突发公共卫生事件对系统性金融风险的冲击及传染效应研究

首先基于面板向量自回归模型考察了突发公共卫生事件对系统性金融风险的冲击影响,接着综合考虑突发公共卫生事件的影响及其所导致的收益率的非对称性构建单指标非对称CoVaR模型,最后借助LASSO惩罚函数与局部估计法进行求解,以此构建有向网络分析金融机构间的传染效应.研究发现:(1)突发公共卫生事件冲击会使系统性金融风险水平短...     

Threshold分红策略下带干扰的两类索赔风险模型的Geber-Shiu函数

本文研究了在threshold分红策略下带干扰的两类索赔风险模型的Geber-Shiu函数.这里假设两个索赔计数过程为独立的更新过程,其中一个为Poisson过程另一个为时间间隔服从广义Erlang(2)分布的更新过程.本文得到了threshold分红策略下Gerber-Shiu函数所满足的积分-微分方程及其边界条件....     

On a compound Poisson risk model with delayed claims and random incomes

The main focus of this paper is to analyze the Gerber-Shiu penalty function of a compound Poisson risk model with delayed claims and random incomes. It is assumed that every main claim will produce a by-claim which can be delayed with a certain probability. We derive the integral equation satisfied by the Gerber-Shiu penalty function. Given that the premium size is exponentially distributed, the explicit expression for the Laplace transform of the Gerber-Shiu penalty function is derived. Finally, when the premium sizes have rational Laplace transforms, we also obtain the Laplace transform of the Gerber-Shiu penalty function.     

Ruin problems for an autoregressive risk model with dependent rates of interest

In this paper, we consider a discrete insurance risk model in which the claims, the premiums and the rates of interest are assumed to have dependent autoregressive structures (AR(1)). We derive recursive and integral equations for expected discounted penalty function. By these equations, we obtain generalized Lundberg inequality for the infinite time severity of ruin and hence for the infinite time ruin probability, consider asymptotic formula for the finite time ruin probability when loss distributions have regularly varying tails, and study some probability properties of the duration of ruin.     

Discontinuous Galerkin derivative operators with applications to second‐order elliptic problems and stability

A discontinuous Galerkin (DG) finite‐element interior calculus is used as a common framework to describe various DG approximation methods for second‐order elliptic problems. Using the framework, symmetric interior‐penalty methods, local discontinuous Galerkin methods, and dual‐wind discontinuous Galerkin methods will be compared by expressing all of the methods in primal form. The penalty‐free nature of the dual‐wind discontinuous Galerkin method will be both motivated and used to better understand the analytic properties of the various DG methods. Consideration will be given to Neumann boundary conditions with numerical experiments that support the theoretical results. Many norm equivalencies will be derived laying the foundation for applying dual‐winding techniques to other problems. Copyright © 2015 John Wiley & Sons, Ltd.     

具有常数利率的延迟更新风险模型

考虑常数利率情形下的延迟更新风险过程．得到了该延迟更新风险模型下的Gerber-Shiu期望折现罚金函数的表达式,并得到了常数利率下的一种特殊的延迟更新风险模型的破产概率的显示表达式.     

Numerical error analysis for nonsymmetric interior penalty discontinuous Galerkin method of Cahn–Hilliard equation

In this paper, we derive a theoretical analysis of nonsymmetric interior penalty discontinuous Galerkin methods for solving the Cahn–Hilliard equation. We prove unconditional unique solvability of the discrete system and derive stability bounds with a generalized chemical energy density. Convergence of the method is obtained by optimal a priori error estimates. Our analysis is valid for both symmetric and nonsymmetric versions of the discontinuous Galerkin formulation.     

Minimizing Sum of Truncated Convex Functions and Its Applications

In this article, we study a class of problems where the sum of truncated convex functions is minimized. In statistical applications, they are commonly encountered when ?₀-penalized models are fitted and usually lead to NP-Hard non-convex optimization problems. In this article, we propose a general algorithm for the global minimizer in low-dimensional settings. We also extend the algorithm to high-dimensional settings, where an approximate solution can be found efficiently. We introduce several applications where the sum of truncated convex functions is used, compare our proposed algorithm with other existing algorithms in simulation studies, and show its utility in edge-preserving image restoration on real data.     

On Smoothing l1 Exact Penalty Function for Constrained Optimization Problems

This article introduces a smoothing technique to the l₁ exact penalty function. An application of the technique yields a twice continuously differentiable penalty function and a smoothed penalty problem. Under some mild conditions, the optimal solution to the smoothed penalty problem becomes an approximate optimal solution to the original constrained optimization problem. Based on the smoothed penalty problem, we propose an algorithm to solve the constrained optimization problem. Every limit point of the sequence generated by the algorithm is an optimal solution. Several numerical examples are presented to illustrate the performance of the proposed algorithm.     

基于三维荧光光谱结合小波压缩与APTLD对水中多环芳烃测定

基于三维荧光光谱结合小波压缩与交替惩罚三线性分解(APTLD)对水中多环芳烃(PAHs)进行定性和定量分析,实验以萘(NAP)、芴(FLU)、苊(ANA)为测量样品。首先用FS920荧光光谱仪测量获得样品的三维荧光光谱数据,对数据进行激发和发射校正且去散射,得到真实光谱。为了解决三维荧光光谱数据的冗余信息,通过小波变换对实验光谱数据进行压缩,其压缩分数和数据恢复分数分别大于92%和95%。用APTLD对压缩后的光谱数据进行分析,体现了二阶优势,实验结果表明,在PAHs的荧光光谱严重重叠和有干扰物共存下,该方法仍能准确地测定,其回收率为94%~98%、预测均方根误差小于0.29 μg·L-1。