Recursive equations for compound distribution with the severity distribution of the mixed type

In this paper, recursive equations are obtained for compound distribution with the number of claims belonging to (a, b)-family and the severity distribution of the mixed type. Numerical methods to solve these equations are presented, and some numerical results are given.     

马尔可夫环境下聚合索赔的前二阶矩

We consider the discounted aggregate claims when the insurance risks and financial risks are governed by a discrete-time Markovian environment.We assume that the claim sizes and the financial risks fluctuate over time according to the states of economy,which are interpreted as the states of Markovian environment.We will then determine a system of differential equations for the Laplace-Stieltjes transform of the distribution of discounted aggregate claims under mild assumption.Moreover,using the differentio-integral equation,we will also investigate the first two order moments of discounted aggregate claims in a Markovian environment.     

On the Distributions of Two Classes of Multiple Dependent Aggregate Claims

In this paper we examine two classes of correlated aggregate claims distributions, with univariate claim counts and multivariate claim sizes. Firstly, we extend the results of Hesselager [ASTIN Bulletin, 24： 19-32（1994）] and Wang ＆ Sobrero＇s [ASTIN Bulletin, 24：161-166 （1994）] concerning recursions for compound distributions to a multivariate situation where each claim event generates a random vector. Then we give a multivariate continuous version of recursive algorithm for calculating a family of compound distribution. Especially, to some extent, we obtain a continuous version of the corresponding results in Sundt [ASTIN Bulletin, 29：29-45 （1999）] and Ambagaspitiya [Insurance： Mathematics and Economics, 24：301-308 （1999）]. Finally, we give an example and show how to use the algorithm for aggregate claim distribution of first class to compute recursively the compound distribution.     

Bivariate Blending Thiele-Werner＇s Osculatory Rational Interpolation

Both the expansive Newton＇s interpolating polynomial and the Thiele-Werner＇s interpolation are used to construct a kind of bivariate blending Thiele-Werner＇s osculatory rational interpolation. A recursive algorithm and its characteristic properties are given. An error estimation is obtained and a numerical example is illustrated.     

On the Distribution of Integral Ideals and Hecke Gr¨ossencharacters

The author uses analytic methods to study the distribution of integral ideals and Hecke Grossencharacters in algebraic number fields. Nowak＇s results on the distribution of integral ideals, and Chandrasekharan and Good＇s results on the distribution of Hecke GrSssencharacters are improved.     

Solving Inhomogeneous Linear Partial Differential Equations

Lagrange＇s variation-of-constants method for solving linear inhomogeneous ordinary differential equations （ode＇s） is replaced by a method based on the Loewy decomposition of the corresponding homogeneous equation. It uses only properties of the equations and not of its solutions. As a consequence it has the advantage that it may be generalized for partial differential equations （pde＇s）. It is applied to equations of second order in two independent variables, and to a certain system of third-order pde＇s. Therewith all possible linear inhomogeneous pde＇s are covered that may occur when third-order linear homogeneous pde＇s in two independent variables are solved.     

EXPECTED PRESENT VALUE OF TOTAL DIVIDENDS IN THE COMPOUND BINOMIAL MODEL WITH DELAYED CLAIMS AND RANDOM INCOME

In this paper, a compound binomial model with a constant dividend barrier and random income is considered. Two types of individual claims, main claims and by-claims, are defined, where every by-claim is induced by the main claim and may be delayed for one time period with a certain probability. The premium income is assumed to another binomial process to capture the uncertainty of the customer＇s arrivals and payments. A system of difference equations with certain boundary conditions for the expected present value of total dividend payments prior to ruin is derived and solved. Explicit results are obtained when the claim sizes are Kn distributed or the claim size distributions have finite support. Numerical results are also provided to illustrate the impact of the delay of by-claims on the expected present value of dividends.     

RECURSIVE UTILITY,PRODUCTIVE GOVERNMENT EXPENDITURE AND OPTIMAL FISCAL POLICY

This paper employs a stochastic endogenous growth model extended to the case of a recursive utility function which can disentangle intertemporal substitution from risk aversion to analyze productive government expenditure and optimal fiscal policy, particularly stresses the importance of factor income. First, the explicit solutions of the central planner＇s stochastic optimization problem are derived, the growth maximizing and welfare-maximizing government expenditure policies are obtained and their standing in conflict or coincidence depends upon intertemporal substitution. Second, the explicit solutions of the representative individual＇s stochastic optimization problem which permits to tax on capital income and labor income separately are derived ,and it is found that the effect of risk on growth crucially depends on the degree of risk aversion,the intertemporal elasticity of substitution and the capital income share. Finally, a flexible optimal tax policy which can be internally adjusted to a certain extent is derived, and it is found that the distribution of factor income plays an important role in designing the optimal tax policy.     

BLOCK BASED NEWTON-LIKE BLENDING OSCULATORY RATIONAL INTERPOLATION

With Newton＇s interpolating formula, we construct a kind of block based Newton-like blending osculatory interpolation.The interpolation provides us many flexible interpolation schemes for choices which include the expansive Newton＇s polynomial inter- polation as its special case. A bivariate analogy is also discussed and numerical examples are given to show the effectiveness of the interpolation.     

Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models

Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of extended regular variation, we obtain an asymptotically equivalent formula which holds uniformly for all time horizons, and furthermore, the same asymptotic formula holds for the finite-time ruin probabilities. The results extend the works of Tang et al.(2010).     

Interval Valued Intuitionistic （S, T）-fuzzy Hv-submodules

On the basis of the concept of the interval valued intuitionistic fuzzy sets introduced by K. Atanassov, the notion of interval valued intuitionistic fuzzy Hv-submodules of an Hv-module with respect to a t-norm T and an s-norm S is given and the characteristic properties are described. The homomorphic image and the inverse image are investigated. In particular, the connections between interval valued intuitionistic （S, T）-fuzzy Hv-submodules and interval valued intuitionistic （S, T）-fuzzy submodules are discussed.     

Universal Jensen＇s Equations in Banach Modules over a C^＊-Algebra and Its Unitary Group

In this paper, we prove the generalized Hyers-Ulam-Rassias stability of universal Jensen‘s equations in Banach modules over a unital C^*-algebra. It is applied to show the stability of universal Jensen‘s equations in a Hilbert module over a unital C^*-algebra. Moreover, we prove the stability of linear operators in a Hilbert module over a unital C^*-algebra.     

On the Equivalence and Generalized of Weyl Theorem Weyl Theorem

We know that an operator T acting on a Banach space satisfying generalized Weyl＇s theorem also satisfies Weyl＇s theorem. Conversely we show that if all isolated eigenvalues of T are poles of its resolvent and if T satisfies Weyl＇s theorem, then it also satisfies generalized Weyl＇s theorem. We give also a sinlilar result for the equivalence of a-Weyl＇s theorem and generalized a-Weyl＇s theorem. Using these results, we study the case of polaroid operators, and in particular paranormal operators.     

Askey–Wilson type integrals associated with root systems

A new formula for an Askey–Wilson type integral associated with the root system F ₄ is studied. A simple proof of the evaluation formula for the original Askey–Wilson integral is also stated. 2000 Mathematics Subject Classification Primary—33D67, 33D60 This work was supported in part by Grant-in-Aid for Scientific Research (C) No. 15540045 from the Ministry of Education, Culture, Sports, Science and Technology (Japan).     

Computational aspects of continuous–discrete extended Kalman-filtering

This paper elaborates how the time update of the continuous–discrete extended Kalman-filter (EKF) can be computed in the most efficient way. The specific structure of the EKF-moment differential equations leads to a hybrid integration algorithm, featuring a new Taylor–Heun-approximation of the nonlinear vector field and a modified Gauss–Legendre-scheme, generating positive semidefinite solutions for the state error covariance. Furthermore, the order of consistency and stability behavior of the outlined procedure is investigated. The results are incorporated into an algorithm with adaptive controlled step size, assuring a fixed numerical precision with minimal computational effort.     

A new multivariable <Subscript><Emphasis Type="BoldItalic">6</Emphasis></Subscript><Emphasis Type="BoldItalic">ψ</Emphasis><Subscript><Emphasis Type="BoldItalic">6</Emphasis></Subscript> summation formula

By multidimensional matrix inversion, combined with an A _r extension of Jackson’s ₈ φ ₇ summation formula by Milne, a new multivariable ₈ φ ₇ summation is derived. By a polynomial argument this ₈ φ ₇ summation is transformed to another multivariable ₈ φ ₇ summation which, by taking a suitable limit, is reduced to a new multivariable extension of the nonterminating ₆ φ ₅ summation. The latter is then extended, by analytic continuation, to a new multivariable extension of Bailey’s very-well-poised ₆ ψ ₆ summation formula. Partly supported by FWF Austrian Science Fund grants P17563-N13, and S9607 (the second is part of the Austrian National Research Network “Analytic Combinatorics and Probabilistic Number Theory”).     

The Frattini Subalgebra of Restricted Lie Superalgebras

In the present paper, we study the Frattini subalgebra of a restricted Lie superalgebra （L, [p]）. We show first that if L = A1 ＋ A2 ＋… ＋An, then Фp（L） = Фp（A1） ＋Фp（A2） ＋…＋Фp（An）, where each Ai is a p-ideal of L. We then obtain two results： F（L） = Ф（L） = J（L） = L if and only if L is nilpotent; Fp（L） and F（L） are nilpotent ideals of L if L is solvable. In addition, necessary and sufficient conditions are found for Фp-free restricted Lie superalgebras. Finally, we discuss the relationships of E-p-restricted Lie superalgebras and E-restricted Lie superalgebras.     

（g, f）-Factorizations Randomly Orthogonal to a Subgraph in Graphs

Let G be a graph with vertex set V(G) and edge set E(G) and let g and f be two integervalued functions defined on V(G) such that 2k - 2 ≤g(x)≤f(x) for all x∈V(G). Let H be a subgraph of G with mk edges. In this paper, it is proved that every (mg m-1,mf-m 1)-graph G has (g, f)-factorizations randomly k-orthogonal to H under some special conditions.     

Stochastic Integration of Operator-Valued Functions with Respect to Banach Space-Valued Brownian Motion

Let E be a real Banach space with property (α) and let W _Γ be an E-valued Brownian motion with distribution Γ. We show that a function is stochastically integrable with respect to W _Γ if and only if Γ-almost all orbits Ψx are stochastically integrable with respect to a real Brownian motion. This result is derived from an abstract result on existence of Γ-measurable linear extensions of γ-radonifying operators with values in spaces of γ-radonifying operators. As an application we obtain a necessary and sufficient condition for solvability of stochastic evolution equations driven by an E-valued Brownian motion. The first named author gratefully acknowledges the support by a ‘VIDI subsidie’ in the ‘Vernieuwingsimpuls’ programme of The Netherlands Organization for Scientific Research (NWO) and the Research Training Network HPRN-CT-2002–00281. The second named author was supported by grants from the Volkswagenstiftung (I/78593) and the Deutsche Forschungsgemeinschaft (We 2847/1–1).     

The extension of the first main theorem for π-blocks

Let π be a set of primes and G a π-separable group. Isaacs defines the B _π characters, which can be viewed as the “π-modular” characters in G, such that the B _p′ characters form a set of canonical lifts for the p-modular characters. By using Isaacs’ work, Slattery has developed some Brauer’s ideals of p-blocks to the π-blocks of a finite π-separable group, generalizing Brauer’s three main theorems to the π-blocks. In this paper, depending on Isaacs’ and Slattery’s work, we will extend the first main theorem for π-blocks.