Exchangeable claim sizes in a compound Poisson‐type process

When dealing with risk models the typical assumption of independence among claim size distributions is not always satisfied. Here we consider the case when the claim sizes are exchangeable and study the implications when constructing aggregated claims through compound Poisson‐type processes. In particular, exchangeability is achieved through conditional independence, using parametric and nonparametric measures for the conditioning distribution. Bayes' theorem is employed to ensure an arbitrary but fixed marginal distribution for the claim sizes. A full Bayesian analysis of the proposed model is illustrated with a panel‐type data set coming from a Medical Expenditure Panel Survey (MEPS). Copyright © 2009 John Wiley & Sons, Ltd.     

双复合Poisson风险模型

研究了保费收取过程是复合Po isson过程,索赔总额是复合Po isson过程的风险模型,给出了不破产概率的积分表示,以及在特殊情况下不破产概率的具体表达式,并用鞅方法得出了破产概率满足的Lundberg不等式和一般公式.     

违约风险的交换期权的定价模型与解法

含交易对手违约风险的交换期权采用混合模型定价,借助公司价值模型中的补偿率,同时采用以强度为基础的违约函数来确定违约的发生.假定违约强度遵从均值回复的重随机Poisson过程：且违约强度过程与标的资产,企业价值都相关.利用等价鞅测度变换方法导出含有违约风险的交换期权的价格闭解.     

General framework for testing Poisson‐Voronoi assumption for real microstructures

Modeling microstructures is an interesting problem not just in materials science, but also in mathematics and statistics. The most basic model for steel microstructure is the Poisson‐Voronoi diagram. It has mathematically attractive properties and it has been used in the approximation of single‐phase steel microstructures. The aim of this article is to develop methods that can be used to test whether a real steel microstructure can be approximated by such a model. Therefore, a general framework for testing the Poisson‐Voronoi assumption based on images of two‐dimension sections of real metals is set out. Following two different approaches, according to the use or not of periodic boundary conditions, three different model tests are proposed. The first two are based on the coefficient of variation and the cumulative distribution function of the cells area. The third exploits tools from to topological data analysis, such as persistence landscapes.     

Global lagrange stability of complex‐valued neural networks of neutral type with time‐varying delays

In this article, the problem of global exponential stability in Lagrange sense of neutral type complex‐valued neural networks (CVNNs) with delays is investigated. Two different classes of activation functions are considered, one can be separated into real part and imaginary part, and the other cannot be separated. Based on Lyapunov theory and analytic techniques, delay‐dependent criteria are provided to ascertain the aforementioned CVNNs to be globally exponentially stable GES in Lagrange sense. Moreover, the proposed sufficient conditions are presented in the form of linear matrix inequalities which could be easily checked by Matlab. Finally, two simulation examples are given out to demonstrate the validity of theory results. © 2016 Wiley Periodicals, Inc. Complexity 21: 438–450, 2016     

(Almost) matrix‐free solver for piecewise linear functions in abs‐normal form

The abs‐normal form (ANF) is a compact algebraic representation for piecewise linear functions. These functions can be used to approximate piecewise smooth functions and contain valuable information about the nonsmoothness of the investigated function. The information helps to define step directions within general Newton methods that obey the structure of the original function and typically yield better convergence. However, the computation of the generalized Newton directions requires the solution of a piecewise linear equation in ANF. It was observed that the ANF can become very large, even for simple functions. Hence, if a solver is based on the ANF and uses the (Schur‐complement) matrices of the explicit ANF representation, it has to be considered computationally expensive. In this paper, we will address this question and present the first (almost) matrix‐free versions of some solver for ANFs. The theoretical discussion is supported by some numerical run‐time experiments.     

Exponential stability in one‐dimensional non‐linear thermoelasticity with second sound

In this paper, we consider a one‐dimensional non‐linear system of thermoelasticity with second sound. We establish an exponential decay result for solutions with small ‘enough’ initial data. This work extends the result of Racke (Math. Methods Appl. Sci. 2002; 25 :409–441) to a more general situation. Copyright © 2004 John Wiley & Sons, Ltd.     

Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims

This paper investigates the ruin probabilities of a renewal risk model with stochastic investment returns and dependent claim sizes. The investment is described as a portfolio of one risk‐free asset and one risky asset whose price process is an exponential Lévy process. The claim sizes are assumed to follow a one‐sided linear process with independent and identically distributed step sizes. When the step‐size distribution is heavy tailed, we establish some uniform asymptotic estimates for the ruin probabilities of this renewal risk model. Copyright © 2012 John Wiley & Sons, Ltd.     

Boundary stabilization for a non‐linear beam on elastic bearings

In this paper, we study the equation under non‐linear boundary conditions which model the vibrations of a beam clamped at x=0 and supported by a non‐linear bearing at x=L. By adding only one damping mechanism at x=L, we prove the existence of a global solution and exponential decay of the energy. Copyright © 2001 John Wiley & Sons, Ltd.     

Reliability assessment for load‐sharing systems with exponential components using statistical expansion as a correction

Among recent system models, one specific type of system is generally used to model the dependence among components. Components are connected parallel in such systems as they fail one by one and are supposed to share the system work load. The model is thus referred to as the load‐sharing system model. Despite the availability of extensive reliability assessment methods for different systems, load‐sharing systems have not received enough attention from the scholars who have studied reliability assessment so far. Load‐sharing systems are generally designed for high levels of reliability. Therefore, tests for such systems can be expensive and time consuming. Limitation on resources always leads to small test sample sizes. This increases the difficulties associated with obtaining an accurate and robust system reliability assessment result. This paper proposes a novel assessment method for a certain type of load‐sharing system with components following exponential lifetime distributions. Based on the parameter estimation of the system reliability model, we introduce the Winterbottom‐Cornish‐Fisher asymptotic expansion method for implementing a correction of normal approximation. We demonstrate the accuracy of our method through a series of examples and simulation studies.     

On the decay of solutions for a class of quasilinear hyperbolic equations with non‐linear damping and source terms

In this paper, we consider the non‐linear wave equation a,b>0, associated with initial and Dirichlet boundary conditions. Under suitable conditions on α, m, and p, we give precise decay rates for the solution. In particular, we show that for m=0, the decay is exponential. This work improves the result by Yang (Math. Meth. Appl. Sci. 2002; 25 :795–814). Copyright © 2005 John Wiley & Sons, Ltd.     

Existence and exponential stability of almost‐periodic solutions for neutral BAM neural networks with time‐varying delays in leakage terms on time scales

This paper is concerned with neutral bidirectional associative memory neural networks with time‐varying delays in leakage terms on time scales. Some sufficient conditions on the existence, uniqueness, and global exponential stability of almost‐periodic solutions are established. An example is presented to illustrate the feasibility and effectiveness of the obtained results. Copyright © 2015 John Wiley & Sons, Ltd.     

Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes

In this article, we study the numerical solutions of a class of complex partial differential equation (PDE) systems with free boundary conditions. This problem arises naturally in pricing American options with regime‐switching, which adds significant complexity in the PDE systems due to regime coupling. Developing efficient numerical schemes will have important applications in computational finance. We propose a new method to solve the PDE systems by using a penalty method approach and an exponential time differencing scheme. First, the penalty method approach is applied to convert the free boundary value PDE system to a system of PDEs over a fixed rectangular region for the time and spatial variables. Then, a new exponential time differncing Crank–Nicolson (ETD‐CN) method is used to solve the resulting PDE system. This ETD‐CN scheme is shown to be second order convergent. We establish an upper bound condition for the time step size and prove that this ETD‐CN scheme satisfies a discrete version of the positivity constraint for American option values. The ETD‐CN scheme is compared numerically with a linearly implicit penalty method scheme and with a tree method. Numerical results are reported to illustrate the convergence of the new scheme. © 2012 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2013     

Well‐posedness for the 2‐D damped wave equations with exponential source terms

In this paper we study well‐posedness of the damped nonlinear wave equation in Ω × (0, ∞) with initial and Dirichlet boundary condition, where Ω is a bounded domain in ?²; ω?0, ωλ₁+µ>0 with λ₁ being the first eigenvalue of ?Δ under zero boundary condition. Under the assumptions that g(·) is a function with exponential growth at the infinity and the initial data lie in some suitable sets we establish several results concerning local existence, global existence, uniqueness and finite time blow‐up property and uniform decay estimates of the energy. Copyright © 2010 John Wiley & Sons, Ltd.     

Asymptotics for the ruin probabilities of a two‐dimensional renewal risk model with heavy‐tailed claims

In this paper, we consider two dependent classes of insurance business with heavy‐tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two‐dimensional framework. For each type of ruin, we establish an asymptotic formula for the finite‐time ruin probability. These formulae possess a certain uniformity feature in the time horizon. Copyright © 2010 John Wiley & Sons, Ltd.     

Further results on exponential stability of discrete‐time BAM neural networks with time‐varying delays

This paper is concerned with the exponential stability for the discrete‐time bidirectional associative memory neural networks with time‐varying delays. Based on Lyapunov stability theory, some novel delay‐dependent sufficient conditions are obtained to guarantee the globally exponential stability of the addressed neural networks. In order to obtain less conservative results, an improved Lyapunov–Krasovskii functional is constructed and the reciprocally convex approach and free‐weighting matrix method are employed to give the upper bound of the difference of the Lyapunov–Krasovskii functional. Several numerical examples are provided to illustrate the effectiveness of the proposed method. Copyright © 2017 John Wiley & Sons, Ltd.     

Hamiltonicity of random graphs produced by 2‐processes

Suppose that a random graph begins with n isolated vertices and evolves by edges being added at random, conditional upon all vertex degrees being at most 2. The final graph is usually 2‐regular, but is not uniformly distributed. Some properties of this final graph are already known, but the asymptotic probability of being a Hamilton cycle was not known. We answer this question along with some related questions about cycles arising in the process. © 2006 Wiley Periodicals, Inc. Random Struct. Alg., 2007     

Robust exponential attractors for Cahn‐Hilliard type equations with singular potentials

Our aim in this article is to study the long time behaviour of a family of singularly perturbed Cahn‐Hilliard equations with singular (and, in particular, logarithmic) potentials. In particular, we are able to construct a continuous family of exponential attractors (as the perturbation parameter goes to 0). Furthermore, using these exponential attractors, we are able to prove the existence of the finite dimensional global attractor which attracts the bounded sets of initial data for all the possible values of the spatial average of the order parameter, hence improving previous results which required strong restrictions on the size of the spatial domain and to work on spaces on which the average of the order parameter is prescribed. Finally, we are able, in one and two space dimensions, to separate the solutions from the singular values of the potential, which allows us to reduce the problem to one with a regular potential. Unfortunately, for the unperturbed problem in three space dimensions, we need additional assumptions on the potential, which prevents us from proving such a result for logarithmic potentials. Copyright © 2004 John Wiley & Sons, Ltd.     

Hedging unit‐linked life insurance contracts in a financial market driven by shot‐noise processes

We consider the risk‐minimizing hedging problem for unit‐linked life insurance in a financial market driven by a shot‐noise process. Because the financial market is incomplete, the insurance claims cannot be hedged completely by trading stocks and bonds only, leaving some risk to the insurer. The theory of ((pseudo) locally) risk‐minimization is applied after a change of measure. Then the risk‐minimizing trading strategies and the associated intrinsic risk processes are determined for two types of unit‐linked contracts represented by the pure endowment and the term insurance. Copyright © 2009 John Wiley & Sons, Ltd.