���������DC�����Ͻ�����΢�ֲ���

This paper investigate a stochastic differential games for DC (defined contribution plans) pension under Vasicek stochastic interest rate. The finance market as the hypothetical counterpart, the investor as pension the leader of game. Our goal is through the game between pension plan investor and financial market, obtain optimal strategies to maximizes the expected utility of the terminal wealth. Under power utility function, by using stochastic control theory, we obtain closed-form solutions for the value function as well as the strategies. Finally, explain the research results in the economic sense, and though numerical calculation given the influence of some parameters on the optimal strategies     

�������ɷַ����ijɷ�����ȱʧֵ�岹��

In this paper, considering of the special geometry of compositionaldata, two new methods for estimating missing values in compositional data are introduced. Thefirst method uses the mean in the simplex space which mainly finds the-nearest neighborprocedure based on the Aitchison distance, combining with two basic operations on the simplex,perturbation and powering. As a second proposal the principal component regression imputationmethod is introduced which initially starts from the result of the proposed the mean in thesimplex. The method uses ilr transformation to transform the compositional data set, and thenuses principal component regression in a transformed space. The proposed methods are testedon real data and simulated data sets, the results show that the proposed methods work well.     

�����������Ĵ������г�����ϵͳ����վ�㳵����ƽ���о�

??Recently, big data, could computing and internet of thingsprovide some new information technologies for organization and management of complexsystems, and they have caused multifaceted changes on organization framework andoperations mechanism of enterprises. Based on this, we first construct a new stochasticmodel for a big data driven large-scale bike-sharing system, which expresses theimportant role played by big data, and describes the operations mechanism of thelarge-scale bike-sharing system, and specifically, the rebalancing of bikes in variousstations in terms of trucks. Then, we present a mean-field limit theory, which isapplied to analyzing the big data driven large-scale bike-sharing system, includingestablishing a time-inhomogeneous queueing system by means of the mean field theory,and setting up the mean-field equations through the time-inhomogeneous queueing system;providing an empirical measure process by means of a nonlinear birth-death process,giving algorithms for computing the fixed point in terms of a segmented structuralbirth-death processes, and computing the average number of bikes in each station; andproviding numerical examples to analyze how the steady average number of bikes in eachstation depends on some key parameters of the bike-sharing system. Using these results,this paper analyzes physical effect of big data on performance of the large-scalebike-sharing. Therefore, this paper gives a promising research direction of stochasticmodel in the study of large-scale bike-sharing systems.     

���ηֲ�������ͳ������

本文研究如何用次序统计量来刻划几何分布, 证明了如下两个命题: (1) 若存在$k,\;1     

���Volterra���̵����ļ��޶���

??In this paper, we study a class of stochastic Volterra equations, which include the stochastic differential equation driven by fractional Brownian motion. By using a maximal inequality due to It\^o (1979), we establish the central limit theorem for stochastic Volterra equation on the continuous path space, with respect to the uniform norm.     

���ӻ����Ʒ��Ԫ~FT VSI~��Ҷ˹����ͼ�����о�

Aiming at the complex mechanical and electrical products quality control and early warning problems, a performance analysis model of control chart, which combines the multivariate Bayesian statistical method with the economic performance analysis is constructed. In the solution model, a FT VSI strategy is used in the multivariate Bayesian control chart. If a small probability of random failure occurs, then a loose sampling scheme is selected. Otherwise, a strict sampling program is applied. To quantify the correlation between the economic and the statistical performance of the multivariate Bayesian control chart, a quality control model based on Monte Carlo simulation is used and the ANOSE (Average Number of Observations to Signals or End of the production run) is taken under different economic parameters, which performs the degree of influence of the statistical performance of the control chart. In addition, the relationship between the quality control cost and the false alarm rate of the multi-Bayesian control chart is explained. Finally, for instance, a multiple quality control process of the automatic transmission of the automobile is used to verify the performance evaluation and optimization of the multivariate FT VSI Bayesian control chart. The results show that the method has a better application.     

��������������ɢģ���л��ֲ����ʵķDz�������

??This paper studies nonparametric estimation of the integratedvolatility of Poisson jump-diffusion processes with noisy high-frequency data. Wepropose jump-robust two-scale and multi-scale estimators. The estimators are based ona combination of the multi-scale method and threshold technique, which serves to removemicrostructure noise and jumps, respectively. Furthermore, asymptotic properties of theproposed estimators, such as consistency, are established.     

\mathbb{R}�϶Գ�Cauchy�����񼯵�ȷ��Hausdorff���

??This paper establishes limsup type law of the iterated logarithm of the occupation measure, using the asymptotic equivalence relation between the occupation measure and the number of excursion process of a symmetric Cauchy process. Furthermore, by using the density theorem and the economic coverage method, it derives the exact Hausdorff measure for the range of a symmetric Cauchy process in \mathbb{R}.     

���k-out-of-nϵͳ����Լ���²����Ĺ��ƺ��㷨

In this paper we focus on the sequential k-out-of-n model with covariates. We assume that the lifetime distribution given covariates belongs to the exponential family, and deal with log-linear model of the scale parameter of the exponential distribution. The maximum likelihood estimators (MLEs) of the model parameters with order restrictions are derived and some properties of the MLEs are discussed, and we give the algorithm of MLES and the result of simulation.     

����Copula������Ӧ��-ǿ��ģ�Ϳɿ��ȵķDz�������

In this paper, a nonparametric method for reliabilityof the stress-strength model is proposed when the dependent stress variableand strength variable are subject to right censoring. The dependence betweenvariables is measured by the common Farlie-Gumbel-Morgenstern copula functionand Clayton copula function. Using the empirical process theory, consistencyand asymptotic normality of the proposed estimator is established in thispaper. The results of numerical simulation show that the proposed methodperforms well in the case of finite sample. The method proposed in this paperhas a wide application prospect in practice.     

均值-方差准则下具有负债的随机微分博弈

研究了均值-方差准则下,具有负债的随机微分博弈.研究目标是:在终值财富的均值等于k的限制下,在市场出现最坏的情况下找到最优的投资策略使终值财富的方差最小.即:基于均值-方差随机微分博弈的投资组合选择问题.使用线性-二次控制的理论解决了该问题,获得了最优的投资策略、最优市场策略和有效边界的显示解.并通过对所得结果进行进一步分析,在经济上给出了进一步的解释.通过本文的研究,可以指导金融公司在面临负债和金融市场情况恶劣时,选择恰当的投资策略使自身获得一定的财富而面临的风险最小.     

具有随机工资的养老金最优投资问题

在三种目标函数下, 研究了具有随机工资的养老金最优投资问题. 第一种是均值-方差准则, 第二种基于效用的随机微分博弈, 第三种基于均值-方差准则的随机微分博弈. 随机微分博弈问题中博弈的双方为养老金计划投资者和金融市场, 金融市场是博弈的虚拟手. 应用线性二次控制理论求得了三种目标函数下的最优策略和值函数的显式解.     

带交易费用的最优投资和比例再保险

研究了保险公司的最优投资和再保险问题.保险公司的盈余通过跳-扩散风险模型来模拟,可以把盈余的一部分投资到金融市场,金融市场由一个无风险资产和n个风险资产组成,并且保险公司还可以购买比例再保险;在买卖风险资产时,考虑了交易费用.通过随机控制的理论,获得了最优策略和值函数的显示解.     

在不允许卖空条件下的最优比例再保险投资

假设保险公司的盈余过程服从一个带扰动项的布朗运动,保险公司可以投资一个无风险资产和n个风险资产,还可以购买比例再保险,并且风险市场是不允许卖空的.本文在均值一方差优化准则下研究保险公司的最优投资一再保策略选择问题,利用LQ随机控制方法求解模型,得到了保险公司的最优组合投资策略的解析和保险公司投资的有效投资边界的解析表达...     

ͨ�ͷ����µ�³������Ͷ��������ٱ��������о�

??In this paper, we investigate a robust optimal portfolio and reinsurance problem under inflation risk for an ambiguity-averse insurer (AAI), who worries about uncertainty in model parameters. We assume that the AAI is allowed to purchase proportional reinsurance and invest his/her wealth in a financial market which consists of a risk-free asset and a risky asset. The objective of the AAI is to maximize the minimal expected power utility of terminal wealth. By using techniques of stochastic control theory, closed-form expressions for the value function and optimal strategies are obtained.     

随机利率下DC型养老金的随机微分博弈

本文研究了Vasicek随机利率下DC型养老金的随机微分博弈.金融市场是博弈的"虚拟"手,博弈中养老金计划投资者占主导.研究目标是:通过养老金计划投资者和金融市场之间的博弈,寻找最优的策略使得终止时刻财富的期望效用达到最大.在幂效用函数下,运用随机控制理论求得了最优策略和值函数的显式解.最后,解释了所研究的结果在经济上的意义,并通过数值计算分析了一些参数对最优策略的影响.     

最小化破产概率的保险人鲁棒投资再保险策略研究

在模型不确定条件下,研究以破产概率最小化为目标的模糊厌恶型保险公司的最优投资再保险问题. 假设保险公司可投资于一种风险资产,也可购买比例再保险. 分别考虑风险资产的价格过程服从随机波动率模型和非随机波动率模型的两种情况,根据动态规划原理建立相应的HJB方程,得到保险公司的最优鲁棒投资再保险策略和价值函数的解析解. 最后,通过数值模拟分析了各模型参数对最优策略和价值函数的影响.     

道德风险影响下的保险最优投资研究

在考虑道德风险的情况下,以均值方差准则为目标研究保险人最优投资问题.假设保险盈余过程服从C-L模型,金融市场上存在一种无风险资产和一种风险资产可供投资,其中风险资产的价格过程服从几何布朗运动.在纯道德风险保险契约设计中,借鉴相关研究对努力水平和效用化努力成本的假设,量化道德风险对盈余过程的影响.在均值方差目标下,建立保险人最优投资问题的广义Hamilton-Jacobi-Bellman(HJB)方程,给出保险人时间一致的均衡投资策略和价值函数.结果显示累计索赔比例参数越大,公司对最优努力水平越敏感,采取措施降低道德风险有利于公司收益提升;努力成本参数越大,公司会降低努力水平减少支出,避免损失.     

跳-扩散风险模型的最优投资和再保险策略

本文对跳-扩散风险模型,在赔付进行比例再保险,以及盈余投资于无风险资产和风险资产的条件下,研究使得最终财富的指数期望效用最大的最优投资和比例再保险策略.得到最优投资策略和最优再保险策略,以及最大指数期望效用函数的显式表达式,发现最优策略和值函数都受到无风险利率的影响.最后通过数值计算,得到最优投资和比例再保险策略,以及值函数与模型各个参数之间的关系.