The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks

Consider a discrete-time insurance risk modelWithin period i, i ≥ 1, Xi and Yi denote the net insurance loss and the stochastic discount factor of an insurer, respectively.Assume that {(Xi, Yi), i ≥ 1} form a sequence of independent and identically distributed random vectors following a common bivariate Sarmanov distributionIn the presence of heavy-tailed net insurance losses, an asymptotic formula is derived for the finite-time ruin probability.     

Enumeration of up-down sequences

Generalizing the notion of up-down permutations, the author considers sequences σ = (a₁, a₂, , α_N) of length N = s₂ + s₂ ++ s_n, where α_i ∈ {1, 2,n } and the element j occurs exactly s_j times. The repeated elements of a are labeled i, i′, i″, and it is assumed that they occur in a m natural order. Generating functions for the number of up-down sequences are constructed. Making use of the generating functions, explicit formulas for the number of up-down sequences are obtained.     

Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks<Superscript>*</Superscript>

We consider a discrete-time risk model with insurance and financial risks. Within period i ≥ 1, the real-valued net insurance loss caused by claims is the insurance risk, denoted by X _i , and the positive stochastic discount factor over the same time period is the financial risk, denoted by Y _i . Assume that {(X, Y), (X _i , Y _i ), i ≥ 1} form a sequence of independent identically distributed random vectors. In this paper, we investigate a discrete-time risk model allowing a dependence structure between the two risks. When (X, Y ) follows a bivariate Sarmanov distribution and the distribution of the insurance risk belongs to the class ?(γ) for some γ > 0, we derive the asymptotics for the finite-time ruin probability of this discrete-time risk model.     

Collinear subsets of lattice point sequences—An analog of Szemerédi's theorem

Szemerédi's theorem states that given any positive number B and natural number k, there is a number n(k, B) such that if n ? n(k, B) and 0 < a₁ < … < a_n is a sequence of integers with a_n ? Bn, then some k of the a_i form an arithmetic progression. We prove that given any B and k, there is a number m(k, B) such that if m ? m(k, B) and u₀, u₁, …, u_m is a sequence of plane lattice points with ∑_i=1^m…u_i ? u_i?1… ? Bm, then some k of the u_i are collinear. Our result, while similar to Szemerédi's theorem, does not appear to imply it, nor does Szemerédi's theorem appear to imply our result.     

Positive periodic solutions for an integrodifferential model of mutualism

Sufficient conditions are obtained for the existence of positive periodic solutions of the following integrodifferential model of mutualism:

where r_i, K_i, α_i, σ_i, i = 1,2 are positive continuous ω-periodic functions, α_i > K_i, i = 1, 2, J_i ϵ C([0, ∞], [0, ∞)), and ∫^∞₀ J_i(s) ds = 1, i = 1, 2.     

An embedding theorem for partial algebras and the free completion of a free partial algebra within a primitive class

Let U be any nontrivial primitive class of partial algebras, i.e. there existsA ∈ U with |A|≥2, and U is closed with respect to homomorphic images (in the weak sense), subalgebras (on closed subsets) and cartesian products of U-algebras, and let U _f denote the—also nontrivial and primitive—class of all full U-algebras. Then every U-algebra with at least two elements is a relative algebra of some U _f -algebra. For any U-algebraAsetU _A =U _i εI({i}×(A ^K _i—domf _i ^A )), where (K _i) _i εI is the type under consideration. Furthermore let F(N, U) denote any U-algebra U-freely generated by some setN (and let F (M, U _f ) be similarly defined). Then for every nonempty setM there exists a setN satisfyingM ?N such that there exists a bijective mapping σ:U _{F(N, U)} →N ?M satisfying σ((i, α)) ? α(K _i ) for all (i, α) ∈U _{F (N, U)}, and, for the structureg=(g _i)_iεI defined by ,g _i : =f _i ^{F(N, U)} ∪ {(α, σ((i, α))) | (i, α ∈U _{F(N, U)}} id _M induces an isomorphism betweenF(M, U _f ), and (F(N, U)g).     

The real interpolation method on couples of intersections

Suppose that (X ₀, X ₁) is a Banach couple, X ₀ ∩ X ₁ is dense in X ₀ and X ₁, (X₀,X₁)_θq (0 < θ < 1, 1 ≤ q < ∞) are the spaces of the real interpolation method, ψ ∈ (X ₀ ∩ X ₁), ψ ≠ 0, is a linear functional, N = Ker ψ, and N _i stands for N with the norm inherited from X _i (i = 0, 1). The following theorem is proved: the norms of the spaces (N₀,N₁)_θ,q and (X₀,X₁)_θ,q are equivalent on N if and only if θ ? (0, α) ∪ (β_∞, α₀ ∪ (β₀, α_∞) ∪ (β, 1), where α, β, α₀, β₀, α_∞, and β _∞ are the dilation indices of the function k(t)=K(t,ψ;X ₀ ^* ,X ₁ ^* ).     

Factorizing multivariate time series operators

Motivated by problems occurring in the empirical identification and modelling of a n-dimensional ARMA time series X(t) we study the possibility of obtaining a factorization (I + a₁B + … + a_pB^p) X(t) = [Π_i=1^p (I ? α_iB)] X(t), where B is the backward shift operator. Using a result in [3] we conclude that as in the univariate case such a factorization always exists, but unlike the univariate case in general the factorization is not unique for given a₁, a₂,…, a_p. In fact the number of possibilities is limited upwards by $\text{(np)!}\text{(n!)}{}^{\mathrm{p}}$, there being cases, however, where this maximum is not reached. Implications for the existence and possible use of transformations which removes nonstationarity (or almost nonstationarity) of X(t) are mentioned.     

An extremal problem for finite topologies and distributive lattices

Let (r₁, r₂, …) be a sequence of non-negative integers summing to n. We determine under what conditions there exists a finite distributive lattice L of rank n with r_i join-irreducibles of rank i, for all i = 1, 2, …. When L exists, we give explicit expressions for the greatest number of elements L can have of any given rank, and for the greatest total number of elements L can have. The problem is also formulated in terms of finite topological spaces.     

Characterizations of restricted pairs of planar graphs allowing simultaneous embedding with fixed edges

A set of planar graphs {G₁(V,E₁),…,Gk(V,Ek)} admits a simultaneous embedding if they can be drawn on the same pointset P of order n in the Euclidean plane such that each point in P corresponds one-to-one to a vertex in V and each edge in Ei does not cross any other edge in Ei (except at endpoints) for i∈{1,…,k}. A fixed edge is an edge (u,v) that is drawn using the same simple curve for each graph Gi whose edge set Ei contains the edge (u,v). We give a necessary and sufficient condition for two graphs whose union is homeomorphic to K₅ or K3,3 to admit a simultaneous embedding with fixed edges (SEFE). This allows us to characterize the class of planar graphs that always have a SEFE with any other planar graph. We also characterize the class of biconnected outerplanar graphs that always have a SEFE with any other outerplanar graph. In both cases, we provide O(n⁴)-time algorithms to compute a SEFE.     

A generalized coupon collecting model as a parsimonious optimal stochastic assignment model

There is a given set of n boxes, numbered 1 thru n. Coupons are collected one at a time. Each coupon has a binary vector x ₁,…,x _n attached to it, with the interpretation being that the coupon is eligible to be put in box i if x _i =1,i=1…,n. After a coupon is collected, it is put in a box for which it is eligible. Assuming the successive coupon vectors are independent and identically distributed from a specified joint distribution, the initial problem of interest is to decide where to put successive coupons so as to stochastically minimize N, the number of coupons needed until all boxes have at least one coupon. When the coupon vector X ₁,…,X _n is a vector of independent random variables, we show, if P(X _i =1) is nondecreasing in i, that the policy π that always puts an arriving coupon in the smallest numbered empty box for which it is eligible is optimal. Efficient simulation procedures for estimating P _π (N>r) and E _π [N] are presented; and analytic bounds are determined in the independent case. We also consider the problem where rearrangements are allowed.     

The insulation sequence of a graph

In a graph G, a k-insulated set S is a subset of the vertices of G such that every vertex in S is adjacent to at most k vertices in S, and every vertex outside S is adjacent to at least k+1 vertices in S. The insulation sequencei₀,i₁,i₂,… of a graph G is defined by setting i_k equal to the maximum cardinality of a k-insulated set in G. We determine the insulation sequence for paths, cycles, fans, and wheels. We also study the effect of graph operations, such as the disjoint union, the join, the cross product, and graph composition, upon k-insulated sets. Finally, we completely characterize all possible orderings of the insulation sequence, and prove that the insulation sequence is increasing in trees.     

Protecting convex sets

A point-setS is protecting a collection F =T ₁,T ₂,..., _n ofn mutually disjoint compact sets if each one of the setsT _i is visible from at least one point inS; thus, for every setT _i ∈F there are points xS andy T _i such that the line segment joining x to y does not intersect any element inF other thanT _i . In this paper we prove that [2(n-2)/3] points are always sufficient and occasionally necessary to protect any family F ofn mutually disjoint compact convex sets. For an isothetic family F, consisting ofn mutually disjoint rectangles, [n/2] points are always sufficient and [n/2] points are sometimes necessary to protect it. IfF is a family of triangles, [4n/7] points are always sufficient. To protect families ofn homothetic triangles, [n/2] points are always sufficient and [n/2] points are sometimes necessary.     

Submatrices of non-tree-realizable distance matrices

We deal with distance matrices of real (this means, not necessarily integer) numbers. It is known that a distance matrix D of order n is tree-realizable if and only if all its principal submatrices of order 4 are tree-realizable. We discuss bounds for the number, denoted Q_i(D), of non-tree-realizable principal submatrices of order i ? 4 of a non-tree-realizable distance matrix D of order n?i, and we construct some distance matrices which meet extremal conditions on Q_i(D). Our starting point is a proof that a non-tree-realizable distance matrix of order 5 has at least two non-tree-realizable principal submatrices of order 4. Optimal realizations (by graphs with circuits) of distance matrices which are not tree-realizable are not yet as well known as optimal realizations which are trees. Using as starting point the optimal realization of the (arbitrary) distance matrix of order 4, we investigate optimal realizations of non-tree-realizable distance matrices with the minimum number of non-tree-realizable principal submatrices of order 4.     

Nevanlinna-Pick interpolation by rational functions with a single pole inside the unit disk

We devise an efficient algorithm that, given points z₁,…,z_k in the open unit disk D and a set of complex numbers {f_i,0,f_i,1,…,f_i,ni−1} assigned to each z_i, produces a rational function f with a single (multiple) pole in D, such that f is bounded on the unit circle by a predetermined positive number, and its Taylor expansion at z_i has f_i,0,f_i,1,…,f_i,ni−1 as its first n_i coefficients.     

The k-factor conjecture is true

A sequence 〈d_i〉, 1≤i≤n, is called graphical if there exists a graph whose i^th vertex has degree d_i for all i. It is shown that the sequences 〈d_i〉 and 〈d_i-k〉 are graphical only if there exists a graph G whose degree sequence is 〈d_i〉 and which has a regular subgraph with k lines at each vertex. Similar theorems have been obtained for digraphs. These theorems resolve comjectures given by A.R. Rao and S.B. Rao, and by B. Grünbaum.     

An addition theorem for finite Abelian groups

If g₁, g₂, …, g_2n?1 is a sequence of 2n ? 1 elements in an Abelian group G of order n, it is known that there are n distinct indices i₁, i₂, …, i_n such that 0 = g_i1 + g_i2 + ? + g_in. In this paper a suitably general condition on the sequence is given which insures that every element g in G has a representation g = g_i1 + g_i2 + ? + g_in as the sum of n terms of the sequence.     

Uniform estimate for the tail probabilities of randomly weighted sums

Several authors have studied the uniform estimate for the tail probabilities of randomly weighted sumsa.ud their maxima. In this paper, we generalize their work to the situation thatis a sequence of upper tail asymptotically independent random variables with common distribution from the is a sequence of nonnegative random variables, independent of and satisfying some regular conditions. Moreover. no additional assumption is required on the dependence structureof {θi,i≥ 1）.     

Color-bounded hypergraphs, I: General results

The concept of color-bounded hypergraph is introduced here. It is a hypergraph (set system) with vertex set X and edge set E={E₁,…,E_m}, where each edge E_i is associated with two integers s_i and t_i such that 1≤s_i≤t_i≤|E_i|. A vertex coloring φ:X→N is considered to be feasible if the number of colors occurring in E_i satisfies s_i≤|φ(E_i)|≤t_i, for all i≤m.Color-bounded hypergraphs generalize the concept of ‘mixed hypergraphs’ introduced by Voloshin [V. Voloshin, The mixed hypergraphs, Computer Science Journal of Moldova 1 (1993) 45-52], and a recent model studied by Drgas-Burchardt and ?azuka [E. Drgas-Burchardt, E. ?azuka, On chromatic polynomials of hypergraphs, Applied Mathematics Letters 20 (12) (2007) 1250-1254] where only lower bounds s_i were considered.We discuss the similarities and differences between our general model and the more particular earlier ones. An important issue is the chromatic spectrum-strongly related to the chromatic polynomial-which is the sequence whose kth element is the number of allowed colorings with precisely k colors (disregarding color permutations). Problems concerning algorithmic complexity are also considered.