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.     

直接资本化法中自有资本收益率的算法探讨

在分析我国房地产自有资本收益率操作中所存在问题的基础上,论述了自有资本收益率的实质是自有资金直接资本化率,并在房地产持有期小于抵押贷款期以及房地产持有期和土地批租年限相同的两种情况下,推导出了与土地有限期使用制度相适应的房地产资本化率和自有资本收益率的计算方法,提出了利用债务保障比率的取值范围检验资本化率合理性的基本公式.     

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     

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.     

用随机模糊方法研究合理确定工程项目工期

站在兼顾业主与建造商的公正立场,基于网络优化技术基础上并以系统的观点,采用随机模糊数学方法研究合理确定项目工期,进而用实际项目进行分析验证,是一种科学合理确定工期的方法.     

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.