相关系数与相关性度量

研究了度量相关性的两个主要工具:线性相关系数和尾部相关系数.线性相关系数反映了变量间的线性相关性,这对于一般的椭圆型分布是合适的.但如果随机变量具有不对称的尾部变化特征时,要用尾部相关系数描述它们之间的相关性.通过相关函数C opu la,对沪深股市的尾部相关系数进行了定量分析.结果表明:沪深股市具有较强的相关性.     

Computing strategies for achieving acceptability: A Monte Carlo approach

We consider a trader who wants to direct his or her portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a Monte Carlo algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the functional form of a trading strategy for achieving acceptability. We also prove optimality of the capital obtained. Explicit theoretical evaluations of hedging strategies are extremely difficult, and we avoid the problem by resorting to such computational methods. The main idea is to utilize the finite Vapnik–C?ervonenkis dimension of a class of possible strategies.     

具非线性中立项的二阶时滞微分方程的振动性质

By using the averaging technique, we obtain new oscillation criteria for second order delay differential equation with nonlinear neutral term. These results generalize and improve some known results about neutral delay differential equation of second order.     

Optimal Investment Strategies for an Insurer with SAHARA Utility

In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent.     

DBHF方法和热力学自洽性

采用Dirac Brueckner-Hartree-Fock理论方法, 计算了零温核物质中每核子的结合能、压强和单核子能量, 着重讨论了不同的T矩阵协变表示对核物质中Hugenholtz-Van Hove(HVH)定理满足程度的影响. 结果表明: 不同的协变表示对核子自能各分量的动量相关性和密度依赖性均有重要影响, 进而对核介质中HVH定理的满足程度产生重要影响. 在完全的膺矢量表示下, HVH定理遭到了相当大程度的破坏, 从而体现出基态关联效应对单核子性质的重要性, 并与非相对论BHF理论方法得到的结论一致, 因而完全的膺矢量表示要优于膺标量表示.     

Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier

Based on the matrix-analytic approach to fluid flows initiated by Ramaswami, we develop an efficient time dependent analysis for a general Markov modulated fluid flow model with a finite buffer and an arbitrary initial fluid level at time 0. We also apply this to an insurance risk model with a dividend barrier and a general Markovian arrival process of claims with possible dependencies in successive inter-claim intervals and in claim sizes. We demonstrate the implementability and accuracy of our algorithms through a set of numerical examples that could also serve as test cases for comparing other solution approaches.      

Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model

We obtain lower and upper bounds for the severity of ruin in the renewal (Sparre Andersen) model of risk theory. We present two types of bounds: (i) bounds applicable generally; and (ii) exponential bounds for the case where the adjustment coefficient of the risk process exists. Many of these bounds are obtained using existing bounds and the integral equation for the severity of ruin.     

Polarizability effect in metallic clusters

Langevin approach implemented in the inelastic cross-sections measured for the low-energy electrons colliding with metallic clusters points out that statical form of the polarizability dominate at energies less than 1.25 eV. The dynamical form comes into play at energies around 1.3 eV. The form of the polarizabilities indicates that polarizability of the metallic clusters is energy-dependent.     

The valuations of the near hexagons related to the Witt designs S(5,6,12) and S(5,8,24)

Valuations of dense near polygons were introduced in 16 . In the present paper, we classify all valuations of the near hexagons ??₁ and ??₂, which are related to the respective Witt designs S(5,6,12) and S(5,8,24). Using these classifications, we prove that if a dense near polygon S contains a hex H isomorphic to ??₁ or ??₂, then H is classical in S. We will use this result to determine all dense near octagons that contain a hex isomorphic to ??₁ or ??₂. As a by‐product, we obtain a purely geometrical proof for the nonexistence of regular near 2d‐gons, d ≥ 4, whose parameters s, t, t_i (0 ≤ i ≤ d) satisfy (s, t₂, t₃) = (2, 1, 11) or (2, 2, 14). The nonexistence of these regular near polygons can also be shown with the aid of eigenvalue techniques. © 2005 Wiley Periodicals, Inc. J Combin Designs 14: 214–228, 2006     

Allocating unfunded liability in pension valuation under uncertainty

This paper studied the cost allocation for the unfunded liability in a defined benefit pension scheme incorporating the stochastic phenomenon of its returns. In the recent literature represented by Cairns and Parker [Insurance: Mathematics and Economics 21 (1997) 43], Haberman [Insurance: Mathematics and Economics 11 (1992) 179; Insurance: Mathematics and Economics 13 (1993) 45; Insurance: Mathematics and Economics 14 (1994) 219; Insurance: Mathematics and Economics 14 (1997) 127], Owadally and Haberman [North American Actuarial Journal 3 (1999) 105], the fund level is modeled based on the plan dynamics and the returns are generated through several stochastic processes to reflect the current realistic economic perspective to see how the contribution changed as the cost allocation period increased. In this study, we generalize the previous constant value assumption in cost amortization by modeling the returns and valuation rates simultaneously. Taylor series expansion is employed to approximate the unconditional and conditional moments of the plan contribution and fund level. Hence the stability of the plan contribution and the fund size under different allocation periods could be estimated, which provide valuable information adding to the previous works.