Redistribution of longevity risk: The effect of heterogeneous mortality beliefs

Existing literature regarding the natural hedge potential that arises from combining different longevity-linked liabilities typically does not address the question how changes in the liability mix can be obtained. We consider firms who aim to exploit the benefits of natural hedge potential by redistributing their risks, and characterize the risk redistributions that will arise when the parties bargain for a redistribution of risk that weakly benefits them all. We analyze the effects of heterogeneity in the beliefs regarding the probability distribution of future mortality rates on the properties of these risk redistributions, and provide a numerical illustration for a case where an insurer with a portfolio of term assurance contracts and a pension fund with a portfolio of life annuities redistribute their risks.     

Full Bayesian analysis of claims reserving uncertainty

We revisit the gamma–gamma Bayesian chain-ladder (BCL) model for claims reserving in non-life insurance. This claims reserving model is usually used in an empirical Bayesian way using plug-in estimates for the variance parameters. The advantage of this empirical Bayesian framework is that allows us for closed form solutions. The main purpose of this paper is to develop the full Bayesian case also considering prior distributions for the variance parameters and to study the resulting sensitivities.     

A Note on Generalized Lagrangians of Non-uniform Hypergraphs

Set \(A\subset {\mathbb N}\) is less than \(B\subset {\mathbb N}\) in the colex ordering if m a x(A△B)∈B. In 1980’s, Frankl and Füredi conjectured that the r-uniform graph with m edges consisting of the first m sets of \({\mathbb N}^{(r)}\) in the colex ordering has the largest Lagrangian among all r-uniform graphs with m edges. A result of Motzkin and Straus implies that this conjecture is true for r=2. This conjecture seems to be challenging even for r=3. For a hypergraph H=(V,E), the set T(H)={|e|:e∈E} is called the edge type of H. In this paper, we study non-uniform hypergraphs and define L(H) a generalized Lagrangian of a non-uniform hypergraph H in which edges of different types have different weights. We study the following two questions: 1. Let H be a hypergraph with m edges and edge type T. Let C _m,T denote the hypergraph with edge type T and m edges formed by taking the first m sets with cardinality in T in the colex ordering. Does L(H)≤L(C _m,T ) hold? If T={r}, then this question is the question by Frankl and Füredi. 2. Given a hypergraph H, find a minimum subhypergraph G of H such that L(G) = L(H). A result of Motzkin and Straus gave a complete answer to both questions if H is a graph. In this paper, we give a complete answer to both questions for {1,2}-hypergraphs. Regarding the first question, we give a result for {1,r ₁,r ₂,…,r _l }-hypergraph. We also show the connection between the generalized Lagrangian of {1,r ₁,r ₂,? ,r _l }-hypergraphs and {r ₁,r ₂,? ,r _l }-hypergraphs concerning the second question.     

Cartesian Closed Extensions of Subcategories of CONT

In this paper we give a uniform way of proving cartesian closedness for many new subcategories of continuous posets. We define C-P to be the category of continuous posets whose D–completions are isomorphic to objects from C, where C is a subcategory of the category CONT of domains. The main result is that if C is a cartesian closed full subcategory of ALG _⊥ or BC, then C-P is also a cartesian closed subcategory of the category CONTP of continuous posets and Scott continuous functions. In particular, we have the following cartesian closed categories : BC-P, LAT-P, aL-P, aBC-P, B-P, aLAT-P, ω -B-P, ω -aLAT-P, etc.     

一类1 < α < 2非局部条件下的脉冲分数阶微分方程mild解的存在性

本文研究了一类1 < α < 2非局部条件下的脉冲分数阶偏微分方程mild解的存在性问题.利用解算子的相关性质及Krasnoselskii不动点理论的方法,获得了这类方程的mild解并予以证明,且得到了解的存在性结果.     

An inexact alternating direction method of multipliers with relative error criteria

In this paper, we study an inexact version of the alternating direction method of multipliers (ADMM) for solving two-block separable linearly constrained convex optimization problems. Specifically, the two subproblems in the classic ADMM are allowed to be solved inexactly by certain relative error criteria, in the sense that only two parameters are needed to control the inexactness. Related convergence analysis are established under the assumption that the solution set to the KKT system of the problem is not empty. Numerical results on solving a class of sparse signal recovery problems are also provided to demonstrate the efficiency of the proposed algorithm.     

Pseudo almost periodic dynamics of delay Nicholson's blowflies model with a linear harvesting term

In this paper, we investigate a class of delay Nicholson's blowflies model with a linear harvesting term, new criteria for the existence and convergence dynamics of positive pseudo almost periodic solutions are established by using the fixed point method and the properties of pseudo almost periodic function, together with constructing suitable Lyapunov functionals. The obtained results extend previously known results, and they also partially answer an open problem proposed by L. Berezansky et al. Finally, an example with simulation is presented to demonstrate the effectiveness of theoretical results. Copyright © 2014 John Wiley & Sons, Ltd.     

矩阵方程AX=B的中心对称定秩解及其最佳逼近

本文研究了矩阵方程AX=B的中心对称解.利用矩阵对的广义奇异值分解和广义逆矩阵,获得了该方程有中心对称解的充要条件以及有解时,最大秩解、最小秩解的一般表达式,并讨论了中心对称最小秩解集合中与给定矩阵的最佳逼近解.