初论一类风险模型下的破产时刻罚金折现期望

考虑一类具有Poisson过程和Erlang(n)过程的风险模型的破产问题,该模型中保险公司具有两类保险,每类保险的理赔次数过程都是Poisson过程与一个共同的Erlang(n)过程的和.针对这类理赔相关的风险模型,就利息力为常数的情形得到破产时刻罚金折现期望的积分—微分方程.     

The gerber-shiu expected discounted penalty function for Lévy insurance risk processes

In this paper,we study a general Lévy risk process with positive and negative jumps.A renewal equation and an infinite series expression are obtained for the expected discounted penalty function of this risk model.We also examine some asymptotic behaviors for the ruin probability as the initial capital tends to infinity.     

Second-Order Smoothing Objective Penalty Function for Constrained Optimization Problems

In this article, a novel objective penalty function as well as its second-order smoothing is introduced for constrained optimization problems (COP). It is shown that an optimal solution to the second-order smoothing objective penalty optimization problem is an optimal solution to the original optimization problem under some mild conditions. Based on the second-order smoothing objective penalty function, an algorithm that has better convergence is introduced. Numerical examples illustrate that this algorithm is efficient in solving COP.     

Regularization of nonlinear illposed problems with closed operators

In this paper Tikhonov regularization for nonlinear illposed problems is investigated. The regularization term is characterized by a closed linear operator, permitting seminorm regularization in applications. Results for existence, stability, convergence and con- vergence rates of the solution of the regularized problem in terms of the noise level are given. An illustrating example involving parameter estimation for a one dimensional stationary heat equation is given.     

Comparison principles applied to obstacle problems with penalties

Penalty methods form a well known technique to embed elliptic variational inequality problems into a family of variational equations (cf. [6], [13], [17]). Using the specific inverse monotonicity properties of these problems L _∞-bounds for the convergence can be derived by means of comparison solutions. Lagrange duality is applied to estimate parameters involved.

For piecewise linear finite elements applied on weakly acute triangulations in combination with mass lumping the inverse monotonicity of the obstacle problems can be transferred to its discretization. This forms the base of similar error estimations in the maximum norm for the penalty method applied to the discrete problem.

The technique of comparison solutions combined with the uniform boundedness of the Lagrange multipliers leads to decoupled convergence estimations with respect to the discretization and penalization parameters.     

Evaluation of Spatial Scan Statistics for Irregularly Shaped Clusters

Spatial scan statistics are commonly used for geographic disease cluster detection and evaluation. We propose and implement a modified version of the simulated annealing spatial scan statistic that incorporates the concept of “non-compactness” in order to penalize clusters that are very irregular in shape. We evaluate its power for the simulated annealing scan and compare it with the circular and elliptic spatial scan statistics. We observe that, with the non-compactness penalty, the simulated annealing method is competitive with the circular and elliptic scan statistic, and both have good power performance. The elliptic scan statistic is computationally faster and is well suited for mildly irregular clusters, but the simulated annealing method deals better with highly irregular cluster shapes. The new method is applied to breast cancer mortality data from northeastern United States.     

具有常数红利边界的两类索赔相关风险模型数

研究常数红利边界下两类索赔相关的风险模型,两类索赔计数过程分别为独立的Poisson过程和广义Erlang(2)过程.利用分解Gerber-Shiu函数的方法,得到了Gerber-Shiu函数满足的积分-微分方程、边界条件、解析表达式及两类索赔额均服从指数分布时的破产概率表达式.     

偏振模色散自适应补偿系统对调制码型的适应性分析

偏振模色散(PMD)的自适应补偿已经得到了比较深入的研究。在实验中采用偏振度作为取样反馈信号, 粒子群优化算法(PSO)作为反馈控制算法, 比较了偏振模色散自适应补偿系统对于不同码型的补偿效果。结果表明, 传输信号质量严重恶化的情况下, 补偿之后, 对于不同的传输码型, 接收信号的误码率都可以达到一般光纤通信系统的基本要求(10-9), 说明了PMD自适应补偿系统对于各种调制码型都具有良好的补偿效果, 还可以看出, NRZ码相对于其他码型有较高的功率代价, 而RZ50码型在补偿系统中的接收性能最佳。     

A discontinuous Galerkin method for Stokes equation by divergence-free patch reconstruction

A discontinuous Galerkin method by patch reconstruction is proposed for Stokes flows. A locally divergence-free reconstruction space is employed as the approximation space, and the interior penalty method is adopted which imposes the normal component penalty terms to cancel out the pressure term. Consequently, the Stokes equation can be solved as an elliptic system instead of a saddle-point problem due to such weak form. The number of degree of freedoms of our method is the same as the number of elements in the mesh for different order of accuracy. The error estimations of the proposed method are given in a classical style, which are then verified by some numerical examples.