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.     

Calorimeter energy calibration using the energy conservation law

A new calorimeter energy calibration method was developed for the proposed ILC detectors. The method uses the center-of-mass energy of the accelerator as the reference. It has been shown that using the energy conservation law it is possible to make ECAL and HCAL cross calibration to reach a good energy resolution for the simple calorimeter energy sum.      

A possibility of parallel and anti-parallel diffraction measurements on neutron diffractometer employing bent perfect crystal monochromator at the monochromatic focusing condition

In a conventional diffractometer having single monochromator, only one position, parallel position, is used for the diffraction experiment (i.e. detection) because the resolution property of the other one, anti-parallel position, is very poor. However, a bent perfect crystal (BPC) monochromator at monochromatic focusing condition can provide a quite flat and equal resolution property at both parallel and anti-parallel positions and thus one can have a chance to use both sides for the diffraction experiment. From the data of the FWHM and the Δd/d measured on three diffraction geometries (symmetric, asymmetric compression and asymmetric expansion), we can conclude that the simultaneous diffraction measurement in both parallel and anti-parallel positions can be achieved.     

Electricity price forecasting through transfer function models

Forecasting electricity prices in presentday competitive electricity markets is a must for both producers and consumers because both need price estimates to develop their respective market bidding strategies. This paper proposes a transfer function model to predict electricity prices based on both past electricity prices and demands, and discuss the rationale to build it. The importance of electricity demand information is assessed. Appropriate metrics to appraise prediction quality are identified and used. Realistic and extensive simulations based on data from the PJM Interconnection for year 2003 are conducted. The proposed model is compared with naïve and other techniques.     

On deformations of Hamiltonian actions

In this paper we generalize to coisotropic actions of compact Lie groups a theorem of Guillemin on deformations of Hamiltonian structures on compact symplectic manifolds. We show how one can reconstruct from the moment polytope the symplectic form on the manifold. Received: 21 March 2006     

Commutative idempotent residuated lattices

We investigate the variety of residuated lattices with a commutative and idempotent monoid reduct.     

On potentially <Emphasis Type="Italic">H</Emphasis>-graphic sequences

For given a graph H, a graphic sequence π = (d ₁, d ₂,..., d _n) is said to be potentially H-graphic if there is a realization of π containing H as a subgraph. In this paper, we characterize the potentially (K ₅ − e)-positive graphic sequences and give two simple necessary and sufficient conditions for a positive graphic sequence π to be potentially K ₅-graphic, where K _r is a complete graph on r vertices and K _r-e is a graph obtained from K _r by deleting one edge. Moreover, we also give a simple necessary and sufficient condition for a positive graphic sequence π to be potentially K ₆-graphic. Project supported by National Natural Science Foundation of China (No. 10401010).