Asymptotics of discounted aggregate claims for renewal risk model with risky investment

Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset, a simple asymptotic relation of tail probability of discounted aggregate claims for renewal risk model within finite horizon is obtained. The result extends the corresponding conclusions of related references.     

保费随机复合二项模型的Gerber-shiu折现罚金函数

考虑保费随机收取的复合二项模型.得到了其Gerber-shiu折现罚金函数满足的递推公式,瑕疵更新方程及其渐近解,并且通过构造一个相关的复合几何分布函数,得到了这个更新方程的解析解.相应的也得到了一些相关精算量的渐近表示和分布函数,如破产前瞬时盈余分布的渐近解,导致破产的索赔额的分布函数.     

Exact solution of a coagulation equation with a product kernel in the multicomponent case

In this paper, we obtain the general solution for the continuous Smoluchowski equation in the multicomponent case with a product kernel as a series expansion. The solution of the problem involves the Laplace transform in several dimensions. We obtain a nonlinear partial differential equation (PDE) of the advective kind generalizing the one previously given by other authors for the mono-component case.As in its relative mono-component case, gelation is produced at some point, the conditions for its occurrence being the same as those for the mono-component case, though substituting a sum of derivatives by a derivative in the Laplace transform field. We demonstrate that for a multicomponent particle size distribution (PSD) of multiplicative form, it is sufficient for one of the marginal PSDs to generate instantaneous gelation for the occurrence of instantaneous gelation in the multicomponent PSD.The general solution is applied to several specific cases, a discrete case that recovers a previously known solution, and another two continuous cases which can be used to check numerical methods designed to directly solve the Smoluchowski equation in more general cases.We have compared the solutions for the multicomponent PSD for constant, additive and product kernels and we conjecture about the relation existing between the functional forms for the solutions both in the mono-component and the multicomponent case.Finally, we have analysed the shape of the solutions for multicomponent PSD for constant, additive and product kernels for very small masses of components, obtaining a qualitatively different behaviour for the product kernel. This has effects in the mixing state of the sol phase as time passes.     

初论一类风险模型下的破产时刻罚金折现期望

考虑一类具有Poisson过程和Erlang(n)过程的风险模型的破产问题,该模型中保险公司具有两类保险,每类保险的理赔次数过程都是Poisson过程与一个共同的Erlang(n)过程的和.针对这类理赔相关的风险模型,就利息力为常数的情形得到破产时刻罚金折现期望的积分—微分方程.     

The gerber-shiu expected discounted penalty function for Lévy insurance risk processes

In this paper,we study a general Lévy risk process with positive and negative jumps.A renewal equation and an infinite series expression are obtained for the expected discounted penalty function of this risk model.We also examine some asymptotic behaviors for the ruin probability as the initial capital tends to infinity.     

折现的未决赔款准备金估计的随机逼近

凸序意义下的随机界是估计具有相依性随机变量和分布的良好工具.在考虑货币时间价值的基础上,通过随机上下界的两种不同形式的凸组合对未决赔款准备金的估计进行逼近,并通过矩匹配法,给出了最优权数的计算公式.通过一个实例对所述方法进行验证.     

Modeling of soot aggregate formation and size distribution in a laminar ethylene/air coflow diffusion flame with detailed PAH chemistry and an advanced sectional aerosol dynamics model

Soot aggregate formation and size distribution in a laminar ethylene/air coflow diffusion flame is modeled with a PAH-based soot model and an advanced sectional aerosol dynamics model. The mass range of solid soot phase is divided into 35 discrete sections and two variables are solved for in each section. The coagulation kernel of soot aggregates is calculated for the entire Knudsen number regime. Radiation from gaseous species and soot are calculated by a discrete-ordinate method with a statistical narrow-band correlated-k based band model. The discretized sectional soot equations are solved simultaneously to ensure convergence. Parallel computation with the domain decomposition method is used to save computational time. The flame temperature, soot volume fraction, primary particle size and number density are well reproduced. The number of primary particles per aggregate is overpredicted. This discrepancy is presumably associated with the unitary coagulation efficiency assumption in the current sectional model. Along the maximum soot volume fraction pathline, the number-based and mass-based aggregate size distribution functions are found to evolve from unimodal to bimodal and finally to unimodal again. The different shapes of these two aggregate size distribution functions indicate that the total number and mass of aggregates are dominated by aggregates of different sizes. The PAH-soot condensation efficiency γ is found to have a small effect on soot formation when γ is larger than 0.5. However, the soot level and primary particle number density are significantly overpredicted if the PAH-soot condensation process is neglected. Generally, larger γ predicts lower soot level and primary particle number density. Further study on soot aggregate coagulation efficiency should be pursued and more experimental data on soot aggregate structure and size distribution are needed for improving the current sectional soot model and for better understanding the complex soot aggregation phenomenon.     

Continuous-Time Controlled Markov Chains with Discounted Rewards

This paper studies denumerable state continuous-time controlled Markov chains with the discounted reward criterion and a Borel action space. The reward and transition rates are unbounded, and the reward rates are allowed to take positive or negative values. First, we present new conditions for a nonhomogeneous Q(t)-process to be regular. Then, using these conditions, we give a new set of mild hypotheses that ensure the existence of -optimal (0) stationary policies. We also present a martingale characterization of an optimal stationary policy. Our results are illustrated with controlled birth and death processes.     

SYNTHESIS AND CHARACTERIZATION OF A NOVEL BLUE LIGHT EMITTING ROD-COIL DIBLOCK OLIGOMER

Four new rod-coil diblock molecules, which had well-defined para-phenylene oligomers (PPP, from biphenyl toquinquephenyl) as rigid segments and poly(ethylene oxide) (PEO, M_w ca. 750) as flexible segments, were synhesized. Thechemical structure and the number of repeating unit in PEO coil and PPP rod were characterized by ~1H-NMR and MALDI-TOF mass spectromeny. The diblock oligomers showed good solubility in common organic solvents and aggregated in wateras characterized by a blue shift in UV-vis absorption spectra, a red shift in emission spectra, quenching of the fluorescenceand formation of the microfibrilla and fractal-like structures. The formation of different supramolecular structures meant thatthis effort might lead to commercial important highly organized functional materials.     

π-CONJUGATED OLIGOMERS IN SUPRAMOLECULAR CRYSTALS AND THEIR OPTOELECTRONIC FUNCTIONS

Functional organic molecular materials and conjugated oligomers or polymers now allow the low-cost fabrication of thin films for insertion into new generations of electronic and optoelectronic devices. The performance of these devices relies on the understanding and optimization of several complementary processes. Our goal is to discuss the relationship between the molecular stacking structures and their optoelectronic properties that are of importance in all these areas. The concept of intermolecular interaction should be taken here in the special sense that is inter-dipole coupling. Specifically, we will address the impact of inter-dipole interaction between adjacent molecules in aggregate state on the solid-state emission properties.