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1.
In the seminal work of Chan and Gerber (1985), one of the earliest game theoretical approaches was proposed to model the interaction between the reinsurer and insurer; in particular, the optimal pricing density for the reinsurer and optimal ceded loss for the insurer were determined so that their corresponding expected utilities could be maximized. Over decades, their advocated Bowley solution (could be understood as Stackelberg equilibria) concept of equilibrium reinsurance strategy has not been revisited in the modern risk management framework. In this article, we attempt to fill this gap by extending their work to the setting of general premium principle for the reinsurer and distortion risk measure for the insurer.  相似文献   

2.
In this paper the box constrained global optimization problem in presence of a limited solution time is considered. A method is studied based on a combination of multistart and singlestart which implies a decision sequence on the number of random points to be generated. Search strategies are numerically illustrated. Criteria are introduced to measure the performance of solution methods for the problem class. Moreover, the performance of search strategies, specifically the efficiency of generating random points is analyzed.  相似文献   

3.
Motivated by the applications of the concept of expectation dependence in economics and finance, we propose a method to construct uniform confidence band for expectation dependence. It is derived based on Hoeffding’s inequality. Our proposed confidence band can be explicitly expressed and thus it is very easy to implement. Our method has applications to demand for a risky asset and first-order risk aversion problems. Simulations suggest our proposed confidence interval can control the coverage probabilities very well, and the average lengths are very short. Two empirical applications are presented to illustrate the usefulness of the constructed confidence band of expectation dependence.  相似文献   

4.
This research considers a supply chain financing system consisting of a capital‐constrained retailer, a supplier and a risk‐averse bank. The retailer may be subject to credit limit because of the bank's downside risk control, and hence, credit insurance should be needed to enhance his financing ability. This paper develops a mathematical optimization model by incorporating insurance policy into the well‐known newsvendor financing model. The optimal inventory and insurance decisions under different scenarios, that is, no insurance, insurance with symmetric information and insurance with asymmetric information, are derived. This work also discusses how the retailer's capital level, the bank's risk aversion, and the insurer's loading factor affect the optimal inventory and insurance decisions. The results show that the retailer will use credit insurance if he is sufficiently capital‐constrained or the insurer's risk loading factor is low enough. Moreover, credit insurance can bring Pareto improvement to the supply chain financing system, which verifies the prevalence of credit insurance in practice. Several numerical experiments are presented to examine the sensitivities of key parameters. Copyright © 2016 John Wiley & Sons, Ltd.  相似文献   

5.
In Gzyl and Mayoral (2008) we developed a technique to solve the following type of problems: How to determine a risk aversion function equivalent to pricing a risk with a load, or equivalent to pricing different risks by means of the same risk distortion function. The information on which the procedure is based consists of the market prices of the risk. Here we extend that method to cover the case in which there may be uncertainties in the market prices of the risks.  相似文献   

6.
An approach is proposed for estimating absolute errors and finding approximate solutions to classical NP-hard scheduling problems of minimizing the maximum lateness for one or many machines and makespan is minimized. The concept of a metric (distance) between instances of the problem is introduced. The idea behind the approach is, given the problem instance, to construct another instance for which an optimal or approximate solution can be found at the minimum distance from the initial instance in the metric introduced. Instead of solving the original problem (instance), a set of approximating polynomially/pseudopolynomially solvable problems (instances) are considered, an instance at the minimum distance from the given one is chosen, and the resulting schedule is then applied to the original instance.  相似文献   

7.
We use the method proposed by H. Kumano‐go in the classical case to construct a parametrix of the equation + q (x, D )u = 0 where q (x, D ) is a pseudo‐differential operator with symbol in the class introduced by W. Hoh. In case where –q (x, D ) extends to a generator of a Feller semigroup our construction yields an approximation for the transition densities of the corresponding Markov process. (© 2005 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)  相似文献   

8.
A nonlinear damped system with boundary input and output, which also has source term, is studied in this paper. It is proved that under some conditions the system has global solution and blow-up solution.  相似文献   

9.
In this paper, we propose a framework of risk measures for portfolio vectors, which is an extension of the ones introduced by Burgert and Rüschendorf (2006) and Rüschendorf (2013). Representation results for coherent and convex risk measures for portfolio vectors are provided. Applications to the multi-period risk measures are also given.  相似文献   

10.
In this paper we investigate an optimal investment strategy for a defined-contribution (DC) pension plan member who is loss averse, pays close attention to inflation and longevity risks and requires a minimum performance at retirement. The member aims to maximize the expected S-shaped utility from the terminal wealth exceeding the minimum performance by investing her wealth in a financial market consisting of an indexed bond, a stock and a risk-free asset. We derive the optimal investment strategy in closed-form using the martingale approach. Our theoretical and numerical results reveal that the wealth proportion invested in each risky asset has a V-shaped pattern in the reference point level, while it always increases in the rising lifespan; with a positive correlation between salary and inflation risks, the presence of salary decreases the member’s investment in risky assets; the minimum performance helps to hedge the longevity risk by increasing her investment in risky assets.  相似文献   

11.
This paper studies a nonautonomous Lotka-Volterra dispersal systems with infinite time delay which models the diffusion of a single species into n patches by discrete dispersal. Our results show that the system is uniformly persistent under an appropriate condition. The sufficient condition for the global asymptotical stability of the system is also given. By using Mawhin continuation theorem of coincidence degree, we prove that the periodic system has at least one positive periodic solution, further, obtain the uniqueness and globally asymptotical stability for periodic system. By using functional hull theory and directly analyzing the right functional of almost periodic system, we show that the almost periodic system has a unique globally asymptotical stable positive almost periodic solution. We also show that the delays have very important effects on the dynamic behaviors of the system.  相似文献   

12.
A similarity equation of the momentum boundary layer is analytically studied for a moving flat plate with mass transfer in a stationary fluid by a newly developed technique namely homotopy analysis method (HAM). The equation shows its significance for the practical problem of a shrinking sheet with a constant velocity, and only admits the existence of the solution with mass suction at the wall surface. The present work provides analytically new solution branch of the Blasius equation with a shrinking sheet in different solution areas, including both multiple solutions and unique solution with the aid of an introduced auxiliary function. The analytical results show that quite complicated behavior with three different solution areas controlled by two critical mass transfer parameters exists, which agrees well with the numerical techniques and greatly differs from the continuously stretching surface problem and the Blasius problem with a free stream. The new analytical solution branch of the Blasius equation with a shrinking sheet enriches the solution family of the Blasius equation, and helps to deeply understand the Blasius equation.  相似文献   

13.
利用锥上的不动点定理获得了一个渐近非线性Dirirchlet问题的对径解的存在定理。  相似文献   

14.
Abstract. It is proved that the semilinear elliptic problem with zero boundary value  相似文献   

15.
In this paper, we studied a non-autonomous predator-prey system with discrete time-delay, where there is epidemic disease in the predator. By using some techniques of the differential inequalities and delay differential inequalities, we proved that the system is permanent under some appropriate conditions. When all the coefficients of the system is periodic, we obtained the existence and global attractivity of the positive periodic solution by Mawhin’s continuation theorem and constructing a suitable Lyapunov functional. Furthermore, when the coefficients of the system are not absolutely periodic but almost periodic, sufficient conditions are also derived for the existence and asymptotic stability of the almost periodic solution.  相似文献   

16.
In this article, based on the T-weakly continuous theory, we prove the existence of global weak solution of the 2D incompressible Marangoni problem, which is modelled by the Boussinesq equations omitting effect of buoyancy. Moreover, we show that such weak solution is unique, and which is a time-dependent perturbation solution from a steady state.  相似文献   

17.
We here investigate an existence and uniqueness of the nontrivial, nonnegative solution of a nonlinear ordinary differential equation:
(fm)+βrf+αf+σ(fq)=0  相似文献   

18.
一类强非线性偏微分方程组初边值问题之逆算符解法新探   总被引:6,自引:0,他引:6  
对填充床催化反应器的数学模型──一类强非线性偏微分方程级─边值问题,用逆算符法求其近似解析解,提出了用“部分解的几何平均”替代“部分解的算术平均”的新方法.从而较园满地给出了此类方程组初─边值问题的近似解析解.  相似文献   

19.
The period-$k$ solutions of population differential system with state-dependent impulsive effect are investigated by the theory of discontinuous dynamical system. Through $G$-function theory, the necessary and sufficient conditions are obtained for trajectory direction of a population differential system, and the results are better than the previous work. Also, the local stability of period-$k$ solutions is studied by the mapping structure and the theory of eigenvalue analysis. Furthermore, the existence of period-1 solution is investigated for a special impulsive population differential system, and the analytical condition is established. Finally, the trajectory of period-1 solution and the relationship between different parameters and the module of eigenvalues are illustrated.  相似文献   

20.
In this paper, we study the existence of ground state solutions of nonlinear elliptic equation with logarithmic nonlinearity by the Linking theorem and logarithmic Sobolev inequality. Our results are quite different from those in the case of polynomial nonlinearity.  相似文献   

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