在不同的非整数年龄生存分布假设下同一险种的趸缴纯保费之比较

根据生存函数在不同的非整数年龄假设下的大小关系,证明了在不同非整数年龄假设下的连续型寿险的趸缴纯保费的大小关系以及连续型生存年金的趸缴纯保费的大小关系.     

分数年龄生存函数的估计

本文主要讨论了生存函数的插值问题,使用了非节点端点的三次样条插值和α-power插值两种方法对生存函数进行了插值,并与传统的三种插值假设：死亡均匀分布假设、常数死亡力假设、Balducci假设做了比较.另外,我们对α-power插值中的α进行了拟合,并通过误差分析表明先对α拟合后再进行α-power插值,其插值的误差将会变得非常小,几乎与样条插值相仿.     

非线性整规划中的精确光滑罚函数

本文提出了几个非线性整规划 的全局精确光滑罚函数，每个罚函数有两个参数，并且给出了每个罚函数的精确罚参数的估计值，最后，我们举例说明了所提出的罚方法在具有整系数多项式目标函数以约束函数的整数规划中的应用。     

基于二次多项式的积极集光滑化max函数及其在无约束minimax问题中的应用

本文基于分段二次多项式方程,构造了一种积极集策略的光滑化max函数.通过给出与光滑化max函数相关的分量函数指标集的直接计算方法,将分段二次多项式方程转化为一般二次多项式方程.利用二次多项式方程根的性质,给出了该光滑化max函数的稳定计算策略,证明了其具有一阶光滑性,其梯度函数具有局部Lipschitz连续性和强半光滑性.该光滑化max函数仅与函数值较大的分量函数相关,适用于含分量函数较多且复杂的max函数的问题.为了验证其效率,本文基于该函数构造了一种解含多个复杂分量函数的无约束minimax问题的光滑化算法,数值实验表明了该光滑化max函数的可行性及有效性.     

非光滑函数的分数阶插值公式

本文基于局部分数阶Taylor展开式构造非光滑函数的分数阶插值公式,证明了插值公式的存在和唯一性,给出了分数阶插值的Lagrange表示形式及其误差余项,讨论了一种混合型的分段分数阶插值和整数阶插值的收敛阶.数值算例验证了对于非光滑函数分数阶插值明显优于通常的多项式插值,并说明在实际计算中采用分段混合分数阶和整数阶插值可以使得插值误差在区间上分布均匀,能够极大地提高插值精度.     

部分线性模型基于参数信息的统计推断

针对部分线性模型提出了一种新的估计方法-Profile局部最小二乘估计,方法结合了非参数部分的参数信息.另外对于部分线性模型中非参数部分是否为某一参数函数的检验问题,基于比较原假设与备择假设下模型拟合的残差平方和的思想构造了检验统计量,并给出了计算检验p-值的精确方法和三阶矩χ2逼近方法.     

迭代的计算与估计

对高次多项式函数这类非线性映射给出了一般 n次迭代的一个计算结果 ,还讨论了一维欧氏空间中一些非多项式型映射的迭代 .在二维欧氏空间中 ,我们给出了几类特殊的非线性迭代的结果 .对于一些难以精确计算迭代表达式的映射 ,我们给出了其迭代的估计 .     

部分线性函数多项式模型的联合探测北大核心CSCD

本文提出了一个新的部分线性函数多项式回归模型,该模型中响应变量依赖于一个p阶函数多项式和一些非函数型数据的协变量．函数多项式模型、函数线性模型和部分函数线性模型是该模型的特殊情形．本文提出了一个模型探测方法,它能同时探测部分线性函数多项式回归模型中哪些阶是重要的以及哪些非函数型变量是重要的．提出的方法能相合地识别真实的模型并有好的预测表现．数值模拟能清晰地证实我们的理论结果．     

二次多项式微分系统的广义反射函数

利用广义反射函数理论,讨论多项式微分系统的广义反射函数的结构形式.并利用所得结论探讨二次多项式微分系统的周期解的几何性质.     

连续区间上积分值的二次样条拟插值

在实际问题中,某些插值点处的函数值往往是未知的,而仅仅已知一些连续等距区间上的积分值.如何利用连续区间上积分值信息来解决函数重构是一个有意义的问题.首先,文章利用连续等距区间上的积分值信息直接构造了一类二次样条拟插值,它称之为积分值型二次样条拟插值.然后,给出了积分值型二次样条拟插值的多项式再生性和逼近节点处函数值的超收敛性.最后,给出了一类改进的积分值型二次样条拟插值及其性质.实验结果表明,与已有的积分值型三次样条拟插值相比,文章提出的拟插值更简单和有效,并且可以推广到积分值型高次样条拟插值.     

A critique of fractional age assumptions

Published mortality tables are usually calibrated to show the survival function of the age at death distribution at exact integer ages. Actuaries make fractional age assumptions when valuing payments that are not restricted to integer ages. A fractional age assumption is essentially an interpolation between integer age values which are accepted as given.Three fractional age assumptions have been widely used by actuaries. These are the uniform distribution of death (UDD) assumption, the constant force assumption and the hyperbolic or Balducci assumption. Under all three assumptions, the interpolated values of the survival function between two consecutive ages depend only on the survival function at those ages. While this has the advantage of simplicity, all three assumptions result in force of mortality and probability density functions with implausible discontinuities at integer ages.In this paper, we examine some families of fractional age assumptions that can be used to correct this problem. To help in choosing specific fractional age assumptions and in comparing different sets of assumptions, we present an optimality criterion based on the length of the probability density function over the range of the mortality table.     

Comparison and bounds for functionals of future lifetimes consistent with life tables

We derive a new crossing criterion of hazard rates to identify a stochastic order relation between two random variables. We apply this crossing criterion in the context of life tables to derive stochastic ordering results among three families of fractional age assumptions: the family of linear force of mortality functions, the family of quadratic survival functions and the power family. Further, this criterion is used to derive tight bounds for functionals of future lifetimes that exhibit an increasing force of mortality with given one-year survival probabilities. Numerical examples illustrate our findings.     

Survival schedules and the estimation of the basic reproduction number ($${{\varvec{R}}}_{0}$$) without the assumption of extreme cases

Closed form expressions for the estimation of \(\hbox {R}_{0}\) in age structured populations have been derived by making assumptions about the mortality of host populations. In general, these mortality assumptions tend to be unrealistic when compared with the survival schedules of most natural populations. Here, I review important results for the estimation of \(\hbox {R}_{0}\) when the force of infection is constant and age independent in age structured host populations. I also present the details of a simple method for \(\hbox {R}_{0}\) estimation that can use data on the age structure of a host population derived from cross-sectional epidemiological studies, provided a few but clearly stated assumptions are met. I illustrate the method using data from a cross-sectional study about cutaneous leishmaniasis exposure in dogs from an endemic rural village in Panamá and compare \(\hbox {R}_{0}\) estimates based on closed form expressions and using a smoothed survival schedule. Finally, the use of the smoothed survival schedule provided an R\(_{0}\) estimate bounded by those obtained using closed form expressions that make extreme assumptions about mortality.     

Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

In this paper, we show how concentration inequalities for Gaussian quadratic form can be used to propose confidence intervals of the Hurst index parametrizing a fractional Brownian motion. Both cases where the scaling parameter of the fractional Brownian motion is known or unknown are investigated. These intervals are obtained by observing a single discretized sample path of a fractional Brownian motion and without any assumption on the Hurst parameter H.     

Infinite periodic words and almost nilpotent varieties

An almost nilpotent variety of linear growth is constructed in the paper for any infinite periodic word in an alphabet of two letters. A discrete series of different almost nilpotent varieties is also constructed. Only a few almost nilpotent varieties were studied previously and their existence was proved often under some additional assumptions. The existence of almost nilpotent varieties of arbitrary integer exponential growth with a fractional exponent is proved as well as the existence of a continual family of almost nilpotent varieties with not more than quadratic growth.     

Actuarial applications of the linear hazard transform in life contingencies

In this paper, we study the linear hazard transform and its applications in life contingencies. Under the linear hazard transform, the survival function of a risk is distorted, which provides a safety margin for pricing insurance products. Combining the assumption of α-power approximation with the linear hazard transform, the net single premium of a continuous life insurance policy can be approximated in terms of the net single premiums of discrete ones. Moreover, Macaulay duration, modified duration and dollar duration, all measuring the sensitivity of the price of a life insurance policy to force of mortality movements under the linear hazard transform, are defined and investigated. Some examples are given for illustration.     

Extensions of Dinkelbach's algorithm for solving non-linear fractional programming problems

Dinkelbach's algorithm was developed to solve convex fractinal programming. This method achieves the optimal solution of the optimisation problem by means of solving a sequence of non-linear convex programming subproblems defined by a parameter. In this paper it is shown that Dinkelbach's algorithm can be used to solve general fractional programming. The applicability of the algorithm will depend on the possibility of solving the subproblems. Dinkelbach's extended algorithm is a framework to describe several algorithms which have been proposed to solve linear fractional programming, integer linear fractional programming, convex fractional programming and to generate new algorithms. The applicability of new cases as nondifferentiable fractional programming and quadratic fractional programming has been studied. We have proposed two modifications to improve the speed-up of Dinkelbachs algorithm. One is to use interpolation formulae to update the parameter which defined the subproblem and another truncates the solution of the suproblem. We give sufficient conditions for the convergence of these modifications. Computational experiments in linear fractional programming, integer linear fractional programming and non-linear fractional programming to evaluate the efficiency of these methods have been carried out.     

A trust region SQP algorithm for mixed-integer nonlinear programming

We propose a modified sequential quadratic programming method for solving mixed-integer nonlinear programming problems. Under the assumption that integer variables have a smooth influence on the model functions, i.e., that function values do not change drastically when in- or decrementing an integer value, successive quadratic approximations are applied. The algorithm is stabilized by a trust region method with Yuan’s second order corrections. It is not assumed that the mixed-integer program is relaxable or, in other words, function values are evaluated only at integer points. The Hessian of the Lagrangian function is approximated by a quasi-Newton update formula subject to the continuous and integer variables. Numerical results are presented for a set of 80 mixed-integer test problems taken from the literature. The surprising result is that the number of function evaluations, the most important performance criterion in practice, is less than the number of function calls needed for solving the corresponding relaxed problem without integer variables.     

ASYMPTOTIC ERROR EXPANSIONS OF QUADRATIC SPLINE COLLOCATION SOLUTIONS FOR TWO-POINT BOUNDARY VALUE PROBLEMS

In this paper, we consider the following problem:The quadratic spline collocation, with uniform mesh and the mid-knot points are taken as the collocation points for this problem is considered. With some assumptions, we have proved that the solution of the quadratic spline collocation for the nonlinear problem can be written as a series expansions in integer powers of the mesh-size parameter. This gives us a construction method for using Richardson's extrapolation. When we have a set of approximate solution with different mesh-size parameter a solution with high accuracy can he obtained by Richardson's extrapolation.     

Intersection cuts for convex mixed integer programs from translated cones

We develop a general framework for linear intersection cuts for convex integer programs with full-dimensional feasible regions by studying integer points of their translated tangent cones, generalizing the idea of Balas (1971). For proper (i.e, full-dimensional, closed, convex, pointed) translated cones with fractional vertices, we show that under certain mild conditions all intersection cuts are indeed valid for the integer hull, and a large class of valid inequalities for the integer hull are intersection cuts, computable via polyhedral approximations. We also give necessary conditions for a class of valid inequalities to be tangent halfspaces of the integer hull of proper translated cones. We also show that valid inequalities for non-pointed regular translated cones can be derived as intersection cuts for associated proper translated cones under some mild assumptions.