养老基金投资组合的常方差弹性(CEV)模型和解析决策

针对以年金形式发放待遇的缴费预定制养老基金,在退休前和退休后的两个阶段,分别构建了常方差弹性(CEV)模型,并应用Legendre变换将原问题转化为对偶问题,在追求指数效用最大化的条件下,求得了精确解析解,从而确定了这两个阶段的最优投资决策．     

Further properties of the Sumudu transform and its applications

This note discusses the general properties of the Sumudu transform and the Sumudu transform of special functions. For any function f (t) with corresponding Sumudu transform F (u), the effect of shifting the parameter t in f (t) by τ on the Sumudu transform F (u) is found. Also obtained are the effect of the multiplication of any function f (t) by a power of t and the division of the function f (t) by t on the Sumudu transform F (u). For any periodic function f (t) with periodicity T > 0 the Sumudu transform is easily derived. Illustrations are provided with Abel's integral equation, an integro-differential equation, a dynamic system with delayed time signals and a differential dynamic system.     

合理使用电子教案 充分发挥现代化教学手段的优势

对充分发挥现代化教学手段的优势,对教学改革的积极作用作了论述.重点讨论了合理使用电子教案是充分发挥现代化教学手段的优势的途径之一,以及如何合理使用电子教案.对使用电子教案的教学实践作了总结.     

Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework

This paper investigates an optimal investment strategy of DC pension plan in a stochastic interest rate and stochastic volatility framework. We apply an affine model including the Cox–Ingersoll–Ross (CIR) model and the Vasicek mode to characterize the interest rate while the stock price is given by the Heston’s stochastic volatility (SV) model. The pension manager can invest in cash, bond and stock in the financial market. Thus, the wealth of the pension fund is influenced by the financial risks in the market and the stochastic contribution from the fund participant. The goal of the fund manager is, coping with the contribution rate, to maximize the expectation of the constant relative risk aversion (CRRA) utility of the terminal value of the pension fund over a guarantee which serves as an annuity after retirement. We first transform the problem into a single investment problem, then derive an explicit solution via the stochastic programming method. Finally, the numerical analysis is given to show the impact of financial parameters on the optimal strategies.     

Mixed integer goal programming models for the flexible job-shop scheduling problems with separable and non-separable sequence dependent setup times

The optimization problem addressed in this paper is an advanced form of the flexible job shop scheduling problem (FJSP) which also covers process plan flexibility and separable/non-separable sequence dependent setup times in addition to routing flexibility. Upon transforming the problem into an equivalent network problem, two mixed integer goal programming models are formulated. In the first model (Model A) the sequence dependent setup times are non-separable. In the second one (Model B) they are separable. Model B is obtained from Model A with a minor modification. The formulation of the models is described on a small sized numerical example and the solutions are interpreted. Finally, computational results are obtained on test problems.     

用重要性抽样法估计单调关联系统不可靠度

本文首先叙述了基于单调关联故障树模型成败型仿真的重要性抽样的基本原理，然后通过设计几种执行重要性抽样的试验方案，总结得到了在实践中执行重要性抽样若干有益的规则，最后的小结简述了似然比的概念在仿真研究中的重要应用。     

记数抽样检查方案设计与分析软件研制

利用VisualC++6.0Windows开发设计了抽样方案分析与设计软件。软件集成多种功能于一窗口,直观性强,操作方便,计算速度快,不仅可对现行抽样方案检索与分析,而且还可对一次、二次、五次和序贯抽样方案进行设计与分析,并作计算机模拟,可供抽样检查和抽样方案设计人员使用。     

A new defined benefit pension risk measurement methodology

Defined benefit pension plan sponsors have taken on greater risks for sponsoring these plans in the last several years. Due to ever increasing concerns of longevity risk and the weak economic environment, sponsors are eager to understand their pension-related risks to facilitate optimal enterprise decision-making. Borrowing an analytical framework from the life insurance and annuity industry where the amount of risk is framed in terms of the total assets required to remain solvent over a one-year period with a high level of confidence, i.e., the economic capital approach, this paper develops a benchmark risk measure for pension sponsors by obtaining a total asset requirement for sustaining the pension plan. The difference between the total asset requirement and the actual trust assets thus provides a measure of sponsor assets at risk due to plan sponsorship. Two factor-based approaches are proposed for this calculation. The first approach develops a set of pension-specific factors as if the pension plan were a group annuity. The second approach directly simulates the risk drivers of the pension plan and develops a framework for obtaining factors and calculating the pension risk given a desired confidence level. Our approach is very easy to implement and monitor in practice.     

Investigating the acoustics of a sample of open plan and enclosed Kindergarten classrooms in Australia

Open plan classrooms, where several class bases share the same space, have recently re-emerged in Australian primary schools. This study compared the acoustics of four different Kindergarten classrooms: an enclosed classroom with 25 students, a double classroom with 44 students, a linear fully open plan triple classroom with 91 students, and a semi-open plan K-6 classroom with 205 students. Ambient noise levels, intrusive noise levels, occupied background noise levels, and teacher’s speech levels were recorded during different activities. Room impulse responses using logarithmic sweeps were also recorded for different teaching scenarios. From these recordings, signal-to-noise ratios, speech transmission index scores, and reverberation times were calculated. The results revealed much higher intrusive noise levels in the two largest open plan classrooms, resulting in signal-to-noise ratios and speech transmission index scores to be well below those recommended in classrooms with students of this age. Additionally, occupied background noise levels in all classrooms were well above recommended levels. These results suggest noise in classrooms needs to be better controlled, and open plan classrooms are unlikely to be appropriate learning environments for young children due to their high intrusive noise levels. The impact of noise on children’s learning and teacher’s vocal health are discussed.