Closure of some heavy-tailed distribution classes under random convolution*

In this paper, we consider the closure property of a random convolution $ \sum\nolimits_{n = 0}^\infty {{p_n}{F^*}^n} $ , where F is a heavy-tailed distribution on [0, ??), and p _n (n?=?0, 1, . . . ) are the local probabilities of a nonnegative integer-valued random variable. We obtain conditions under which the fact that distribution F belongs to the dominatedly varying-tailed class, long-tailed class, or to the intersection of these classes implies that $ \sum\nolimits_{n = 0}^\infty {{p_n}{F^*}^n} $ is in the same class.     

Investigation of selection strategies in branch and bound algorithm with simplicial partitions and combination of Lipschitz bounds

Speed and memory requirements of branch and bound algorithms depend on the selection strategy of which candidate node to process next. The goal of this paper is to experimentally investigate this influence to the performance of sequential and parallel branch and bound algorithms. The experiments have been performed solving a number of multidimensional test problems for global optimization. Branch and bound algorithm using simplicial partitions and combination of Lipschitz bounds has been investigated. Similar results may be expected for other branch and bound algorithms.     

Testing for parameter changes in ARCH models

The paper develops the asymptotic theory for CUSUM-type tests for a change point in parameters of an ARCH(∞) model. Special attention is given to asymptotics under local alternatives. Research partially supported by EPSRC grant GR/L/78222 from the University of Liverpool. Partially supported by NATO grant CRG 960503. Partially supported by the Lithuanian State Science and Studies Foundation, Grant K-014. Published in Lietuvos Matematikos Rinkinys, Vol. 39, No. 2, pp. 231–247, April–June, 1999.     

A property of the renewal counting process with application to the finite-time ruin probability

We consider the renewal counting process , where θ ₁ , θ ₂ ,… are nonnegative independent identically distributed nondegenerate random variables with finite mean. The asymptotics for the tail of the exponential moment are derived. The obtained results are applied to the finite-time ruin probability in a renewal risk model.     

Asymptotic behaviour of the finite‐time ruin probability in renewal risk models

In this paper we study the tail behaviour of the probability of ruin within finite time t, as initial risk reserve x tends to infinity, for the renewal risk model with strongly subexponential claim sizes. The asymptotic formula holds uniformly for t∈[f(x), ∞), where f(x) is an infinitely increasing function, and substantially extends the result of Tang (Stoch. Models 2004; 20 :281–297) obtained for the class of claim distributions with consistently varying tails. Two examples illustrate the result. Copyright © 2008 John Wiley & Sons, Ltd.     

Globally-biased Disimpl algorithm for expensive global optimization

Direct-type global optimization algorithms often spend an excessive number of function evaluations on problems with many local optima exploring suboptimal local minima, thereby delaying discovery of the global minimum. In this paper, a globally-biased simplicial partition Disimpl algorithm for global optimization of expensive Lipschitz continuous functions with an unknown Lipschitz constant is proposed. A scheme for an adaptive balancing of local and global information during the search is introduced, implemented, experimentally investigated, and compared with the well-known Direct and Direct l methods. Extensive numerical experiments executed on 800 multidimensional multiextremal test functions show a promising performance of the new acceleration technique with respect to competitors.     

Electrochemical and structural characterization of sputter-deposited Mg–Nb and Mg–Nb–Al–Zn alloy films

Nanocrystalline Mg–Nb and Mg–Nb–Al–Zn alloy films were deposited by dc magnetron sputtering on glass and quartz substrates in a wide range of niobium concentrations from 6 to 80 at.%. Structural, electrochemical and corrosion properties of the films were studied by X-ray diffraction, dc voltammetry, electrochemical impedance spectroscopy and electrochemical quartz crystal microbalance. Development of body-centred cubic Nb structure in the Mg–Nb alloy matrix yielded the effects of lattice contraction, grain refining and electrochemical passivity. The measurements showed high corrosion resistance of the films in alkaline solutions when niobium content was one third or more. An increased corrosion resistance was achieved by introducing minor amounts of Al (ca. 2 at.%). In particular, such Al effect was pronounced at lower Nb concentrations (20 to 30 at.%). Semiconductor properties of spontaneously formed oxide on Mg–Nb alloy were studied by Mott–Schottky plots, which indicated highly doped n-type oxide structures on Mg–Nb surface. The paper fills some gap in understanding of niobium–magnesium systems, which show potential for applications in hydrogen storage, switchable mirrors and corrosion protection.     

Tail Behavior of Sums and Maxima of Sums of Dependent Subexponential Random Variables

In this paper, we consider dependent random variables X _k , k=1,2,?? with supports on [?b _k ,??), respectively, where the b _k ??0 are some finite constants. We derive asymptotic results on the tail probabilities of the quantities $S_{n}=\sum_{k=1}^{n} X_{k}$ , X _(n)=max?_1??k??n X _k and S _(n)=max?_1??k??n S _k , n??1 in the case where the random variables are dependent with heavy-tailed (subexponential) distributions, which substantially generalize the results of Ko and Tang (J. Appl. Probab. 45, 85?C94, 2008).     

Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model

In this paper, we investigate a dependent compound customer-arrival-based insurance risk model, in which the kth customer purchases a random number of insurance contracts, his/her actual individual claim sizes are described as negatively dependent consistently varying-tailed random variables multiplied by a general shot noise function, and the individual customer-arrival process is a Poisson process. We obtain some precise large deviation results for the actual aggregate loss process, which extend and close the gaps of the related results of Shen et al. [X. Shen, Z. Lin, and Y. Zhang, Precise large deviations for the actual aggregate loss process, Stoch. Anal. Appl., 27:1000–1013, 2009].     

On the ruin probability in a dependent discrete time risk model with insurance and financial risks

This paper considers the discrete-time risk model with insurance risk and financial risk in some dependence structures. Under assumptions that the insurance risks are heavy tailed (belong to the intersection of the long-tailed class and the dominatedly varying-tailed class) and the financial risks satisfy some moment conditions, the asymptotic and uniformly asymptotic relations for the finite-time and ultimate ruin probabilities are derived.