一类无穷区间的倒向随机微分方程及其应用

本文讨论了一类基于无穷区间的倒向随机微分方程解的存在唯一性及其性质. 由方程解定义一类非线性g-期望, 并讨论其在经济金融中的应用.     

On cross-risk vulnerability

We introduce the notion of cross-risk vulnerability to generalize the concept of risk vulnerability introduced by Gollier and Pratt [Gollier, C., Pratt, J.W. 1996. Risk vulnerability and the tempering effect of background risk. Econometrica 64, 1109–1124]. While risk vulnerability captures the idea that the presence of an unfair financial background risk should make risk-averse individuals behave in a more risk-averse way with respect to an independent financial risk, cross-risk vulnerability extends this idea to the impact of a non-financial background risk on the financial risk. It provides an answer to the question of the impact of a background risk on the optimal coinsurance rate and on the optimal deductible level. We derive necessary and sufficient conditions for a bivariate utility function to exhibit cross-risk vulnerability both toward an actuarially neutral background risk and toward an unfair background risk. We also analyze the question of the sub-additivity of risk premia and show to what extent cross-risk vulnerability provides an answer.     

The aggregation of risk aversions

In this paper it will be shown how to create an aggregate risk aversion function for a group of people from their individual risk preferences. The problem of interpersonal utility comparisons will be circumvented by adding not risk aversions but, rather, amounts left uninsured.     

GPS在线求解载体姿态新法

介绍了求解两个GPS接收机之间基线向量的快速解算方法,并由此引出利用两个接收机来求解载体全姿态的新方法,通过仿真结果表明：此法可大大加速整周模糊度的解算速度,并且可以只利用两个接收机就能求解载体姿态。     

K故障下确定最优可测试成分的新方法

本提出了在模拟线性电路故障诊断中K故障假设下一组最优可测试成份确定的方法,它是基于电路的可测试值计算规范式不确定性组的确定,所提出的步骤与故障定位方法无关。     

Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints

This paper studies the risk management in a defined contribution (DC)pension plan. The financial market consists of cash, bond and stock. The interest rate in our model is assumed to follow an Ornstein–Uhlenbeck process while the contribution rate follows a geometric Brownian Motion. Thus, the pension manager has to hedge the risks of interest rate, stock and contribution rate. Different from most works in DC pension plan, the pension manger has to obtain the optimal allocations under loss aversion and Value-at-Risk(VaR) constraints. The loss aversion pension manager is sensitive to losses while the VaR pension manager has to ensure the quality of wealth at retirement. Since these problems are not standard concave optimization problems, martingale method is applied to derive the optimal investment strategies. Explicit solutions are obtained under these two optimization criterions. Moreover, sensitivity analysis is presented in the end to show the economic behaviors under these two criterions.     

Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization

In order to generalize previous results by Li et al. (2016), Guo et al. (2016) extended the definition of the Rothschild–Stiglitz type of increase in risk to a background risk framework. They provided several sufficient conditions for such a ranking to hold, involving expectation dependence concepts. In this short note, the corresponding characterizations are established, based on the bivariate higher-degree increasing concave orders introduced by Denuit et al. (1999).     

载波相位差分相对定位在航天器对接中的应用

将GPS载波相位差分技术应用于航天器自主对接,提出了一种在单频接收机条件下的整周模糊度快速求解方法,首先采用载波相位平滑伪距差分技术进行相对定位,估计模糊度的浮点值,而后通过LAMBDA搜索法求解得到整周模糊度,最后通过最小二乘方法实现相对定位。该方法求解过程简单,并可在基线较长情况下解算模糊度。仿真结果表明,当两航天器相距小于100km时,通常20s即可求解模糊度,最长不超过45s。模糊度确定后,采用整周约束解进行相对定位,相对定位的均方差为0.006m,能很好地满足航天器对接的精度需求。     

GPS载波相位差分技术实时测姿的研究与应用

从运动载体姿态测量实时性的要求出发，介绍了应用GPS相位差分技术，进行实时姿态测量系统的研究和开发，介绍了系统的设计思路和信息处理的基本过程，实现了载体姿态的实时测量，达到了要求的技术指标。该系统适用于静态姿态测量与定位和中、低动态载体的姿态测量与定位。