Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion

In the absence of dividends, the surplus of an insurance company is modelled by a compound Poisson process perturbed by diffusion. Dividends are paid at a constant rate whenever the modified surplus is above the threshold, otherwise no dividends are paid. Two integro-differential equations for the expected discounted dividend payments prior to ruin are derived and closed-form solutions are given. Accordingly, the Gerber–Shiu expected discounted penalty function and some ruin related functionals, the probability of ultimate ruin, the time of ruin and the surplus before ruin and the deficit at ruin, are considered and their analytic expressions are given by general solution formulas. Finally the moment-generating function of the total discounted dividends until ruin is discussed.     

一阶线性时超微分不等式

研究了一阶线性时超微分不等式x'(t)-p(t)x(t r)≥0正解的不存在性,其中p(t)∈C([t_0,∞),[0,∞)),T∈R~ 。     

B矩阵对策

提出了一类局中人都设定有得失控制值的二人零和有限对策,即B矩阵对策.引入了稳妥策略、弱稳妥策略等概念.给出了B矩阵对策的数学模型、有关理论和求解方法.最后,还给了一个计算例子.     

常数比例投资组合保险(CPPI)策略 --捐赠型基金投资策略的最优选择

本文采用Merton提出的处理捐赠型基金的连续时间模型的一般框架，分析了在风险资产为几何布朗运动，效用函数为CRRA效用函数，且捐赠型基金有动态最低支出时的最优支出策略和最优投资策略，结果表明存在一条策略基准线，当基金的总资产在策略基准线之上时，基金管理人关于基金支出与投资策略的选择与不存在最低支出的要求时所作出的决策是一样的，但是一旦基金的总资产低于这条策略基准线时，基金管理人便需要考虑到基金将来必要的支出，并实际影响到他对投资策略的选择，此时基金管理人可作的最优选择是：最低的支出和一种为复制幂收益函数期权的CPPI投资策略。     

The Kelly criterion for spread bets

The optimal betting strategy for a gambler betting on a discretenumber of outcomes was determined by Kelly (1956, A new interpretationof information rate. J. Oper. Res. Soc., 57, 975–985).Here, the corresponding problem is examined for spread betting,which may be considered to have a continuous distribution ofpossible outcomes. Since the formulae for individual eventsare complicated, the asymptotic limit in which the gamblersedge is small is examined, which results in universal formulaefor the optimal fraction of the bank to wager, the probabilityof bankruptcy and the distribution function of the gamblerstotal capital.     

A theorem on parastatistics and its application

Proceeding from the assumption that nature chooses a riskless strategy, we consequently obtain a distribution over parastatistics. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 150, No. 3, pp. 511–512, March, 2007.     

Investigation of macrocyclization sites for the synthesis of dendroamide A—an approach from a conformational search

The systematic conformational analysis of three linear precursors for the synthesis of dendroamide A has revealed that these three precursors have the distance between the N- and C-terminal in the range of 3.43-3.93 Å, which suggests the possibility of macrocyclization. This result coincides with the results of the actual synthesis of dendroamide A, but contradicts the reported calculated results.     

半正定算子方程正则解的收敛率和参数选取法

1 引言 关于第一类线性算子方程 Ax=y (1)已有很多文献和专著作过研究。由于方程(1)一般是不适定的.须用正则化方法求解.最著名的方法是Tikhonov正则化方法.关于其正则解的收敛性、收敛率及参数选取法,专著[2,3]已作了深入系统的研究.当A为半正定自共轭的有界线性算子时,可应用 Lavrent’ev正则化方法或称为简化正则化方法,由于其在计算上所具有的优越性,已引起不少学者的关注.本文将用简化正则化方法研究当A为半正定线性有界算子的情形.实际上,此时的A是一个单调算子,而对单调算子方程,已有很多研究结果,只不过主要是关于正则解的收敛性及有限维逼近的讨论,而未涉及正则解的收敛率问题。我们将在第2节中讨论正则解的收敛率.并给出一种后验的参数选取法,这种参数选取法比先验的参数选取法的优越之处在于它不依赖于解的“光滑性”条件”“,但当满足某种“光滑性”条件时,所得到的收敛率是最优的.第3节中我们讨论了当算子方程的右端数据及算子本身都为近似已知的情形,这种情形更接近于实际的数学模型。文献[13,14]曾作过研究.     

面向对象的微机地理信息系统(MGIS)设计与实现技术

提出了一种不同于工作站的微机地理信息系统的体系与对象结构设计方法，对象存储技术及拓朴关系的实现。同时探讨了一些面向对象信息的管理策略。     

发展中国家出口商品结构优化的战略决策非线性目标规划模型及应用

本文讨论了发展中国家出口商品结构优化的目标及对约束条件的确定，进而建立了优化出口商品结南非线性目标规划的战略决策模型，并以中间为实例进分了求解和分析，得到了我国出口商品最优结构及一些有意义的建议