有优先维修权和优先使用权的冷储备系统的几何过程模型

本文研究了一个由两个部件和一个维修工组成的可修型冷储备系统.假设两个部件的工作时间和维修时间都服从指数分布,对部件2的维修是修旧如新而对部件1则是几何维修,且对部件1给予优先使用和优先维修的权利,在这些假定下,我们运用几何过程理论和补充变量方法,得到了一些重要的可靠性指标如系统可靠度、可用度、系统首次故障前平均工作时间和系统瞬时故障率等.最后还给出了维修工空闲的概率.     

具有单重休假和修复不如新的两部件并联系统

为了解决由"修复非新"部件组成的具有休假的可修型系统,运用几何过程理论、补充变量法和拉普拉斯变换工具,研究了由两个不同型部件和一个修理工组成的可修型并联系统.假设两个部件的工作寿命和修理时间均服从不同的指数分布,修理工可休假,对部件1的修理是几何修理而对部件2的修理则是修复如新,得到了系统的可用度、可靠度和系统首次故障前平均时间等可靠性指标.成果具有一定的理论和实际意义.     

隐Brown运动驱动的Poisson过程强度估计量的强相合性

针对金融、保险等领域研究中经常遇到的隐Brown运动驱动的Poisson过程模型,通过概率变换并利用鞅论方法等工具,证明了对模型中某些参数所提出的两类估计量的强相合性,用数值试验检验了它们的有效性.试验结果表明,文中所给两类估计方法均优于已有方法.     

Thorin classes of Lévy processes and their transforms

We define and characterize Thorin classes {ie294-01}, of infinitely divisible distributions on R ₊. We investigate Poisson, Karlin, and Bessel transforms of Thorin classes and also consider extended Thorin classes {ie294-02}. Canonical representation and self-decomposability properties of Thorin subordinated Gaussian Lévy processes are discussed. As an example, a subordinated Cauchy process is considered in detail.     

对称马氏过程的Girsanov变换

本文讨论一类对称马氏过程的Girsanov变换,这类Girsanov变换是由该对称马氏过程所联系的狄氏型定义域中的函数来确定的．我们证明了对称马氏过程经变换后还是对称的马氏过程,并且给出经变换后的马氏过程所联系的狄氏型．这些结果将前人的相应结论从有界函数推广到更有应用意义的一类无界函数之上．     

Circulant Embedding of Approximate Covariances for Inference From Gaussian Data on Large Lattices

Recently proposed computationally efficient Markov chain Monte Carlo (MCMC) and Monte Carlo expectation–maximization (EM) methods for estimating covariance parameters from lattice data rely on successive imputations of values on an embedding lattice that is at least two times larger in each dimension. These methods can be considered exact in some sense, but we demonstrate that using such a large number of imputed values leads to slowly converging Markov chains and EM algorithms. We propose instead the use of a discrete spectral approximation to allow for the implementation of these methods on smaller embedding lattices. While our methods are approximate, our examples indicate that the error introduced by this approximation is small compared to the Monte Carlo errors present in long Markov chains or many iterations of Monte Carlo EM algorithms. Our results are demonstrated in simulation studies, as well as in numerical studies that explore both increasing domain and fixed domain asymptotics. We compare the exact methods to our approximate methods on a large satellite dataset, and show that the approximate methods are also faster to compute, especially when the aliased spectral density is modeled directly. Supplementary materials for this article are available online.     

A novel optimal preventive maintenance policy for a cold standby system based on semi-Markov theory

A novel optimal preventive maintenance policy for a cold standby system consisting of two components and a repairman is described herein. The repairman is to be responsible for repairing either failed component and maintaining the working components under certain guidelines. To model the operational process of the system, some reasonable assumptions are made and all times involved in the assumptions are considered to be arbitrary and independent. Under these assumptions, all system states and transition probabilities between them are analyzed based on a semi-Markov theory and a regenerative point technique. Markov renewal equations are constructed with the convolution of the cumulative distribution function of system time in each state and corresponding transition probability. By using the Laplace transform to solve these equations, the mean time from the initial state to system failure is derived. The optimal preventive maintenance policy that will provide the optimal preventive maintenance cycle is identified by maximizing the mean time from the initial state to system failure, and is determined in the form of a theorem. Finally, a numerical example and simulation experiments are shown which validated the effectiveness of the policy.     

平衡更新风险过程破产时刻的矩

本文研究了平衡更新风险过程中破产时刻的一阶矩和二阶矩问题.以首次索赔发生的时间和大小为分隔条件,应用全概率公式,得到了平衡更新风险过程中破产时刻一阶矩和二阶矩的表达式,最后通过一个数值例了加以说明.     

Discrete Spectrum of Nonstationary Stochastic Processes on Groups

Vector-valued, asymptotically stationary stochastic processes on -compact locally compact abelian groups are studied. For such processes, we introduce a stationary spectral measure and show that it is discrete if and only if the asymptotically stationary covariance function is almost periodic. Using an almost periodic Fourier transform we recover the discrete part of the spectral measure and construct a natural, consistent estimator for the latter from samples of the process.     

Optimal Upper and Lower Bounds for the Upper Tails of Compound Poisson Processes

A compound Poisson process is of the form where Z, Z ₁, Z ₂, are arbitrary i.i.d. random variables and N is an independent Poisson random variable with parameter . This paper identifies the degree of precision that can be achieved when using exponential bounds together with a single truncation to approximate . The truncation level introduced depends only on and Z and not on the overall exceedance level a.     

允许赤字的MAP风险过程首达时

保险公司作为负债经营的特殊企业,其偿付能力受到监管部门的约束,本文以公司负债经营为前提研究其各种首次时.考虑MAP风险过程,即存在一随机背景Markov过程,索赔到达与索赔大小同时受这一背景过程影响,索赔到达为Markov到达点过程(MAP),索赔大小对于不同的背景状态具有不同的分布.本文给出首达时满足的积分-微分方程,通过求解带边界条件的积分-微分方程,给出了盈余过程从初始盈余水平到达某一给定盈余水平的首达时的Laplace变换的矩阵表示式,并由此推得了盈余过程到达指定水平的若干首达事件概率.     

Self-Intersection Local Time for Some S′(ℝd)-Ornstein-Uhlenbeck Processes Related to Inhomogeneous Fields

We study existence and path continuity of the self-intersection local time (SILT) for some S′(ℝ^d)-valued Ornstein-Uhlenbeck processes. Examples of such processes arise in particular as fluctuation limits ofparticle systems. We analyze the effect that different types ofmeasures involved in the covariances of the processes have on existence and continuity of SILT. These measures do not necessarily have the regularity and homogeneity properties of those that have been considered before; this precludes some key ingredients of the previous techniques. We develop new technical tools and prove sufficient conditions and some necessary conditions for existence of SILT, and sufficient conditions for path continuity of SILT. The questions of existence and continuity involve problems of existence of integrals and singular integrals. We give examples which illustrate how different types of measures e.g., atomic or with L²-density) may produce different critical dimensions for existence of SILT. One of our motivations is the desire for a better understanding ofwhat SILT represents for S′(ℝ^d)-valued processes.     

带干扰的索赔次数为复合Poisson—Geometric过程的风险模型下的罚金函数

研究了带干扰的索赔次数为复合Poisson—Geometric过程的风险模型,针对此模型,给出了罚金函数满足的积分微分方程,利用DicksonandHipp（2001）中引入的变换方法,得到了罚金函数的拉普拉斯变换的精确表达式．     

带干扰的索赔次数为复合Poisson-Geometric过程的风险模型下的罚金函数

研究了带干扰的索赔次数为复合Poisson-Geometric过程的风险模型,针对此模型,给出了罚金函数满足的积分微分方程,利用Dickson and Hipp(2001)中引入的变换方法,得到了罚金函数的拉普拉斯变换的精确表达式.     

复合泊松过程和Meixner过程驱动下的期权定价

本文讨论了股票价格对数过程由复合泊松过程、Meixner过程驱动下的欧式看涨期权的定价问题.利用Esscher变换和风险中性Esscher测度得到了两类过程驱动下的期权定价公式,为实践者提供了理论上的参考价格.     

The time of deducting fees for variable annuities under the state-dependent fee structure

We investigate the total time of deducting fees for variable annuities with state-dependent fee. This fee charging method is studied recently by Bernard et al. (2014) and Delong (2014) in which the fees deducted from the policyholder’s account depend on the account value. However, both of them have not considered the problem of analyzing probabilistic properties of the total time of deducting fees. We approximate the maturity of a general variable annuity contract by combinations of exponential distributions which are (weakly) dense in the space that is composed of all probability distributions on the positive axis. Working under general jump diffusion process, we derive analytic formulas for the expectation of the time of deducting fees as well as its Laplace transform.     

On multiple integrals of special form

Multiple integrals generalizing the iterated kernels of integral operators are expressed as single integrals in the case of a special representation of the kernel (this is our theorem). Besides integral equations, Markov processes involve these integrals as well. As a consequence of the theorem, we obtain transition probability densities of certain Markov processes. As an illustration, we consider nine examples.     

Large deviations for a simple closed queueing model

We consider a simple queueing model with one service station. The arrival and service processes have intensitiesa(N–Q _t) andNf(N ^–1 Q _t), where Q_t is the queue length,N is a large integer,a>0 andf(x) is a positive continuous function. We establish the large deviation principle for the sequence of the normalized queue length processq _N ^t =N ^–1Q_t,N1 for both light (a<f(0)) and heavy (af(0)) traffic and use this result for an investigation of ergodic properties ofq _N ^t ,N 1.     

基于傅里叶级数展开式的有效期权定价方法

A novel option pricing method based on Fourier-cosine series expansion was proposed by Fang and Oosterlee. Developing their idea, three new option pricing methods based on Fourier, Fourier-cosine and Fourier-sine series expansions are presented in this paper, which are more efficient when the option prices are calculated with many strike prices. A series of numerical experiments under different exp-L~vy models are also given to compare these new methods with the Fang and Oosterlee＇s method and other methods.     

The generalized HNBUE (HNWUE) class of life distributions

This paper examines the properties of a new class of life distributions (and its dual class), named GHNBUE (GHNWUE) whose members have a coefficient of variation less than (greater than) or equal to one. We characterize the GHNBUE (GHNWUE) property by using the Laplace transform. Several interesting shock models leading to the GHNBUE (GHNWUE) property are studied. These include both homogeneous and nonhomogeneous Poisson processes governing the arrival of shocks. A certain cumulative damage model is also investigated. We also examine whether the GHNBUE (GHNWUE) property is preserved under the reliability operations: (i) Convolution, (ii) mixtures and (iii) formation of coherent systems.

---

Zusammenfassung Diese Arbeit untersucht Eigenschaften einer neuen Klasse von Lebensdauer-Verteilungen (und deren dualen Klasse), welche GHNBUE (bzw. GHNWUE) genannt wird und deren Elemente einen Variationskoeffizienten 1 (bzw. 1) haben. Wir charakterisieren die GNBUE (GHNWUE) Eigenschaft mit Hilfe der Laplace-Transformierten der Verteilung. Es werden verschiedene interessente Schockmodelle, welche zur GHNBUE (GHNWUE) Eigenschaft führen, studiert. Als Ankunftsprozesse der Schocks verwenden wir homogene und inhomogene Poisson-Prozesse. Auch ein gewisses additives Schadensmodell wird untersucht. Wir befassen uns auch mit der Frage, ob die GHNBUE (GHNWUE) Eigenschaft unter folgenden Zuverlässigkeitsoperationen erhalten bleibt: 1. Faltung, 2. Mischungen, 3. Bildung kohärenter Systeme.