广义复合二项风险模型下的破产概率

将复合二项风险模型的保费收入推广为在单位时间内收取的保单数服从强度为α的poisson分布，利用鞅方法得出了其破产概率的一般公式及满足Lundberg不等式。     

风险相依的保险投资组合研究

在个人和团体风险模型中,用s=Em=1x.表示保险投资组合的累积索赔,其中,X1,I>/1表示第i个保单产生的损失,N表示保险公司在一定时期内(例如,一年)总的索赔项数,每一个保单可能包含若干个不同的项目,假定一个保单的损失是这些不同项目索赔的总和,而一个保单的不同项目的索赔往往是相关的.Marceau et al.(1999)建立了一个相依风险模型,其中考虑了保险投资组合中个体风险之间的相依性.最近,Denuit(2001)证明了两个不同参数投资组合的索赔向量之间拉普拉斯变换序成立.本文将证明,事实上更强的随机序是成立的,并将该模型推广到团体风险模型的情形.     

Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio

The internal‐rating‐based Basel II approach increases the need for the development of more realistic default probability models. In this paper, we follow the approach taken in McNeil A and Wendin J 7 (J. Empirical Finance 2007) by constructing generalized linear mixed models for estimating default probabilities from annual data on companies with different credit ratings. The models considered, in contrast to McNeil A and Wendin J 7 (J. Empirical Finance 2007), allow parsimonious parametric models to capture simultaneously dependencies of the default probabilities on time and credit ratings. Macro‐economic variables can also be included. Estimation of all model parameters are facilitated with a Bayesian approach using Markov chain Monte Carlo methods. Special emphasis is given to the investigation of predictive capabilities of the models considered. In particular, predictable model specifications are used. The empirical study using default data from Standard and Poor's gives evidence that the correlation between credit ratings further apart decreases and is higher than the one induced by the autoregressive time dynamics. Copyright © 2008 John Wiley & Sons, Ltd.     

Retail replenishment models with display-space elastic demand

We study a single store multi-product inventory problem in which product sales are a composite function of shelf space. Since sales tend to deplete the amount of product on display, the effective shelf space assigned to the product diminishes with time unless replenishment occurs. We consider the problem of optimal replenishment times under these conditions. We assume a linear dependence of sales rate to effective shelf space in all our analysis. We present exact and approximate solutions for the single product and multi-product cases. For the single product case, we study the effect of space elasticity, cross elasticity and empty space elasticity on the optimal replenishment period. For the multi-product case we present a computationally attractive method using matrix exponentials and develop error bounds for this method.     

On cross-risk vulnerability

We introduce the notion of cross-risk vulnerability to generalize the concept of risk vulnerability introduced by Gollier and Pratt [Gollier, C., Pratt, J.W. 1996. Risk vulnerability and the tempering effect of background risk. Econometrica 64, 1109–1124]. While risk vulnerability captures the idea that the presence of an unfair financial background risk should make risk-averse individuals behave in a more risk-averse way with respect to an independent financial risk, cross-risk vulnerability extends this idea to the impact of a non-financial background risk on the financial risk. It provides an answer to the question of the impact of a background risk on the optimal coinsurance rate and on the optimal deductible level. We derive necessary and sufficient conditions for a bivariate utility function to exhibit cross-risk vulnerability both toward an actuarially neutral background risk and toward an unfair background risk. We also analyze the question of the sub-additivity of risk premia and show to what extent cross-risk vulnerability provides an answer.     

Leadtime management in a periodic-review inventory system: A state-dependent base-stock policy

We examine a single-item, periodic-review inventory system with stochastic leadtimes, in which a replenishment order is delivered immediately or one period later, depending probabilistically on costly effort. The objective is to determine a joint inventory policy and effort-choice strategy that minimizes the expected total costs. Our analytical and computational analysis suggests that (i) a state-dependent base-stock policy is optimal, (ii) the optimal effort strategy is such that the marginal cost of effort is equal to the value of immediate delivery, and (iii) the cost impact of leadtime reduction can be very large. We also provide some counter-intuitive results, compared with the traditional multi-period newsvendor model.     

Multi-criteria decision analysis and environmental risk assessment for nanomaterials

Nanotechnology is a broad and complex discipline that holds great promise for innovations that can benefit mankind. Yet, one must not overlook the wide array of factors involved in managing nanomaterial development, ranging from the technical specifications of the material to possible adverse effects in humans. Other opportunities to evaluate benefits and risks are inherent in environmental health and safety (EHS) issues related to nanotechnology. However, there is currently no structured approach for making justifiable and transparent decisions with explicit trade-offs between the many factors that need to be taken into account. While many possible decision-making approaches exist, we believe that multi-criteria decision analysis (MCDA) is a powerful and scientifically sound decision analytical framework for nanomaterial risk assessment and management. This paper combines state-of-the-art research in MCDA methods applicable to nanotechnology with a hypothetical case study for nanomaterial management. The example shows how MCDA application can balance societal benefits against unintended side effects and risks, and how it can also bring together multiple lines of evidence to estimate the likely toxicity and risk of nanomaterials given limited information on physical and chemical properties. The essential contribution of MCDA is to link this performance information with decision criteria and weightings elicited from scientists and managers, allowing visualization and quantification of the trade-offs involved in the decision-making process.     

Stochastic Bounds for the Sparre Andersen Process

In this paper we define two stochastic processes that are smaller and greater in usual stochastic order than the Sparre Andersen process. We derive, as a consequence, upper and lower bounds of its marginal distributions, and of the distributions of its first passage times above fixed thresholds. We also present a generalization of these stochastic bounds for risk processes perturbed by diffusion.AMS 2000 Subject Classification: 60K10, 60E15Partially supported by the italian PRIN-Cofin 2004 “Stochastic models in mathematical finance” (F. Pellerey) and PRIN-Cofin 2003 “Numerical, analytical and simulation methods with reference to reliability in neuronal signal transmission” (C. Zucca).     

Airborne Nanostructured Particles and Occupational Health

Nanotechnology is leading to the development in many field, of new materials and devices in many fields that demonstrate nanostructure-dependent properties. However, concern has been expressed that these same properties may present unique challenges to addressing potential health impact. Airborne particles associated with engineered nanomaterials are of particular concern, as they can readily enter the body through inhalation. Research into the potential occupational health risks associated with inhaling engineered nanostructured particles is just beginning. However, there is a large body of data on occupational and environmental aerosols, which is applicable to developing an initial assessment of potential risk and risk reduction strategies. Epidemiological and pathological studies of occupational and environmental exposures to airborne particles and fibers provide information on the aerosol-related lung diseases and conditions that have been observed in humans. Toxicological studies provide information on the specific disease mechanisms, dose–response relationships, and the particle characteristics that influence toxicity, including the size, surface area, chemistry or reactivity, solubility, and shape. Potential health risk will depend on the magnitude and nature of exposures to airborne nanostructured particles, and on the release, dispersion, transformation and control of materials in the workplace. Aerosol control methods have not been well-characterized for nanometer diameter particles, although theory and limited experimental data indicate that conventional ventilation, engineering control and filtration approaches should be applicable in many situations. Current information supports the development of preliminary guiding principles on working with engineered nanomaterials. However critical research questions remain to be answered before the potential health risk of airborne nanostructured particles in the workplace can be fully addressed. Disclaimer The findings and conclusions in this report are those of the authors and do not necessarily represent the views of the National Institute for Occupational Safety and Health     

On optimizing functions which are defined in part by an approximation process

This paper studies an optimization problem in which the objective function can not be completely given in closed form. In particular, we assume that some part of the objective function must be computed by an approximation process. This paper develops a technique for solving a class of such problems. Examples demonstrating the technique and problem areas in which it has been successfully applied are also given.