多周期多目标条件风险值模型

在商业、工业、电力和房地产等行业中存在许多复杂的多周期风险决策问题,它的数学模型研究对于解决这些问题具有重要的作用.作者建立了一种新的多周期多目标条件风险值(CVaR)数学模型理论和方法.先定义了一种带时间段的多周期多目标损失函数下的α-VaR和α-CVaR值,给出了一类多周期多目标CVaR最优化模型.然后,证明了多目标意义下的对应模型的等价定理,给出了多周期多目标CVaR模型的近似求解等价模型.最后,建立了一种生产企业在供过于求和供不应求两种情形下产生的多周期双目标CVaR模型,针对一个电力生产企业进行的数值实验,表明了模型可以得到在最小供给的用电损失分布下的各周期下的相匹配供电策略,可以帮助供电部门各个时期供电不平衡状况下的风险控制.     

一类推广负风险和模型的破产概率

本文研究了带干扰的两险种负风险和模型的破产问题.利用无穷小方法,给出了该风险模型破产概率所满足的微分-积分方程,并推导出破产概率满足的Lundberg型不等式.最后指出了当索赔服从负指数分布时破产概率的上界,推广了经典风险模型的结果.     

常数红利边界下的一类马氏风险模型

本文研究了常数红利边界下一类马氏风险模型的红利派发矩,破产前所有红利的分布等相关问题.利用更新方法,给出了该模型破产前红利折现的期望满足的微分-积分方程,得到破产前所有红利的分布.通过构造特殊的初始条件,得到了相关的方程组解,推广了文献[3]的结果.     

Incorporating ergonomic risks into assembly line balancing

In manufacturing, control of ergonomic risks at manual workplaces is a necessity commanded by legislation, care for health of workers and economic considerations. Methods for estimating ergonomic risks of workplaces are integrated into production routines at most firms that use the assembly-type of production. Assembly line re-balancing, i.e., re-assignment of tasks to workers, is an effective and, in case that no additional workstations are required, inexpensive method to reduce ergonomic risks. In our article, we show that even though most ergonomic risk estimation methods involve nonlinear functions, they can be integrated into assembly line balancing techniques at low additional computational cost. Our computational experiments indicate that re-balancing often leads to a substantial mitigation of ergonomic risks.     

一种新型风险型多指标决策方法研究

传统的风险型多指标决策模型没有考虑决策者对风险的态度,而决策者对风险的态度会影响决策的结果,针对这一问题文章在累积前景理论与灰色关联方法的基础上,提出一种考虑决策者风险偏好的风险型多指标决策的方法.该方法首先利用极差化法对风险决策矩阵进行规范化处理,并在此基础上构造出最优与最劣方案;然后利用累积前景理论与灰色关联方法构建前景值函数,并给出利用灰色关联思想确定指标权重的方法与步骤;最终求出各个方案的综合前景值并进行排序选优.通过某电信运营商对管道资源建设方案选择的实例分析说明了方法的可行性与有效性.     

Organophosphate esters by GC–MS: An optimized method for aquatic risk assessment

Organophosphate esters used as flame retardants and plasticizers are ubiquitous contaminants in surface waters. Many studies indicate that these compounds are neurotoxicants, endocrine disruptors, and may affect reproduction and development of aquatic organisms. Thus, analytical methods that allow accurate quantification of these contaminants at environmentally relevant concentrations are desirable for risk assessment studies. In this study, a method based on solid phase extraction and gas chromatography coupled to mass spectrometry was developed for determination of organophosphate esters in river water extracts. Multivariate optimization was used to determine the best conditions for injection of larger volumes of sample in a Programmable Temperature Vaporization inlet. Furthermore, the matrix effect on the instrumental response was evaluated and compensated by association of extraction‐blank‐matched calibration and isotopically labeled focus standards. The method quantification limits ranged from 0.009 to 0.11 µg/L, staying below the predicted non‐effect concentration for the aquatic compartment for all analytes, which is a requisite for using in risk assessment studies. The method was applied to freshwater samples collected in rivers from the Sao Paulo State, Brazil, and eight out of the ten target organophosphate esters were quantified, being tris(2‐chloroisopropyl) phosphate and tris(phenyl) phosphate the most frequently detected compounds.     

Accumulation of selected metals in the fruits of medicinal plants grown in urban environment of Islamabad,Pakistan

The present study is based on the measurement of selected metals (Ca, Cd, Co, Cr, Cu, Fe, Mg, Mn, Pb, Sr and Zn) in the fruits of eight medicinal plants (Carrisa opeca, Phyllanthus emblica, Solanum nigrum, Zizyphus nummularia, Zizyphus mauritiana, Physalis minima, Opuntia dillenii and Phoenix dactylifera) and relevant soil samples by atomic absorption spectrometry. Highest average concentrations of Cu (14.4 mg/kg), Cr (19.0 mg/kg), and Zn (125 mg/kg) were found in the fruits of P. minima, C. opeca and Z. nummularia, respectively, while O. dillenii showed the elevated mean levels of Cd (3.49 mg/kg), Sr (61.4 mg/kg), Mg (0.21%), Ca (6.62%) and Mn (44.6 mg/kg). However, highest average levels of Pb (41.7 mg/kg) and Co (38.4 mg/kg) were found in Z. mauritiana. Overall, most of the fruit samples showed higher contributions of Ca and Mg, followed by Fe, Zn, Co and Pb. In the case of soil samples, highest concentration was observed for Ca, followed by Fe, Mg, Mn and Sr, while lowest concentration was shown by Cd. Bioaccumulation factors exhibited significantly higher accumulation of Co (0.813–1.829) and Pb (0.060–2.350) from the soil to the fruits. Principal component analysis revealed significant anthropogenic contributions of Pb, Fe and Co in the fruit samples. Contamination factors and enrichment factors of Cd and Pb in the soil indicated very high contamination and extreme enrichment of these metals.     

A bioinformatics approach to the development of immunoassays for specified risk material in canned meat products

A bioinformatics approach to developing antibodies to specific proteins has been evaluated for the production of antibodies to heat-processed specified risk tissues from ruminants (brain and eye tissue). The approach involved the identification of proteins specific to ruminant tissues by interrogation of the annotation fields within the Swissprot database. These protein sequences were then interrogated for peptide sequences that were unique to the protein. Peptides were selected that met these criteria as close as possible and that were also theoretically resistant to either pepsin or trypsin. The selected peptides were synthesised and used as immunogens to raise monoclonal antibodies. Antibodies specific for the synthetic peptides were raised to half of the selected peptides. These antibodies have each been incorporated into a competitive enzyme-linked immunosorbent assay (ELISA) and shown to be able to detect the heat-processed parent protein after digestion with either pepsin or trypsin. One antibody, specific for alpha crystallin peptide (from bovine eye tissue), was able to detect the peptide in canned meat products spiked with 10% eye tissue. These results, although preliminary in nature, show that bioinformatics in conjunction with enzyme digestion can be used to develop ELISA for proteins in high-temperature processed foods and demonstrate that the approach is worth further study.     

Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss

The problem of estimating large covariance matrices of multivariate real normal and complex normal distributions is considered when the dimension of the variables is larger than the number of samples. The Stein–Haff identities and calculus on eigenstructure for singular Wishart matrices are developed for real and complex cases, respectively. By using these techniques, the unbiased risk estimates for certain classes of estimators for the population covariance matrices under invariant quadratic loss functions are obtained for real and complex cases, respectively. Based on the unbiased risk estimates, shrinkage estimators which are counterparts of the estimators due to Haff [L.R. Haff, Empirical Bayes estimation of the multivariate normal covariance matrix, Ann. Statist. 8 (1980) 586–697] are shown to improve upon the best scalar multiple of the empirical covariance matrix under the invariant quadratic loss functions for both real and complex multivariate normal distributions in the situation where the dimension of the variables is larger than the number of samples.     

The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure

We study the distribution of tax payments in the model of Kyprianou and Zhou [Kyprianou, A.E., Zhou, X., 2009. General tax structures and the Lévy insurance risk model. J. Appl. Probab. (in press)], that is a Lévy insurance risk model with a surplus-dependent tax rate. More precisely, after a short discussion on the so-called tax identity, we derive a recursive formula for arbitrary moments of the discounted tax payments until ruin and we identify the distribution of the tax payments when there is no force of interest.