2014) in two ways. First we allow various uncertain magnitudes to be estimated by means of fuzzy numbers. This applies not only to interest rates but also to the amounts to be paid out by the insurance company. Second, the use of symmetrical triangular fuzzy numbers allows us to obtain expressions for the pricing of life contingencies and their variability that are closely linked to standard financial and actuarial mathematics. Moreover, they are relatively straightforward to compute and understand from a standard actuarial point of view.     

基于模糊灰色新陈代谢FGM(1,1)模型预测及应用探讨

巷道围岩变形是煤矿开采普遍存在的问题,巷道开挖过程中围岩会出现破裂现象.主要探讨模糊灰色系统的深部巷道围岩变形预测模型及应用,通过分析模糊数学理论、灰色理论,给出模糊灰色系统预测新陈代谢模型.     

城镇职工养老保险随机模型研究

构建了包含个人、企业、政府等市场参与者相互制衡的城镇职工养老保险随机模型,该模型涉及了储蓄、工作期消费、个人养老金账户、工资、退休后消费共5个随机变量;利用ITo引理证明了随机微分方程解的存在性,唯一性,利用2010-2014年中国有关宏观数据,对5个变量进行了动态模拟,并对部分参数变动对模型的影响进行分析,得出了储蓄替代率和人口出生率与两期消费正相关,两者的小范围变动不会影响两期消费的趋势等结论.     

车险费率厘定精算技术的研究与应用评述

精算技术为中国车险市场费率改革提供必要支持,可以确保费率厘定的科学性与合理性。首先,本文系统梳理了车险分类风险费率厘定精算统计模型的发展历程,并回顾参数估计方法。其次,论述了车险个体风险费率厘定的精算模型与方法,并重点评述了信度理论与奖惩系统的研究。进而,归纳出车险费率厘定精算统计模型的研究热点与发展方向。最后,指明现有研究对中国车险费率厘定精算方法的启示,并提出相关建议。     

A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time‐dependent parameters

In a fairly recent paper (2008 American Control Conference, June 11‐13, 1035‐1039), the problem of dealing with trading in optimal pairs was treated from the viewpoint of stochastic control. The analysis of the subsequent nonlinear evolution partial differential equation was based upon a succession of Ansätze, which can lead to a solution of the terminal‐value problem. Through an application of the Lie Theory of Continuous Groups to this equation, we show that the Ansätze are based upon the underlying symmetries of the equation (their (14)). We solve the problem in a more general context by allowing the parameters to be explicitly time dependent. The extension means thatmore realistic problems are amenable to the samemode of solution. Copyright © 2014 JohnWiley & Sons, Ltd.     

非确定结构系统区间分析的泛灰求解方法

工程中的不确定性问题可以用区间分析、概率理论或模糊理论来求解。采用泛灰区间分析法来处理结构静力分析和设计中的不确定性问题。将结构系统中的不确定性参数用区间数来表示，用有限元法建立系统的控制方程。该控制方程是线性区间方程组。然后，在概述泛灰数的概念及其运算规则的基础上，介绍了泛灰数与区间数的转化，利用泛灰数的可扩展性对区间进行分析，研究了泛灰线性方程求解，然后将它应用于结构静力分析和设计中的不确定性问题，泛灰数不仅具有区间分析的功能，而且能解决区间分析所不能解决的问题。文中给出了两个算例，列出了本文算法与其他算法的结果比较。