Analysis of risk bounds in partially specified additive factor models

The study of worst case scenarios for risk measures (e.g. the Value at Risk) when the underlying risk vector (or portfolio of risks) is not completely specified is a central topic in the literature on robust risk measurement. In this paper we discuss partially specified factor models as introduced in Bernard et al. (2017) in more detail for the class of additive factor models which admit more explicit results. These results allow to describe in more detail the reduction of risk bounds obtainable by this method in dependence on the degree of positive resp. negative dependence induced by the systematic risk factors. The insight may help in applications of this reduction method to get a better qualitative impression on the range of influence of the partially specified factor structure.     

Characterization of acceptance sets for co-monotone risk measures

We present a geometric characterization of acceptance sets for monotone, co-monotone and convex risk measures on finite state spaces. Geometrically, such acceptance sets can be represented by convex polygons with edges only on certain hyperplanes. We also provide some lower dimensional examples, and study acceptance sets for value at risk and expected shortfall.     

Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach

The calculation of Net Asset Values and Solvency Capital Requirements in a Solvency 2 context–and the derivation of sensitivity analyses with respect to the main financial and actuarial risk drivers–is a complex procedure at the level of a real company, where it is illusory to be able to rely on closed-form formulas. The most general approach to performing these computations is that of nested simulations. However, this method is also hardly realistic because of its huge computation resources demand. The least-squares Monte Carlo method has recently been suggested as a way to overcome these difficulties. The present paper confirms that using this method is indeed relevant for Solvency 2 computations at the level of a company.     

A variational approach for a generalized emden-fowler equation

Existence of positive solutions of singular boundary value problems related to Emden-Fowler equation is proved. A general minimization theorem in Sobolev spaces is applied.     

Meromorphic functions on compact Riemann surfaces and value sharing

Let X be a smooth and connected Riemann surface of genus g 0 and f: X P1, h: X P1 non-constant meromorphic functions on X. Fix an integer n 4 and assume the existence of n distinct points a1, , an P1 such that [image omitted] (set-theoretically) for every i. Here we prove that either f = h or [image omitted].     

有关中值定理的探究性教学

通过对中值定理教学思路的设计,给出探究性教学方法的一个实例,即通过导数概念的物理意义导出Lagrange中值定理,经特殊化后推出Rolle定理,再经化归思想给出Lagrange定理的证明,最后推广得到Cauchy中值定理,并借助类比或化归思想分别给出Cauchy定理的证明．     

多复变全纯映射正规族关于连续移动超平面的一个充要条件

证明了从C~n的一个区域到P~N(C)中的多复变全纯映射族为正规族的一个充要条件.这个充要条件与P~N(C)中的逐点处于一般位置的连续移动超平面族有关.证明的主要方法来自于微分方程.     

一阶线性模糊微分方程的解

利用文[8]中的扩展原理求解了一阶线性模糊微分方程,给出了解可表示的条件,讨论了同其他求解方法之间的关系,最后给出了具体算例。