Preliminary report on the energy balance for nonlinear oscillations

In this paper, a reliable technique for calculating angular frequencies of nonlinear oscillators is developed. The new algorithm offers a promising approach by constructing a Hamiltonian for the nonlinear oscillator. Some illustrative examples are given.     

不确定非线性结构动力响应的区间分析方法

研究多自由度非线性不确定参数系统的动力响应问题. 以区间数学为基础，将不确定 性参数用区间进行定量化，借助一阶Taylor级数，给出了近似估计非线性振动系统动力响 应范围的区间分析方法. 从数学证明和数值算例两方面，将其与概率摄动有限元法进行了比 较，结果显示区间分析方法对不确定参数先验信息具有要求较少、精度较高的优点.     

大挠度弯曲直梁混合变量最小势能原理的应用

应用大挠度弯曲直梁混合变量最小势能原理,求解均载两端固定大挠度柱面弯曲板条的轴向挠度分布和轴向弯矩分布．实例计算表明:该方法简单实用、精度高,是一种计算大挠度柱面弯曲板条变形的有效方法．     

粘弹性随机分析的虚功原理及随机有限元

利用增量法处理粘弹性本构关系中的遗传积分，将粘弹性材料的随机性、结构几何形状的随机性、外载荷的随机性引入虚功方程，应用摄动方法，研究了粘弹性随机分析的虚功原理和粘弹性随机有限元。研究发现，尽管粘弹性本构关系具有时间相依性，其随机摄动格式并不存在“长期项”的影响，算例表明，应用该方法进行粘弹性结构的随机模拟，计算效率较高、精度较高。     

Optimal reinsurance under risk and uncertainty

This paper deals with the optimal reinsurance problem if both insurer and reinsurer are facing risk and uncertainty, though the classical uncertainty free case is also included. The insurer and reinsurer degrees of uncertainty do not have to be identical. The decision variable is not the retained (or ceded) risk, but its sensitivity with respect to the total claims. Thus, if one imposes strictly positive lower bounds for this variable, the reinsurer moral hazard is totally eliminated.Three main contributions seem to be reached. Firstly, necessary and sufficient optimality conditions are given in a very general setting. Secondly, the optimal contract is often a bang–bang solution, i.e., the sensitivity between the retained risk and the total claims saturates the imposed constraints. Thirdly, the optimal reinsurance problem is equivalent to other linear programming problem, despite the fact that risk, uncertainty, and many premium principles are not linear. This may be important because linear problems may be easily solved in practice, since there are very efficient algorithms.     

Multi-population mortality models: A factor copula approach

Modeling mortality co-movements for multiple populations have significant implications for mortality/longevity risk management. A few two-population mortality models have been proposed to date. They are typically based on the assumption that the forecasted mortality experiences of two or more related populations converge in the long run. This assumption might be justified by the long-term mortality co-integration and thus be applicable to longevity risk modeling. However, it seems too strong to model the short-term mortality dependence. In this paper, we propose a two-stage procedure based on the time series analysis and a factor copula approach to model mortality dependence for multiple populations. In the first stage, we filter the mortality dynamics of each population using an ARMA–GARCH process with heavy-tailed innovations. In the second stage, we model the residual risk using a one-factor copula model that is widely applicable to high dimension data and very flexible in terms of model specification. We then illustrate how to use our mortality model and the maximum entropy approach for mortality risk pricing and hedging. Our model generates par spreads that are very close to the actual spreads of the Vita III mortality bond. We also propose a longevity trend bond and demonstrate how to use this bond to hedge residual longevity risk of an insurer with both annuity and life books of business.     

Tighter uncertainty principles for periodic signals in terms of frequency

In this study, we propose some new uncertainty principles for periodic signals with sharper lower bounds than those in the existing ones. The improved lower bounds, in particular, are related to the frequency of the signal. Three examples are employed to demonstrate sharpness of the new uncertainty principles. Copyright © 2014 John Wiley & Sons, Ltd.     

A stochastic control model of investment,production, and consumption on a finite horizon

In this paper, we consider a stochastic control problem on a finite time horizon. The unit price of capital obeys a logarithmic Brownian motion, and the income from production is also subject to the random Brownian fluctuations. The goal is to choose optimal investment and consumption policies to maximize the finite horizon expected discounted hyperbolic absolute risk aversion utility of consumption. A dynamic programming principle is used to derive a time‐dependent Hamilton–Jacobi–Bellman equation. The Leray–Schauder fixed point theorem is used to obtain existence of solution of the HJB equation. At last, we derive the optimal investment and consumption policies by the verification theorem. The main contribution in this paper is the use of PDE technique to the finite time problem for obtaining optimal polices. Copyright © 2014 John Wiley & Sons, Ltd.     

复微分方程组的代数解

本文研究了一类复微分方程组的代数解的存在问题.利用最大模原理和Nevanlinna值分布理论,得到了一个结论,推广和改进了一些文献的结果,例子表明结论精确.