Conditional tail risk measures for the skewed generalised hyperbolic family

This paper deals with the estimation of loss severity distributions arising from historical data on univariate and multivariate losses. We present an innovative theoretical framework where a closed-form expression for the tail conditional expectation (TCE) is derived for the skewed generalised hyperbolic (GH) family of distributions. The skewed GH family is especially suitable for equity losses because it allows to capture the asymmetry in the distribution of losses that tends to have a heavy right tail. As opposed to the widely used Value-at-Risk, TCE is a coherent risk measure, which takes into account the expected loss in the tail of the distribution. Our theoretical TCE results are verified for different distributions from the skewed GH family including its special cases: Student-t, variance gamma, normal inverse gaussian and hyperbolic distributions. The GH family and its special cases turn out to provide excellent fit to univariate and multivariate data on equity losses. The TCE risk measure computed for the skewed family of GH distributions provides a conservative estimator of risk, addressing the main challenge faced by financial companies on how to reliably quantify the risk arising from the loss distribution. We extend our analysis to the multivariate framework when modelling portfolios of losses, allowing the multivariate GH distribution to capture the combination of correlated risks and demonstrate how the TCE of the portfolio can be decomposed into individual components, representing individual risks in the aggregate (portfolio) loss.     

Second-order hyperbolic s.p.d.e.'s driven by homogeneous Gaussian noise on a hyperplane

We study a class of hyperbolic stochastic partial differential equations in Euclidean space, that includes the wave equation and the telegraph equation, driven by Gaussian noise concentrated on a hyperplane. The noise is assumed to be white in time but spatially homogeneous within the hyperplane. Two natural notions of solutions are function-valued solutions and random field solutions. For the linear form of the equations, we identify the necessary and sufficient condition on the spectral measure of the spatial covariance for existence of each type of solution, and it turns out that the conditions differ. In spatial dimensions 2 and 3, under the condition for existence of a random field solution to the linear form of the equation, we prove existence and uniqueness of a random field solution to non-linear forms of the equation.

     

Problem of determining the nonstationary potential in a hyperbolic-type equation

We solve the problem of determining the hyperbolic equation coefficient depending on two variables. Some additional information is given by the trace of the direct problem solution on the hyperplane x = 0. We estimate the stability of the solution of the inverse problem under study and prove the uniqueness theorem. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 156, No. 2, pp. 220–225, August, 2008.     

Global existence and nonexistence results for a class of semilinear hyperbolic systems

In this paper, we investigate the Cauchy problem for a class of the system of semilinear hyperbolic equations with damping. With the use of the L_p → L_q type estimation for the corresponding linear problem and the method of comparison of functional, the existence and nonexistence criteria of global solutions are found. Copyright © 2012 John Wiley & Sons, Ltd.     

对称等仿射球和极小对称Lagrange子流形的对应

利用对称空间的对偶性,本文建立局部强凸对称等仿射球之集与某复空间形式中的极小对称Lagrange子流形之集间的对应关系,在自然定义的等价意义下,这是一一对应关系.作为这种对应关系的直接应用,本文用完全不同的方法重新证明胡泽军等人最近建立的一个重要定理.该定理对具有平行Fubini-Pick形式的局部强凸等仿射球进行了完全分类.     

Global exixtence and exponential decay estimates for a dampad quasilinear equation

We prove the existence and uniqueness of a global solution of a damped quasilineat hyperbolic equatiion. We apply a method based on a special integral inequality, to show that the solution decays exponentially, and to obtain precise estimates of the constants in estimates.     

Distortion theorem for Bloch mappings on the unit ball <Emphasis Type="Italic">ℬ</Emphasis><Superscript><Emphasis Type="Italic">n</Emphasis></Superscript>

In this paper, we obtain a version of subordination lemma for hyperbolic disk relative to hyperbolic geometry on the unit disk D. This subordination lemma yields the distortion theorem for Bloch mappings f ∈ H（B^n） satisfying ｜｜f｜｜0 = 1 and det f＇（0） = α ∈ （0, 1], where｜｜f｜｜0 = sup{（1 - ｜z｜^2 ）n＋1/2n det（f＇（z））[1/n ： z ∈ B^n}. Here we establish the distortion theorem from a unified perspective and generalize some known results. This distortion theorem enables us to obtain a lower bound for the radius of the largest univalent ball in the image of f centered at f（0）. When a = 1, the lower bound reduces to that of Bloch constant found by Liu. When n = 1, our distortion theorem coincides with that of Bonk, Minda and Yanagihara.     

Hyperbolic–parabolic singular perturbation for quasilinear equations of Kirchhoff type with weak dissipation

We consider a hyperbolic–parabolic singular perturbation problem for a quasilinear hyperbolic equation of Kirchhoff type with dissipation weak in time. The purpose of this paper is to give time‐decay convergence estimates of the difference between the solutions of the hyperbolic equation above and those of the corresponding parabolic equation, together with the unique existence of the global solutions of the hyperbolic equation above. Copyright © 2009 John Wiley & Sons, Ltd.     

Exact controllability of nodal profile for 1‐D first order quasilinear hyperbolic systems with internal controls

For 1‐D first order quasilinear hyperbolic systems without zero eigenvalues, based on the theory of exact boundary controllability of nodal profile, using an extension method, the exact controllability of nodal profile can be realized in a shorter time by means of additional internal controls acting on suitably small space‐time domains. On the other hand, using a perturbation method, the exact controllability of nodal profile for 1‐D first order quasilinear hyperbolic systems with zero eigenvalues can be realized by additional internal controls to the part of equations corresponding to zero eigenvalues. Furthermore, by adding suitable internal controls to all the equations on suitable domains, the exact controllability of nodal profile for systems with zero eigenvalues can be realized in a shorter time.