Optimal joint survival reinsurance: An efficient frontier approach

The problem of optimal excess of loss reinsurance with a limiting and a retention level is considered. It is demonstrated that this problem can be solved, combining specific risk and performance measures, under some relatively general assumptions for the risk model, under which the premium income is modelled by any non-negative, non-decreasing function, claim arrivals follow a Poisson process and claim amounts are modelled by any continuous joint distribution. As a performance measure, we define the expected profits at time x of the direct insurer and the reinsurer, given their joint survival up to x, and derive explicit expressions for their numerical evaluation. The probability of joint survival of the direct insurer and the reinsurer up to the finite time horizon x is employed as a risk measure. An efficient frontier type approach to setting the limiting and the retention levels, based on the probability of joint survival considered as a risk measure and on the expected profit given joint survival, considered as a performance measure is introduced. Several optimality problems are defined and their solutions are illustrated numerically on several examples of appropriate claim amount distributions, both for the case of dependent and independent claim severities.     

Mayer control problem with probabilistic uncertainty on initial positions

In this paper we introduce and study an optimal control problem in the Mayer's form in the space of probability measures on ${\mathbb{R}}^n$ endowed with the Wasserstein distance. Our aim is to study optimality conditions when the knowledge of the initial state and velocity is subject to some uncertainty, which are modeled by a probability measure on ${\mathbb{R}}^d$ and by a vector-valued measure on ${\mathbb{R}}^d$, respectively. We provide a characterization of the value function of such a problem as unique solution of an Hamilton–Jacobi–Bellman equation in the space of measures in a suitable viscosity sense. Some applications to a pursuit-evasion game with uncertainty in the state space is also discussed, proving the existence of a value for the game.     

Explicit solutions for one-dimensional two-phase free boundary problems with either shrinkage or expansion

We consider a one-dimensional solidification of a pure substance which is initially in liquid state in a bounded interval $[0,l]$. Initially, the liquid is above the freezing temperature, and cooling is applied at $x=0$ while the other end $x=l$ is kept adiabatic. At the time $t=0$, the temperature of the liquid at $x=0$ comes down to the freezing point and solidification begins, where $x=s\left(t\right)$ is the position of the solid–liquid interface. As the liquid solidifies, it shrinks ($0<r<1$) or expands ($r<0$) and appears a region between $x=0$ and $x=rs\left(t\right)$, with $r<1$. Temperature distributions of the solid and liquid phases and the position of the two free boundaries ($x=rs\left(t\right)$ and $x=s\left(t\right)$) in the solidification process are studied. For three different cases, changing the condition on the free boundary $x=rs\left(t\right)$ (temperature boundary condition, heat flux boundary condition and convective boundary condition) an explicit solution is obtained. Moreover, the solution of each problem is given as a function of a parameter which is the unique solution of a transcendental equation and for two of the three cases a condition on the parameter must be verified by data of the problem in order to have an instantaneous phase-change process. In all the cases, the explicit solution is given by a representation of the similarity type.     

Compact-like operators in lattice-normed spaces

A linear operator $T$ between two lattice-normed spaces is said to be $p$-compact if, for any $p$-bounded net $x_{\alpha }$, the net $T{x}_{\alpha }$ has a $p$-convergent subnet. $p$-Compact operators generalize several known classes of operators such as compact, weakly compact, order weakly compact, $AM$-compact operators, etc. Similar to $M$-weakly and $L$-weakly compact operators, we define $p$-$M$-weakly and $p$-$L$-weakly compact operators and study some of their properties. We also study $up$-continuous and $up$-compact operators between lattice-normed vector lattices.     

Riemann–Hilbert approach for the Camassa–Holm equation on the line

We present a Riemann–Hilbert problem formalism for the initial value problem for the Camassa–Holm equation $u_t?u_{txx}+2\omega u_x+3u{u}_x=2u_x{u}_{xx}+u{u}_{xxx}$ on the line (CH). We show that: (i) for all $\omega >0$, the solution of this problem can be obtained in a parametric form via the solution of some associated Riemann–Hilbert problem; (ii) for large time, it develops into a train of smooth solitons; (iii) for small ω, this soliton train is close to a train of peakons, which are piecewise smooth solutions of the CH equation for $\omega =0$. To cite this article: A. Boutet de Monvel, D. Shepelsky, C. R. Acad. Sci. Paris, Ser. I 343 (2006).     

Lehmer's totient problem over Fq[x]

In this paper, we consider the function field analogue of the Lehmer's totient problem. Let $p(x)\in {\mathbb{F}}_q[x]$ and $\phi (q,p(x))$ be the Euler's totient function of $p(x)$ over ${\mathbb{F}}_q[x]$, where ${\mathbb{F}}_q$ is a finite field with q elements. We prove that $\phi (q,p(x))|(q^{\mathrm{deg}(p(x))}?1)$ if and only if (i) $p(x)$ is irreducible; or (ii) $q=3$, $p(x)$ is the product of any 2 non-associate irreducibles of degree 1; or (iii) $q=2$, $p(x)$ is the product of all irreducibles of degree 1, all irreducibles of degree 1 and 2, and the product of any 3 irreducibles one each of degree 1, 2 and 3.     

Periodic solutions of Liénard equation with a singularity and a deviating argument

In this paper, we study the existence of periodic solutions of the Liénard equation with a singularity and a deviating argument $x^{″}+f\left(x\right)x^{\prime }+g(t,x(t-\sigma ))=0\text{.}$ When $g$ has a strong singularity at $x=0$ and satisfies a new small force condition at $x=\infty$, we prove that the given equation has at least one positive $T$-periodic solution.