Gompertz zero-inflated cure rate regression models applied to credit risk data

In the financial market, it is important to consider that there is a proportion of customers that have settled their debt in time zero, immediately recovering their ability to pay. In this context, in this paper, we propose a survival analysis methodology that allows the insertion of times equal to zero in scenarios where credit risk is observed. The proposed model addresses the survival analysis model of the zero-inflated cure rate which incorporates the heterogeneity of three subgroups (individuals having events in the initial time, and individuals not susceptible and susceptible to the event). In our proposal, all available survival data of customers are modeled considering that the number of competitive causes follows a Poisson distribution and the baseline risk function follows a Gompertz distribution. The model parameter estimation is obtained by the maximum likelihood estimation procedure and simulation studies are conducted to evaluate the estimators' performance. The studied methodology will be applied to a credit database provided by a financial institution in Brazil.     

Multivariate dynamic modeling for Bayesian forecasting of business revenue

Forecasting enterprise-wide revenue is critical to many companies and presents several challenges and opportunities for significant business impact. This case study is based on model developments to address these challenges for forecasting in a large-scale retail company. Focused on multivariate revenue forecasting across collections of supermarkets and product categories, hierarchical dynamic models are natural: these are able to couple revenue streams in an integrated forecasting model, while allowing conditional decoupling to enable relevant and sensitive analysis together with scalable computation. Structured models exploit multi-scale modeling to cascade information on price and promotion activities as predictors relevant across categories and groups of stores. With a context-relevant focus on forecasting revenue 12 weeks ahead, the study highlights product categories that benefit from multi-scale information, defines insights into when, how, and why multivariate models improve forecast accuracy, and shows how cross-category dependencies can relate to promotion decisions in one category impacting others. Bayesian modeling developments underlying the case study are accessible in custom code for interested readers.     

A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap

A hyperbolic function is introduced to reflect the attenuation effect of one firm's default to its partner.If two firms are competitors(copartners),the default inten- sity of one firm will decrease(increase)abruptly when the other firm defaults.As time goes on,the impact will decrease gradually until extinct.In this model,the joint distri- bution and marginal distributions of default times are derived by employing the change of measure,and the fair swap premium of a credit default swap(CDS)can be valued.     

基于实测荷载的铁路钢桁梁桥疲劳可靠性评估

为了对钢桁梁桥疲劳进行评估,引入可靠性理论,提出了基于实测荷载的桥梁疲劳可靠性评估方法。根据某铁路钢桁梁桥实测车辆荷载数据,建立了随机车辆荷载模型。并在考虑车辆荷载随机性的基础上,结合Monte-Carlo法与有限元,分析了钢桁梁桥构件疲劳应力谱,计算了构件疲劳可靠性随时间的变化,并探讨了车辆荷载及荷载效应变异性对构件疲劳可靠性的影响,最后采用β约界法与静力分析法对钢桁梁桥系统疲劳可靠性进行了研究。结果表明,基于随机车辆荷载的构件疲劳应力谱呈现单峰分布;构件疲劳可靠性随运营时间的增加而减小;车辆荷载的增长及荷载效应变异性的增加对构件疲劳可靠性影响较大,当车辆荷载增长率和等效应力变异系数分别增加到5%时,构件疲劳寿命大幅减小;β约界法结合静力分析法可快速确定钢桁梁桥失效模式,桥梁系统疲劳寿命小于构件疲劳寿命。总的来看,基于实测荷载的钢桁梁桥疲劳可靠性评估方法能有效地利用监测数据,对桥梁疲劳评估具有良好的适用性。     

Defect assessment procedure based on ductile tearing process

Strain hardening, crack growth resistance and nonuniform load distribution have significant effects on the ductile tearing process. A defect assessment procedure incorporating with the above features is proposed in the present paper, with the final appearance of “design curves” to facilitate engineering applications.     

青海哈那里滑坡稳定性研究

通过对哈那里滑坡工程地质勘察,查明了该滑坡由9个滑坡体共同组成,研究了各滑坡体的性质、特征和分类。在此基础上,按稳定性系数对哈那里滑坡稳定性进行了评价。     

泥石流风险及沟谷泥石流风险度评价

风险一词虽然已经广泛被科学家和经济学家所使用 ,但涉及到自然灾害的风险研究则还是 2 0世纪 80年代中后期的事。国内有关泥石流风险的探讨 ,更是 2 0世纪 90年代才初见端倪。国际上 ,泥石流风险评价至今仍然是前沿探索性领域和新兴的研究课题。基于联合国对自然灾害风险的定义及其定量表达 ,本文给出了泥石流“风险度 =危险度×易损度”这一数学命题的近似解。讨论了风险分级和不同风险等级的分布概率以及风险指南。以云南东川因民矿区黑山沟泥石流为例 ,对单沟泥石流风险度评价模型进行了示范应用     

Fatigue criteria for integrity assessment of long-span steel bridge with health monitoring

A structural health assessment (SHA) methodology is developed using data acquired from structural health monitoring (SHM) system installed on long-span bridges. A set of fatigue criteria has been proposed for pre-determining the global state of the bridge structure failure due to fatigue. This involves finding the threshold of fatigue initiation, below which the rate of fatigue damage may be undetectable under current technology or it is economically unfeasible. The state-of-art for large structures corresponds to the initiation of macro-cracks caused by the accumulation of damage generated by actual service loads for the case of bridges. In what follows, consideration is given to developing fatigue crack growth criterion based on the concept of the continuum damage mechanics (CDM). Fatigue accumulative is included in the model where a fatigue limit for multi-axial stress state is considered. The proposed criterion advocates the evolution of micro-crack growth up to the stage of macro-crack formulation. Considered are the loading histories that correspond to normal traffic loading for highways and railways, incidental or accident loadings such as those caused by typhoons and effective environmental loadings. The potential sites of damage are determined are discussed. The proposed criterion is applied to analyze the fatigue damage of the Tsing Ma Bridge with online strain history data acquired by the SHM system that is permanently installed in the bridge.     

套管磨损三维表面形貌恢复及其机理分析

在DCWT-1000型套管摩擦磨损试验机上进行了套管摩擦磨损试验,研究深井、超深井中"冲击-滑动"复合磨损对套管磨损行为的影响,采用三维表面形貌测试仪、光学显微镜及扫描电子显微镜观察分析了在不同载荷条件下套管磨损表面的微观结构和表面形貌,在此基础上对套管磨损表面进行了三维恢复并计算套管磨损表面的主要形貌参数,探讨了套管磨损表面的磨损机理.结果表明:套管的磨损性能与载荷有关;在不同载荷条件下,套管磨损表面的三维形貌具有不同特点,且主要的表面形貌参数与载荷呈现出较好的相关性,证明了三维形貌分析方法能够真实反映套管磨损表面的情况;当冲击载荷和频率不大时,套管的磨损机制以磨粒磨损为主,兼有粘着磨损,随着冲击载荷和频率增加,套管磨损表面出现明显粘着剥落和疲劳剥落迹象,并出现疲劳裂纹扩展和连通,套管的磨损机制向粘着磨损和疲劳磨损转化,磨损趋向严重.     

Enantioselective comprehensive two‐dimensional gas chromatography. A route to elucidate the authenticity and origin of Rosa damascena Miller essential oils

The analysis of Bulgarian and Turkish Rosa damascena Miller essential oils was performed by flow‐modulated comprehensive two‐dimensional gas chromatography using simultaneous detection of the second column effluent by flame ionization and quadrupole mass spectrometric detection. Enantioselective separations were obtained by running the samples on 2,3‐di‐O‐ethyl‐6‐O‐tert‐butyldimethylsilyl‐β‐cyclodextrin column as the first column and on polyethylene glycol as the second column. The determination of enantiomeric or diastereomeric excess of some terpenoic solutes is a possible route for quality or authenticity control as well as for the elucidation of the country of origin.