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研究带有相关随机利率的双二项风险模型,得到了破产概率的积分表达式,并利用鞅分析的方法得到了破产概率的经典Lundberg上界,另外给出了一个破产概率的比经典Lundberg上界更精确的上界. 相似文献
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研究保费收取过程是一个随机过程的双险种风险模型,得出了Lundberg上界、最终破产概率、不破产所满足的微积分方程、索赔服从指数分布的不破产概率、有限时间不破产所满足的微积分方程. 相似文献
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索赔次数为复合Poisson-Geometric过程的常利率风险模型的罚金函数 总被引:3,自引:0,他引:3
讨论了常利率下索赔次数为复合Poisson-Geometric过程的风险模型的罚金函数,得到了罚金函数的期望所满足的积分方程,并由所得到的积分方程推出了破产概率所满足的积分方程,初始盈余为0时,得到了罚金函数的期望及破产概率的精确解. 相似文献
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研究一类离散时间风险模型的破产概率.在保费收入和利率同时为离散时间Markov链,索赔额为独立情形下,利用更新迭代方法得到最终时间破产概率的Lundberg型上界. 相似文献
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本文给出了响应变量随机右删失情况下线性模型的FIC (focused information criterion) 模型选择方法和光滑FIC 模型平均估计方法, 证明了兴趣参数的FIC 模型选择估计和光滑FIC 模型平均估计的渐近正态性, 通过随机模拟研究了估计的有限样本性质, 模拟结果显示, 从均方误差和一定置信水平置信区间的经验覆盖概率看, 兴趣参数的光滑FIC 模型平均估计均优于FIC, AIC (Akaikeinformation criterion) 和BIC (Bayesian information citerion) 等模型选择估计; 而FIC 模型选择估计与AIC 和BIC 等模型选择估计相比, 也表现出了一定的优越性. 通过分析原发性胆汁性肝硬化数据集, 说明了本文方法在实际问题中的应用. 相似文献
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N. M. Bogoliubov 《Journal of Mathematical Sciences》2008,151(2):2816-2828
An exactly solvable four-vertex model on a square grid with different boundary conditions is considered. The application of
the Algebraic Bethe Ansatz method allows us to calculate the partition function of the model. For fixed boundary conditions,
we establish a relation between the scalar product of state vectors with the generating function of column-and row-strict
boxed plane partitions. A tiling model on a periodic grid is discussed. Bibliography: 33 titles.
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Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 347, 2007, pp. 34–55. 相似文献
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We study the problem of model predictive control (MPC) for the fish schooling model proposed by Gautrais et al. (2008). The high nonlinearity of the model attributed to its attraction/alignment/repulsion law suggests the need to use MPC for controlling the fish schooling’s motion. However, for large schools, the hybrid nature of the law can make it numerically demanding to perform finite-horizon optimizations in MPC. Therefore, this paper proposes reducing the fish schooling model for numerically efficient MPC; the reduction is based on using the weighted average of the directions of individual fish in the school. We analytically show how using the normalized eigenvector centrality of the alignment-interaction network can yield a better reduction by comparing reduction errors. We confirm this finding on the weight and numerical efficiency of the MPC with the reduced-order model by numerical simulations. The proposed reduction allows us to control a school with up to 500 individuals. Further, we confirm that reduction with the normalized eigenvector centrality allows us to improve the control accuracy by factor of five when compared to that using constant weights. 相似文献
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Daniel Granot 《Mathematical Programming》1986,34(2):212-222
We introduce a generalized linear production model whose attractive feature being that the resources held by any subset of producersS is not restricted to be the vector sum of the resources held by the members ofS. We provide sufficient conditions for the non-emptiness of the core of the associated generalized linear production game, and show that if the core of the game is not empty then a solution in it can be produced from a dual optimal solution to the associated linear programming problem. Our generalized linear production model is a proper generalization of the linear production model introduced by Owen, and it can be used to analyze cooperative games which cannot be studied in the ordinary linear production model framework. We use the generalized model to show that the cooperative game induced by a network optimization problem in which players are the nodes of the network has a non-empty core. We further employ our model to prove the non-emptiness of the core of two other classes of cooperative games, which were not previously studied in the literature, and we also use our generalized model to provide an alternative proof for the non-emptiness of the core of the class of minimum cost spanning tree games. Thus, it appears that the generalized linear production model is a unifying model which can be used to explain the non-emptiness of the core of cooperative games generated by various, seemingly different, optimization models.This research was partially done while the author was visiting the Graduate School of Business Administration at Tel-Aviv University. The research was partially supported by Natural Sciences and Engineering Research Council Canada Grant A4181 and by SSHRC leave fellowship 451-83-0030.Dedicated to George B. Dantzig. 相似文献
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Abstract. This paper formulates a kind of dynamical macro-economic model based onSidrauski‘s work,then presents the sufficient and necessary conditions of the stability of modelat equilibrium states ,and shows some results for special production functions. 相似文献
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This paper presents a connection between two real-time models: a deadline-based model and a latency-based model. The importance
of the latency-based model is proved through a result showing that two deadlines, instead of a latency constraint, over-constrain
the real-time applications. Moreover, we give a deadline-marking algorithm based on the relation between deadlines and latency
constraints. This algorithm provides non-preemptive feasible schedules for systems with precedence constraints and deadlines,
or more complex systems with deadlines and latencies. This is the first step toward non-preemptive schedulability for distributed
architectures (without over-constraining the system) like, for example, the automotive applications using protocols such as
Controller Area Network (CAN).
These results were obtained while the first author was at INRIA Rocquencourt. 相似文献
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A system existing in a random environment receives shocks at random points of time. Each shock causes a random amount of damage which accumulates over time. A breakdown can occur only upon the occurrence of a shock according to a known failure probability function. Upon failure the system is replaced by a new identical one with a given cost. When the system is replaced before failure, a smaller cost is incurred. Thus, there is an incentive to attempt to replace the system before failure. The damage process is controlled by means of a maintenance policy which causes the accumulated damage to decrease at a known restoration rate. We introduce sufficient conditions under which an optimal replacement policy which minimizes the total expected discounted cost is a control limit policy. The relationship between the undiscounted case and the discounted case is examined. Finally, an example is given illustrating computational procedures. 相似文献
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Given a new Double-Markov risk model DM=(μ,Q,ν,H;Y,Z) and Double-Markov risk process U={U(t),t≥ 0}. The ruin or survival problem is addressed. Equations which the survival probability satisfied and the formulas of calculating survival probability are obtained. Recursion formulas of calculating the survival probability and analytic expression of recursion items are obtained. The conclusions are expressed by Q matrix for a Markov chain and transition probabilities for another Markov Chain. 相似文献
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Summary. We consider the following simple nucleation-and-growth model. On the lattice ℤ
d
, starting with all sites unoccupied, a site becomes occupied at rate e
−ℬΓ
if it has no occupied neighbors, at rate ɛ= e
−βγ
if it has 1 occupied neighbor, and at rate 1 if it has 2 or more occupied neighbors. Occupied sites remain occupied forever. The parameters Γ≧γ are fixed, and we are interested in the behavior of the system as β→∞. We show that the relaxation time of this system scales as e
βκc
, where κ
c
=
max
{γ,( Γ + γ)/(d+1)}.
Received: 20 February 1996 / In revised form: 15 June 1996 相似文献
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Gaussian model selection 总被引:1,自引:0,他引:1
Our purpose in this paper is to provide a general approach to model selection via penalization for Gaussian regression and
to develop our point of view about this subject. The advantage and importance of model selection come from the fact that it
provides a suitable approach to many different types of problems, starting from model selection per se (among a family of
parametric models, which one is more suitable for the data at hand), which includes for instance variable selection in regression
models, to nonparametric estimation, for which it provides a very powerful tool that allows adaptation under quite general
circumstances. Our approach to model selection also provides a natural connection between the parametric and nonparametric
points of view and copes naturally with the fact that a model is not necessarily true. The method is based on the penalization
of a least squares criterion which can be viewed as a generalization of Mallows’C
p
. A large part of our efforts will be put on choosing properly the list of models and the penalty function for various estimation
problems like classical variable selection or adaptive estimation for various types of l
p
-bodies.
Received February 1, 1999 / final version received January 10, 2001?Published online April 3, 2001 相似文献