Stochastic analysis in life office management: applications to large annuity portfolios

The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.     

Smoothing estimation of rate function for recurrent event data with informative censoring

This paper proposes kernel estimation of the occurrence rate function for recurrent event data with informative censoring. An informative censoring model is considered with assumptions made on the joint distribution of the recurrent event process and the censoring time without modeling the censoring distribution. Under the validity of the informative censoring model, we also show that an estimator based on the assumption of independent censoring becomes inappropriate and is generally asymptotically biased. To investigate the asymptotic properties of the proposed estimator, the explicit form of its asymptotic mean squared risk and the asymptotic normality are derived. Meanwhile, the empirical consistent smoothing estimator for the variance function of the estimator is suggested. The performance of the estimators are also studied through Monte Carlo simulations. An epidemiological example of intravenous drug user data is used to show the influence of informative censoring in the estimation of the occurrence rate functions for inpatient cares over time.     

Preparation and properties of the biodegradable graded blend of poly(L‐lactic acid) and poly(ethylene oxide)

We prepared biodegradable poly(ethylene oxide) (PEO)/poly(L ‐lactic acid) (PLLA) graded blends by the dissolution–diffusion process, and discussed the biodegradability and tensile strength of the graded blends by comparing isotropic blend and PLLA only. All the graded blends were degraded more largely than the PLLA only and isotropic blend (PEO: 37.5 wt %), which had the same content as the total content of those graded blends. The graded blend having most excellent wide compositional gradient was degraded most largely with the enzyme. Thus, graded structure of the blends promoted their biodegradabilities large. It was considered that the dissolution of PEO with water increased the surface area attacked by the enzyme, while PEO caught PLLA oligomers to promote the biodegradation of PLLA. Then, the biodegradabilities of the graded blends were suppressed by the increasing crystallinity of PLLA. Furthermore, the strengths of all the graded blends were larger than those of the isotropic blend. © 2007 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 45: 2972–2981, 2007     

On Non-Continuous Dirichlet Processes

We introduce here some Itô calculus for non-continuous Dirichlet processes. Such calculus extends what was known for continuous Dirichlet processes or for semimartingales. In particular we prove that non-continuous Dirichlet processes are stable under C ¹ transformation.     

基于DS/AHP的供应商选择方法

供应商选择方法有很多种，在众多的方法中层次分析法以能够将定性指标定量化而被广泛应用于供应商选择决策中。考虑到供应商选择问题中包含有很多的不确定性而证据理论在处理不确定问题又有着独特的优点，因此本文采用了一种由层次分析法和证据理论结合而产生的DS／AHP决策方法，并将其应用于供应商选择决策问题中，该方法综合了层次分析法和证据理论的优点，可以更科学的进行供应商选择决策，最后通过一个例子说明这种方法在供应商选择中的应用。     

稀疏过程在破产问题中的应用

本讨论一类人寿保险的风险过程，其中保单到达服从齐次Poisson过程。而描述退保及索赔发生的计数过程分别为这一过程的q-稀疏与p-稀疏．对此模型给出其破产概率的具体上界，并与其它一类风险模型进行比较．     

Synthesis of molecular imprinted organic-inorganic hybrid polymer binding caffeine

Random copolymers of poly{(methacrylamide)-co-(vinyl trimethoxysilane)} and poly{(methacrylic acid)-co-(vinyl trimethoxysilane)} were synthesized via a free radical polymerization reaction. Acid catalyzed sol-gel process of tetraethylorthosilicate (TEOS) with aforementioned polymers in the presence of methyl xanthine class of alkaloid like caffeine resulted in the formation of highly transparent monoliths. Solvent extraction of the template leaves behind the recognition sites intact with high selectivity towards the print molecule. The ionic and non-specific adsorptions, which are considered to be the main disadvantages of the molecularly imprinted polymers (MIP), are prevented to a considerable extent by the end capping of surface silanol groups. The template binding efficiencies of MIP were determined by HPLC analysis.     

Density-Functional Theory Calculations of Normal Modes and Raman Intensities for Tetraazaporphin

The structure, harmonic frequencies, and nonresonance Raman intensities for porphin, tetraazaporphin (TAP), and three of its isotopomers are calculated by the density-functional theory of B3LYP/6-31G(d). Scaling of force constants for porphin in nonredundant natural coordinates is performed. The scaling factors obtained were used to predict the force field and normal modes of TAP and three of its isotopomers. Two alternative methods are used to carry out reliable assignment of the TAP frequencies: wavenumber-linear scaling method and frequency-shift method. There is good agreement between the frequencies predicted within the framework of the three methods used. The conservativeness of the out-of-plane B _2g - and B _3g -modes for porphin and TAP is examined. The Raman spectrum for TAP is simulated. A refinement of the assignment of the experimental frequencies for TAP of even symmetry types on the basis of the calculations performed is made.     

Two-Frequency Brillouin Fiber Laser Based on Bragg Grating Fabry-Perot Cavity

A novel and simple two-frequency Brillouin fiber laser is presented. It is based on a fiber Fabry-Perot cavity with fiber Bragg gratings as reflectors. The model of stimulated Brillouin scattering in fiber grating-based Fabry-Perot resonator is investigated. The laser allows conversion efficiency of close to 100% and suppresses the higher-order Stokes waves. The theoretical prediction is presented and the experimental demonstration is realized.     

过渡金属表面γ-氨丙基三甲氧基硅烷膜的研究

本文对在过渡金属铁、镍电极表面制备得到的γ-氨丙基三甲氧基硅烷(γ-APS)膜进行了研究。实验中对硅烷膜用X-射线光电子能谱(XPS)、现场表面增强拉曼散射光谱(SERS)和原子力显微镜(AFM)进行了表征。X-射线光电子能谱(XPS)的结果发现存在两个N1s峰,表明γ-APS膜中的氨基有两种存在方式:自由氨基和质子化氨基。实验中还发现现场表面增强拉曼散射光谱(SERS)是研究金属/γ-APS体系中界面层结构非常有效的手段,SERS结果表明硅醇羟基和氨基发生了竞争吸附,且γ-APS分子在外加电位等条件的影响下吸附状态会发生一定变化。原子力显微镜(AFM)的表征结果在微观上显示电极表面的γ-APS膜上形成了一种较规则的微孔结构,这种结构可能与基底的性质有关。