Stochastic Bounds for the Sparre Andersen Process

In this paper we define two stochastic processes that are smaller and greater in usual stochastic order than the Sparre Andersen process. We derive, as a consequence, upper and lower bounds of its marginal distributions, and of the distributions of its first passage times above fixed thresholds. We also present a generalization of these stochastic bounds for risk processes perturbed by diffusion.AMS 2000 Subject Classification: 60K10, 60E15Partially supported by the italian PRIN-Cofin 2004 “Stochastic models in mathematical finance” (F. Pellerey) and PRIN-Cofin 2003 “Numerical, analytical and simulation methods with reference to reliability in neuronal signal transmission” (C. Zucca).     

政府委托下应急物资代储系统激励契约设计

政府委托企业代储应急物资是现实中普遍采用的一种应急物资管理策略,代储企业的努力程度对于保障应急物资的可靠供应具有关键性的作用,但由于代储企业与政府之间存在追求目标的差异,以及信息透明化方面受客观条件制约等因素,代储企业可能会因为长期的“太平无事”而产生倦怠,或者为追求经济效益而减少应有的付出,导致总体的努力程度下降,给应急条件下的物资供应带来隐患。鉴于此,论文采用供应链契约激励的理论,建立政企之间的利益博弈模型,分析政府的激励方式和激励数额对应急物资代储企业努力程度的影响,通过数值仿真寻找最优的参数设置,在此基础上,设计符合实际需要的应急物资代储激励契约,制定相应的奖惩规则,从而为政府有效管理应急物资代储企业,提高其努力程度,提升应急条件下应急物资供应保障能力提供了理论支撑。     

由动态财务分析引出的损失分配模式实证分析

损失分配模式是指某一事故年所发生的保险事故在各个进展年赔付的比例.本文结合某保险公司的实务数据,对车险业务的损失分配模式进行了实证分析,阐明了损失分配模式在预测赔款、提留准备金中的应用.从而为全面分析公司的持续经营提供了科学依据.     

外汇储备增加对基础货币投放的影响——基于协整方法与VAR模型的实证检验

在理论上,由于外汇储备在货币当局的资产负债表中处于资产方,因而它的增加将导致负债或其他资产的波动,最终使得基础货币投放的增加。本文采用1994年1季度至2007年1季度的数据,运用协整方法、向量自回归(VAR)模型实证检验了中国外汇储备增加对货币投放的影响.实证检验结果显示了中国外汇储备增加对基础货币投放的影响程度,以及影响的滞后性、持久性与稳定性特征,从而为货币当局实行开放经济下的货币政策提供一定的实证依据。     

Bidding under price uncertainty in multi-unit pay-as-bid procurement auctions for power systems reserve

In this paper a methodology for profit maximized bidding under price uncertainty in a day-ahead, multi-unit and pay-as-bid procurement auction for power systems reserve is proposed. Within this novel methodology a bidder is considered to follow a Bayes-strategy. Thereby, one bidder is assumed to behave strategically and the behavior of the remaining is summarized in a probability distribution of the market price and a reaction function to price dumping by the strategic bidder. With this approach two problems arise: First, as a pay-as-bid auction is considered, no uniform price and therefore no single probability distribution of the market price is readily available. Second, if historic bidding data of all participants are used to estimate such a distribution and market power is a relevant factor, the bid of the strategically behaving bidder is likely to influence the distribution. Within this paper for both of the problems solutions are presented. It is shown that by estimating a probability of acceptance the optimal bidding price with respect to a given capacity can be calculated by maximizing a stochastic non-linear objective function of expected profit. Taking the characteristics of recently established markets in Germany into account, the methodology is applied using exemplary data. It is shown that the methodology helps to manage existing price uncertainties and hence supports the trading decisions of a bidder. It is inferred that the developed methodology may also be used for bidding on other auction markets with a similar market design.     

Rb-Na混合蒸气中碰撞能量合并逆过程

研究了异核碰撞能量合并逆过程：Rb(7D) Na(3S)-Rb(5P) Na(3P)．染料激光二步激发基态Rb原子到Rb(7D)态，利用双调制技术检测由上述过程产生的Na(3P1)发射的荧光，基态Na原子密度由近翼吸收系数测定．碰撞能量合并逆过程速率系数由原子密度和荧光强度比得到．讨论了其它过程对速率系数的影响．     

我国外汇储备变动的时间序列建模预测

本文通过对我国最近十三年来的外汇储备月度数据进行分析,利用不同的建模思想建立了三次趋势模型、Holter-Winter非季节模型和AR IMA模型来分析短期内我国外汇储备的变动趋势。这三种模型对原始数据都能够较好的拟合,而且用于预测时的结果也相差不大,可以为短期内预测管理我国外汇储备提供有效参考。     

On single-server closed queues with priorities and state dependent parameters

A wide class of closed single-channel queues is considered. The more general model involvesm +w + 1 “permanent” customers that occasionally require service. Them customers are of the first priority and the rest are of the second priority. The input rate and service of customers depend upon the total number of customers waiting for service. Such a system can also be described in terms of servicing machines processes with reserve replacement and multi-channel queues with finite waiting room. Two dual models, with and without idle periods, are treated. An explicit relation between the servicing processes of both models is derived. The semi-regenerative techniques originally developed in the author's earlier work [4] are extended and used to derive the probability distribution of the processes in equilibrium. Applications and examples are discussed. This paper is a part of work supported by the National Science Foundation under Grant No. DMS-8706186.     

How well-protected are protected areas from anthropogenic microplastic contamination? Review of analytical methods,current trends,and prospects

Microplastics have sparked global concern due to their negative effects on organisms' health and the environment. Microplastics research in protected areas (marine and freshwater) has recently gained prominence and is expected to grow in the coming years. This review of 36 published studies examines current progress and identifies future research challenges. It begins with an overview of microplastic evaluation methodologies, followed by a discussion of recent advances in the abundance of microplastics in water, sediment, biota, wet and dry deposition, and particulate matter. Current quality assurance and control measures are also summarized. The majority of studies (44 %) examined sediment samples. In biota, the gastrointestinal system was the most evaluated for microplastics. Digestion (using H₂O₂ and KOH) and density separation (using NaCl) are the most common microplastic extraction methods. We found that microplastic contamination is pervasive in all the surveyed protected areas, with varying levels of abundance geographically, and over 50 % of the biota ingest microplastics. The methodological discrepancies amongst the investigations, from sampling to microplastics characterization, make it difficult to compare the results and generate baseline data on microplastic contamination levels. Close monitoring and a standardized approach are thus required to determine the extent to which microplastics might enter and persist in protected area environments, as well as to devise effective mitigating strategies.     

An individual loss reserving model with independent reporting and settlement

The main purpose of this paper is to assess and demonstrate the advantage of claims reserving models based on individual data in forecasting future liabilities over traditional models on aggregate data both theoretically and numerically. The available information consists of the reporting delays, settlement delays and claim payments. The model settings include Poisson distributed frequency of claims produced by each policy, claims payable at the settlement time, and the amount of payment depending only on its settlement delay. While such settings are applicable to certain but not all practical cases, the principal purpose of the paper is to examine the efficiency of individual data against aggregate data. We refer to loss reserving as to estimate the projections of the outstanding liabilities on observed information. The efficiency of the individual loss reserving against classical aggregate loss reservings, namely Chain-Ladder (C-L) and Bornhuetter–Ferguson (B–F), is assessed by comparing the asymptotic variances of the errors in estimating the conditional expectation (projection) of the outstanding liability between individual, C-L and B–F reservings. The research shows a significant increase in the accuracy of loss reserving by using individual data compared with aggregate data.