基于时变SJC-Copula对商品期货市场间风险传染的探究

分别选取WIND商品指数和CRB指数作为衡量我国商品期货市场及国际商品期货市场综合价格的指标,利用时变SJC-Copula模型构建两者之间的动态相依结构,通过动态的尾部相关系数来探究我国商品期货市场与国际市场间的尾部相关性.实证结果表明,我国商品期货市场与国际市场间的上尾相关性要强于下尾相关性,即当商品期货价格上涨时,两个市场间更易发生风险传染.     

Analysis of survivorship life insurance portfolios with stochastic rates of return

A general portfolio of survivorship life insurance contracts is studied in a stochastic rate of return environment with a dependent mortality model. Two methods are used to derive the first two moments of the prospective loss random variable. The first one is based on the individual loss random variables while the second one studies annual stochastic cash flows. The distribution function of the present value of future losses at a given valuation time is derived. For illustrative purposes, an AR(1) process is used to model the stochastic rates of return, and the future lifetimes of a couple are assumed to follow a copula model. The effects of the mortality dependence, the portfolio size and the policy type, as well as the impact of investment strategies on the riskiness of portfolios of survivorship life insurance policies are analyzed by means of moments and probability distributions.     

碳税政策下时变需求依赖库存与价格的供应链协调模型

研究由一个供应商和一个零售组成的二级供应链系统在碳税政策下的协调问题.对于市场需求率为时变函数且依赖于当前库存水平和销售价格的情形,建立分散式和集中式供应链决策模型.比较两种模型得出供应商和零售商合作能够提高供应链的整体利润但是也会产生更多的碳排放.分别利用批发价格契约和两部收费契约协调分散式决策模型得出供应链协调的条件.最后通过数值算例验证理论结果并分析碳税单价对供应链在两部收费契约下实现协调的影响.     

Numerical solutions of linear quadratic control for time-varying systems via symplectic par conservative perturbation

Optimal control system of state space is a conservative system, whose approximate method should be symplectic conservation. Based on the precise integration method, an algorithm of symplectic conservative perturbation is presented.It gives a uniform way to solve the linear quadratic control (LQ control) problems for linear time-varying systems accurately and efficiently, whose key points are solutions of differential Riccati equation (DRE) with variable coefficients and the state feedback equation.The method is symplectic conservative and has a good numerical stability and high precision. Numerical examples demonstrate the effectiveness of the proposed method.     

高速电梯系统时变动力学模型与分析

以往关于电梯系统的研究指出，引起电梯系统振动的主要原因在于外部激励－由曳引机，承重装置，拖动和控制系统等引起。这是基于经典的结构共振理论得出的结论，但不能解释某些电梯的振动行为。本文从时变结构力学的观点出发，计及电梯曳引钢丝绳的长度随时间变化，建立起电梯系统的变刚度动力学模型，采用解析方法给出了高速电梯弹性振动的位移和加速度响应表达式。从理论上证明作为时变系统的电梯，具有振荡运动的特征，存在由变刚度引起的自激振动。进一步研究表明，电梯提速意味着曳引钢丝绳的初始扰动增大，导致电梯振动的加速度也增大，对电梯的舒适性有负面影响。     

浅海时变声速环境下的自适应匹配场定位算法实现*

针对浅海环境下声速剖面失配引起的匹配场处理器失配问题，提出了一种自适应匹配场定位算法在声速剖面时变环境下的实现方式。将先验声速剖面集简化为经验正交函数表示，结合蒙特卡洛方法与环境扰动约束算法对当下时刻的目标声源进行匹配场定位。本文以某次试验获取的连续20小时的声速剖面数据为研究对象，通过仿真试验对该算法进行验证，结果表明：在先验声速剖面集的半小时之后，利用自适应算法的距离和深度定位成功率较常规匹配场算法有较大提升，其中，深度正确定位概率相对较低。     

Construction of asymmetric copulas and its application in two-dimensional reliability modelling

Copulas offer a useful tool in modelling the dependence among random variables. In the literature, most of the existing copulas are symmetric while data collected from the real world may exhibit asymmetric nature. This necessitates developing asymmetric copulas that can model such data. In the meantime, existing methods of modelling two-dimensional reliability data are not able to capture the tail dependence that exists between the pair of age and usage, which are the two dimensions designated to describe product life. This paper proposes a new method of constructing asymmetric copulas, discusses the properties of the new copulas, and applies the method to fit two-dimensional reliability data that are collected from the real world.