On the distribution tail of an integrated risk model: A numerical approach

We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assumed to be constant. We aim at the risk assessment of the integrated risk process in terms of a high quantile or the far out distribution tail. We indicate an application to an optimal investment strategy of an insurer.     

多标准等级判别模型在信用评级中的应用研究

在对目前我国信用评级方法应用现状分析的基础上,提出改进的多标准等级判别模型.并将该模型应用于商业银行信用风险评估中.通过对银行五级分类贷款样本的实证研究,证实了该判别模型的有效性和先进性.     

具有可选服务的M／M／1排队模型的一个特征值及其应用

证明0是具有可选服务的M／M／1排队模型的主算子及其共轭算子的几何重数为1的特征值,由此推出该模型的时间依赖解强收敛于该模型的稳态解．     

Microstructure noise in the continuous case: The pre-averaging approach

This paper presents a generalized pre-averaging approach for estimating the integrated volatility, in the presence of noise. This approach also provides consistent estimators of other powers of volatility — in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possesses an intuitive transparency, can generate rate optimal estimators (with convergence rate n^−1/4$n^{-1/4}$).     

On asymptotic properties for some parameter-dependent variational inequalities

This paper is concerned with asymptotic and monotonicity properties of some parameter-dependent variational inequalities. The main part of the study deals with inequalities modelling friction problems with normal compliance or Tresca’s conditions in which the parameter stands for the friction coefficient. The corresponding inequalities are (generalizations) of variational inequalities of the second kind. We then study an inequality of the first kind representing the elastoplastic torsion problem where the parameter represents the plasticity yield.     

Wavelet moment method for the Cauchy problem for the Helmholtz equation

The paper is concerned with the problem of reconstruction of acoustic or electromagnetic field from inexact data given on an open part of the boundary of a given domain. A regularization concept is presented for the moment problem that is equivalent to a Cauchy problem for the Helmholtz equation. A method of regularization by projection with application of the Meyer wavelet subspaces is introduced and analyzed. The derived formula, describing the projection level in terms of the error bound of the inexact Cauchy data, allows us to prove the convergence and stability of the method.     

Semilocal rings with <Emphasis Type="Italic">n</Emphasis>-Engel multiplicative group

An associative ring R with unit element is called semilocal if R modulo its Jacobson radical is an artinian ring. It is proved that the multiplicative group R* of a semilocal ring R generated by R* satisfies an n-Engel condition for some positive integer n if and only if R is m-Engel as a Lie ring for some positive integer m depending only on n.Received: 21 January 2003     

Semigroup varieties with a small number of term operations

We give an equational characterization of (varieties of) semigroups having a p_n-sequence bounded above by a polynomial function of n. This is achieved by studying the syntactical connections between certain semigroup identities and their equational consequences.     

A combinatorial theory of Grünbaum's new regular polyhedra,Part II: Complete enumeration

The new regular polyhedra as defined by Branko Grünbaum in 1977 (cf. [5]) are completely enumerated. By means of a theorem of Bieberbach, concerning the existence of invariant affine subspaces for discrete affine isometry groups (cf. [3], [2] or [1]) the standard crystallographic restrictions are established for the isometry groups of the non finite (Grünbaum-)polyhedra. Then, using an appropriate classification scheme which—compared with the similar, geometrically motivated scheme, used originally by Grünbaum—is suggested rather by the group theoretical investigations in [4], it turns out that the list of examples given in [5] is essentially complete except for one additional polyhedron.So altogether—up to similarity—there are two classes of planar polyhedra, each consisting of 3 individuals and each class consisting of the Petrie duals of the other class, and there are ten classes of non planar polyhedra: two mutually Petrie dual classes of finite polyhedra, each consisting of 9 individuals, two mutually Petrie dual classes of infinite polyhedra which are contained between two parallel planes with each of those two classes consisting of three one-parameter families of polyhedra, two further mutually Petrie dual classes each of which consists of three one parameter families of polyhedra whose convex span is the whole 3-space, two further mutually Petrie dual classes consisting of three individuals each of which spanE ³ and two further classes which are closed with respect to Petrie duality, each containing 3 individuals, all spanningE ³, two of which are Petrie dual to each other, the remaining one being Petrie dual to itself.In addition, a new classification scheme for regular polygons inE ⁿ is worked out in §9.