保险赔付中的最优对冲策略

本文对带有付费过程$A_t$的保险公司在金融市场$(S_t,Q_t,B_t)$上通过购买股票$S_t$、兑换外币$Q_t$以及购买无风险资产$B_t$的投资过程而采取的最优投资策略, 使保险公司所面临的风险最小进行探讨. 利用Galtchouk-Kunita-Watanabe分解定理将风险表达式重新表达, 从而找到保险公司所能采取的风险最小的最优对冲策略. 文中举出一个具有现实性意义的例子将文章的重要结论加以应用, 使本文更具有应用价值.     

研制动力煤标准物质的质量保证

从原料煤的均匀性、均匀性检验方法及判断标准、定值程序和定值方法、实验数据的统计处理、煤标准物质的稳定性等方面,介绍了研制动力煤标准物质的质量保证措施。     

Interference and priority aware resource allocation in coexisting WBANs using game models

Wireless body area networks (WBANs) have become an integral part of our health monitoring system. However, the specific challenges offered by a dense co-existence of heterogeneous WBANs have not been properly addressed. The interference between the coexisting WBANs which cause throughput degradation and energy wastage can be mitigated by suitable channel and slot allocations. In this work, a Stackelberg game model with pricing is used for resource scheduling among multi-class WBANs. The access points (APs) act as leaders who decide the prices to be paid by the normal WBAN users for reusing the resources allocated to the critical WBAN users. The normal WBAN users act as followers which use the pricing information and a distributed learning algorithm that guarantees Pareto-optimal solution. As a benchmark for comparison purpose, we propose a centralized resource scheduling which is formulated as an optimization problem where the objective is to maximize system throughput while guaranteeing the quality of service (QoS) requirements of multi-class WBANs. To efficiently solve this problem, a column generation method is proposed. Numerical results are provided to show the efficiency and effectiveness of the proposed game model.     

Optimal quoting of delivery time by a third party logistics provider: The impact of shipment consolidation and temporal pricing schemes

Increased competition in business environments requires that firms provide not only quality but also timely service with minimal cost. Offering a delivery-time guarantee may increase the demand for a product or service, or allow the firm to charge a price premium. This paper investigates the effects of different pricing schemes for a Third Party Logistics (3PL) provider. The 3PL tenders a consolidated load to a carrier that line-hauls over a certain origin–destination lane. In a price- and time-sensitive logistics market, we derive the optimal quotations that should be made for price and delivery-time, with the objective of maximizing the profit rate of the 3PL provider. We propose four easy-to-use temporal pricing schemes, and derive the corresponding optimal length of shipment consolidation cycles and the prices. Depending on the logistics market parameters, we show that charging according to an order’s time of arrival is not necessarily the best pricing scheme. Various managerial insights and numerical examples with sensitivity analysis are provided.     

仪器分析的质量保证探讨

探讨了仪器分析过程中的质量分析方法及分析中的数据处理、方法选择、质量监控、质量评估和信息管理等质量保证问题，为进一步提高仪器分析质量水平和管理水平经及最大限度地发挥仪器分析的作用作了一些有益的探索。     

深紫外光刻光学薄膜

深紫外波段是目前常规光学技术的短波极限,随着波长的缩短,深紫外光学薄膜开发面临一系列特殊的问题;而对于深紫外光刻系统这样的典型超精密光学系统来说,对薄膜光学元件提出的要求则更加苛刻。本文主要介绍了适用于深紫外光刻系统的薄膜材料及膜系设计;对薄膜沉积工艺、元件面形保障、大口径曲面均匀性等超精密光学元件的指标保障关键问题进行了讨论;对环境污染与激光辐照特性等光刻系统中薄膜元件环境适应性的重要因素进行了深入分析。以上分析为突破高性能深紫外光刻光学薄膜开发瓶颈,更好地满足深紫外光刻等极高精度光学系统的应用需求指明了方向。     

Designing and pricing guarantee options in defined contribution pension plans

The shift from defined benefit (DB) to defined contribution (DC) is pervasive among pension funds, due to demographic changes and macroeconomic pressures. In DB all risks are borne by the provider, while in plain vanilla DC all risks are borne by the beneficiary. However, for DC to provide income security some kind of guarantee is required. A minimum guarantee clause can be modeled as a put option written on some underlying reference portfolio and we develop a discrete model that selects the reference portfolio to minimize the cost of a guarantee. While the relation DB–DC is typically viewed as a binary one, the model shows how to price a wide range of guarantees creating a continuum between DB and DC. Integrating guarantee pricing with asset allocation decision is useful to both pension fund managers and regulators. The former are given a yardstick to assess if a given asset portfolio is fit-for-purpose; the latter can assess differences of specific reference funds with respect to the optimal one, signaling possible cases of moral hazard. We develop the model and report numerical results to illustrate its uses.     

Influence of noise and delay on reaction-diffusion recurrent neural networks

In this paper, the influence of the noise and delay upon the stability property of reaction-diffusion recurrent neural networks （RNNs） with the time-varying delay is discussed. The new and easily verifiable conditions to guarantee the mean value exponential stability of an equilibrium solution are derived. The rate of exponential convergence can be estimated by means of a simple computation based on these criteria.     

随机需求下物流服务供应链订购策略研究

针对由单个物流服务提供商和集成商组成的物流服务供应链,基于集中化模式、纳什博弈模式和Stackelberg博弈模式三种典型模式,考虑市场需求随机且受服务质量缺陷承诺水平的影响,探讨物流服务供应链的订购与质量缺陷承诺策略问题。通过分析发现:物流服务质量缺陷承诺水平随着市场需求弹性系数的增加而递减,但其受物流服务集成商观测水平的影响却因合作模式不同而变化不一致;集中化模式下的物流服务订购量随着物流服务集成商观测水平或市场需求弹性系数的增大而递减,但在其他两种合作模式下物流服务订购量随着物流服务集成商观测水平或市场需求弹性系数的增加而增加;在三种模式下,物流服务供应链的整体利润随着市场需求弹性系数的增加而递减,但其受物流服务集成商观测水平的影响却因合作模式不同而变化不一致。