带投资的时依更新风险模型中破产概率的一致渐近估计

本文考虑索赔额过程与索赔时间过程具有相依性的更新风险模型.假定保险公司将其盈余投资到金融市场中,该投资的价格过程服从几何L′evy过程.当索赔额分布属于L∩D时,本文得到有限时间总索赔额现值尾概率的一致渐近估计,同时也得到有限时间破产概率的一致渐近估计.     

Asymptotics in a time-dependent renewal risk model with stochastic return

In this paper we study the asymptotic tail behavior for a non-standard renewal risk model with a dependence structure and stochastic return. An insurance company is allowed to invest in financial assets such as risk-free bonds and risky stocks, and the price process of its portfolio is described by a geometric Lévy process. By restricting the claim-size distribution to the class of extended regular variation (ERV) and imposing a constraint on the Lévy process in terms of its Laplace exponent, we obtain for the tail probability of the stochastic present value of aggregate claims a precise asymptotic formula, which holds uniformly for all time horizons. We further prove that the corresponding ruin probability also satisfies the same asymptotic formula.     

Local behavior and hitting probabilities of the \text{ Airy}_1 process

We obtain a formula for the $n$ -dimensional distributions of the $\text{ Airy}_1$ process in terms of a Fredholm determinant on $L^2(\mathbb{R })$ , as opposed to the standard formula which involves extended kernels, on $L^2(\{1,\dots ,n\}\times \mathbb{R })$ . The formula is analogous to an earlier formula of Prähofer and Spohn (J Stat Phys 108(5–6):1071–1106, 2002) for the $\text{ Airy}_2$ process. Using this formula we are able to prove that the $\text{ Airy}_1$ process is Hölder continuous with exponent $\frac{1}{2}$ —and that it fluctuates locally like a Brownian motion. We also explain how the same methods can be used to obtain the analogous results for the $\text{ Airy}_2$ process. As a consequence of these two results, we derive a formula for the continuum statistics of the $\text{ Airy}_1$ process, analogous to that obtained in Corwin et al. (Commun Math Phys 2011, to appear) for the $\text{ Airy}_2$ process.     

Martingales and stochastic integrals in the theory of continuous trading

This paper develops a general stochastic model of a frictionless security market with continuous trading. The vector price process is given by a semimartingale of a certain class, and the general stochastic integral is used to represent capital gains. Within the framework of this model, we discuss the modern theory of contingent claim valuation, including the celebrated option pricing formula of Black and Scholes. It is shown that the security market is complete if and only if its vector price process has a certain martingale representation property. A multidimensional generalization of the Black-Scholes model is examined in some detail, and some other examples are discussed briefly.     

Extended integer rank reduction formulas and Smith normal form

We present an integer rank reduction formula for transforming the rows and columns of an integer matrix A. By repeatedly applying the formula to reduce rank, an extended integer rank reducing process is derived. The process provides a general finite iterative approach for constructing factorizations of A and A ^T under a common framework of a general decomposition V ^T AP?=?Ω. Then, we develop the integer Wedderburn rank reduction formula and its integer biconjugation process. Both the integer biconjugation process associated with the Wedderburn rank reduction process and the scaled extended integer Abaffy–Broyden–Spedicato (ABS) class of algorithms are shown to be in the integer rank reducing process. We also show that the integer biconjugation process can be derived from the scaled integer ABS class of algorithms applied to A or A ^T . Finally, we show that the integer biconjuagation process is a special case of our proposed ABS class of algorithms for computing the Smith normal form.     

实时定期人寿保险的破产模型及破产概率的计算

研究定期人寿保险中破产风险问题。建立了该类问题的数学模型,并分析其结构特征,推导破产概率的计算公式,并设计其计算方法。同以往模型相比,新模型的建立考虑了初始准备金的利息积累和任何时刻的新投保人的加入,采用了新的分组方式。这种新模型更加真实地刻画了实际过程,保证了传统模型中常用的某些假设得到了满足。     

Stochastic integral in the case of infinite expected first exit time

We develop a method of analysis of a multidimensional semi-Markov process of diffusion type in the case of infinite expectation of the first exit time from a small neighborhood of the initial point. A generalization of Dynkin’s formula for this case is obtained. Itô’s formula for a stochastic integral over a multidimensional semi-Markov process of diffusion type is derived. Bibliography: 4 titles.     

On a robust version of the integral representation formula of nonlinear filtering

The paper is concerned with completing “unfinished business” on a robust representation formula for the conditional expectation operator of nonlinear filtering. Such a formula, robust in the sense that its dependence on the process of observations is continuous, was stated in [2] without proof. The main purpose of this paper is to repair this deficiency.The formula is “almost obvious” as it can be derived at a formal level by a process of integration-by-parts applied to the stochastic integrals that appear in the integral representation formula. However, the rigorous justification of the formula is quite subtle, as it hinges on a measurability argument the necessity of which is easy to miss at first glance. The continuity of the representation (but not its validity) was proved by Kushner [9] for a class of diffusions.Here we follow the definition given in [11].     

The General Two-Server Queueing Loss System: Discrete-Time Analysis and Numerical Approximation of Continuous-Time Systems

The Erlang Loss formula is a widely used model for determining values of the long-run proportion of customers that are lost (p_loss values) in multi-server loss systems with Poisson arrival processes. There is a need for models that are less restrictive. Here, the general two-server loss system is investigated with no restrictions on the form that the renewal type input process takes; i.e. the underlying model is based on the GI/G/2 model of queueing theory. The analysis is carried out in discrete time leading to a compact system of equations that can be solved numerically, or in special cases exactly, to obtain p_loss values. Exact results are obtained for some specific loss systems involving geometric distributions and, by taking appropriate limits, these results are extended to their continuous-time counterparts. A simple numerical procedure is developed to allow systems involving arbitrary continuous distributions to be approximated by the discrete-time model, leading to very accurate results for a set of test problems.     

Generators of some non-commutative stochastic processes

A fundamental result of Biane (Math Z 227:143–174, 1998) states that a process with freely independent increments has the Markov property, but that there are two kinds of free Lévy processes: the first kind has stationary increments, while the second kind has stationary transition operators. We show that a process of the first kind (with mean zero and finite variance) has the same transition operators as the free Brownian motion with appropriate initial conditions, while a process of the second kind has the same transition operators as a monotone Lévy process. We compute an explicit formula for the generators of these families of transition operators, in terms of singular integral operators, and prove that this formula holds on a fairly large domain. We also compute the generators for the $q$ -Brownian motion, and for the two-state free Brownian motions.     

Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes

The aim of this article is to compute Greeks, i.e. price sensitivities in the framework of the Lévy LIBOR model. Two approaches are discussed. The first approach is based on the integration-by-parts formula, which lies at the core of the application of the Malliavin calculus to finance. The second approach consists of using Fourier-based methods for pricing derivatives. We illustrate the result by applying the formula to a caplet price where the jump part of the driving process of the underlying model is given by a time–inhomogeneous Gamma process and alternatively by a Variance Gamma process.     

A mathematical approach to HIV infection dynamics

In order to obtain a comprehensive form of mathematical models describing nonlinear phenomena such as HIV infection process and AIDS disease progression, it is efficient to introduce a general class of time-dependent evolution equations in such a way that the associated nonlinear operator is decomposed into the sum of a differential operator and a perturbation which is nonlinear in general and also satisfies no global continuity condition. An attempt is then made to combine the implicit approach (usually adapted for convective diffusion operators) and explicit approach (more suited to treat continuous-type operators representing various physiological interactions), resulting in a semi-implicit product formula. Decomposing the operators in this way and considering their individual properties, it is seen that approximation–solvability of the original model is verified under suitable conditions. Once appropriate terms are formulated to describe treatment by antiretroviral therapy, the time-dependence of the reaction terms appears, and such product formula is useful for generating approximate numerical solutions to the governing equations. With this knowledge, a continuous model for HIV disease progression is formulated and physiological interpretations are provided. The abstract theory is then applied to show existence of unique solutions to the continuous model describing the behavior of the HIV virus in the human body and its reaction to treatment by antiretroviral therapy. The product formula suggests appropriate discrete models describing the dynamics of host pathogen interactions with HIV1 and is applied to perform numerical simulations based on the model of the HIV infection process and disease progression. Finally, the results of our numerical simulations are visualized and it is observed that our results agree with medical and physiological aspects.     

An Itō Formula in the Space of Tempered Distributions

We extend the Itō formula (Rajeev in From Tanaka’s formula to Ito’s formula: distributions, tensor products and local times, Springer, Berlin, 2001, Theorem 2.3) for semimartingales with paths that are right continuous and have left limits. We also comment on the local time process of such semimartingales. We apply the Itō formula to Lévy processes to obtain existence of solutions to certain classes of stochastic differential equations in the Hermite–Sobolev spaces.     

A Simple Method for Computing the Observed Information Matrix When Using the EM Algorithm with Categorical Data

Abstract

A simple matrix formula is given for the observed information matrix when the EM algorithm is applied to categorical data with missing values. The formula requires only the design matrices, a matrix linking the complete and incomplete data, and a few simple derivatives. It can be easily programmed using a computer language with operators for matrix multiplication, element-by-element multiplication and division, matrix concatenation, and creation of diagonal and block diagonal arrays. The formula is applicable whenever the incomplete data can be expressed as a linear function of the complete data, such as when the observed counts represent the sum of latent classes, a supplemental margin, or the number censored. In addition, the formula applies to a wide variety of models for categorical data, including those with linear, logistic, and log-linear components. Examples include a linear model for genetics, a log-linear model for two variables and nonignorable nonresponse, the product of a log-linear model for two variables and a logit model for nonignorable nonresponse, a latent class model for the results of two diagnostic tests, and a product of linear models under double sampling.     

Bentley’s conjecture on popularity toplist turnover under random copying

Bentley et al. studied the turnover rate in popularity toplists in a ‘random copying’ model of cultural evolution. Based on simulations of a model with population size N, list length ? and invention rate μ, they conjectured a remarkably simple formula for the turnover rate: $\ell \sqrt{\mu}$ . Here we study an overlapping generations version of the random copying model, which can be interpreted as a random walk on the integer partitions of the population size. In this model we show that the conjectured formula, after a slight correction, holds asymptotically.     

The Asymptotic Behavior of the Ruin Probability within a Random Horizon

Subject to the assumption that the common distribution of claim sizes belongs to the extendedregular variation class,the present work obtains a simple asymptotic formula for the ruin probability within arandom or nonrandom horizon in the renewal model.     

Global existence for some slightly super-linear parabolic equations with measure data

In this work we study the global existence of a solution to some parabolic problems whose model is

(1)     

On option pricing under a completely random measure via a generalized Esscher transform

In this paper, we develop an option valuation model when the price dynamics of the underlying risky asset is governed by the exponential of a pure jump process specified by a shifted kernel-biased completely random measure. The class of kernel-biased completely random measures is a rich class of jump-type processes introduced in [James, L.F., 2005. Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages. Ann. Statist. 33, 1771–1799; James, L.F., 2006. Poisson calculus for spatial neutral to the right processes. Ann. Statist. 34, 416–440] and it provides a great deal of flexibility to incorporate both finite and infinite jump activities. It includes a general class of processes, namely, the generalized Gamma process, which in its turn includes the stable process, the Gamma process and the inverse Gaussian process as particular cases. The kernel-biased representation is a nice representation form and can describe different types of finite and infinite jump activities by choosing different mixing kernel functions. We employ a dynamic version of the Esscher transform, which resembles an exponential change of measures or a disintegration formula based on the Laplace functional used by James, to determine an equivalent martingale measure in the incomplete market. Closed-form option pricing formulae are obtained in some parametric cases, which provide practitioners with a convenient way to evaluate option prices.     

A mathematical model of pricing in a large system of cash bonds

The purpose of this paper is to give a mathematical model to generalize the classical approach of compound interest and to overcome the time structure problem of the interest rates. We introduce a suitable stochastic process called the ‘gauge’ process such that its product with the value of any security is assumed to be a martingale in an appropriate probability space. The framework of this model gives a stochastic actualization formula for the pricing of general securities with options and includes Black and Schole's formula without using arbitrage arguments. Emphasis has been placed on numerical calculation.