Optimal Investment Strategies for an Insurer with SAHARA Utility

In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent.     

DBHF方法和热力学自洽性

采用Dirac Brueckner-Hartree-Fock理论方法, 计算了零温核物质中每核子的结合能、压强和单核子能量, 着重讨论了不同的T矩阵协变表示对核物质中Hugenholtz-Van Hove(HVH)定理满足程度的影响. 结果表明: 不同的协变表示对核子自能各分量的动量相关性和密度依赖性均有重要影响, 进而对核介质中HVH定理的满足程度产生重要影响. 在完全的膺矢量表示下, HVH定理遭到了相当大程度的破坏, 从而体现出基态关联效应对单核子性质的重要性, 并与非相对论BHF理论方法得到的结论一致, 因而完全的膺矢量表示要优于膺标量表示.     

Polarizability effect in metallic clusters

Langevin approach implemented in the inelastic cross-sections measured for the low-energy electrons colliding with metallic clusters points out that statical form of the polarizability dominate at energies less than 1.25 eV. The dynamical form comes into play at energies around 1.3 eV. The form of the polarizabilities indicates that polarizability of the metallic clusters is energy-dependent.     

(2+1)维广义Nizhnik-Novikov-Veselov系统的新严格解和复合波激发

利用拓展的Riccati方程映射法与变量分离法，得到了(2+1)维广义Nizhnik-Novikov-Veselov(GNNV)系统新的含有两个任意函数的相当广义的变量分离严格解.根据其中的周期波解，找到了该系统的复合波，即在周期波背景下的孤立波，并简要讨论了其演化行为. 关键词： GNNV系统 拓展Riccati映射 周期波解 孤立波     

The Chemical Potential

The definition of the fundamental quantity, the chemical potential, is badly confused in the literature: there are at least three distinct definitions in various books and papers. While they all give the same result in the thermodynamic limit, major differences between them can occur for finite systems, in anomalous cases even for finite systems as large as a cm³. We resolve the situation by arguing that the chemical potential defined as the symbol μ conventionally appearing in the grand canonical density operator is the uniquely correct definition valid for all finite systems, the grand canonical ensemble being the only one of the various ensembles usually discussed (microcanonical, canonical, Gibbs, grand canonical) that is appropriate for statistical thermodynamics, whenever the chemical potential is physically relevant. The zero–temperature limit of this μ was derived by Perdew et al. for finite systems involving electrons, generally allowing for electron–electron interactions; we extend this derivation and, for semiconductors, we also consider the zero–T limit taken after the thermodynamic limit. The enormous finite size corrections (in macroscopic samples, e.g. 1 cm³) for one rather common definition of the c.p., found recently by Shegelski within the standard effective mass model of an ideal intrinsic semiconductor, are discussed. Also, two very–small–system examples are given, including a quantum dot.     

Generalized fractional programming duality: A parametric approach

Using a parametric approach, duality is presented for a minimax fractional programming problem that involves several ratios in the objective function.The first author is thankful to Natural Science and Engineering Research Council of Canada for financial support through Grant A-5319, and the authors are thankful to the anonymous referees for useful suggestions.     

Particle systems on flows

We start with a stochastic flow of diffeomorphisms of the space. Particles enter the space at random times and places. Each particle is carried by the flow for some random amount of time. We examine the point process formed by the particles at a fixed time, on the evolution of that point process as time varies, and on the equilibrium law of the point process.     

标的资产服从几何分数布朗运动的期权定价

本文在M ogens B ladt和T ina H av iid R ydberg无市场假设,仅利用价格过程的实际概率的期权保险精算定价模型的基础上,得出了标的资产服从几何分数布朗运动的欧式期权定价公式,并说明了几何布朗运动是本文的一种特殊情况.     

f(R) theories of gravity in the Palatini approach matched with observations

We investigate the viability of f(R) theories in the framework of the Palatini approach as solutions to the problem of the observed accelerated expansion of the universe. Two physically motivated popular choices for f(R) are considered,: power law, f(R) = β R ⁿ , and logarithmic, f(R) = α ln R. Under the Palatini approach, both Lagrangians give rise to cosmological models comprising only standard matter and undergoing a present phase of accelerated expansion. We use the Hubble diagram of type Ia Supernovae and the data on the gas mass fraction in relaxed galaxy clusters to see whether these models are able to reproduce what is observed and to constrain their parameters. It turns out that they are indeed able to fit the data with values of the Hubble constant and of the matter density parameter in agreement with some model independent estimates, but the today deceleration parameter is higher than what is measured in the concordance ΛCDM model.     

Variational extension of the mean spherical approximation to arbitrary dimensions

We generalize a variational principle for the mean spherical approximation for a system of charged hard spheres in 3D to arbitrary dimensions. We first construct a free energy variational trial function from the Debye-Hückel excess charging internal energy at a finite concentration and an entropy obtained at the zero-concentration limit by thermodynamic integration. In three dimensions the minimization of this expression with respect to the screening parameter leads to the mean spherical approximation, usually obtained by solution of the Ornstein-Zernike equation. This procedure, which interpolates naturally between the zero concentration/coupling limit and the high-concentration/ coupling limit, is extended to arbitrary dimensions. We conjecture that this result is also equivalent to the MSA as originally defined, although a technical proof of this point is left for the future. The Onsager limitT ΔS ^MSA /ΔE ^MSA → 0 for infinite concentration/coupling is satisfied for all d ≠ 2, while ford=2 this limit is 1. On leave from Department of Physics, University of Puerto Rico, Mayagüez Campus, Mayagüez, Puerto Rico, 00681.