Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

In a financial market with one riskless asset and n risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately, and outsourcing of allocation decisions should be avoided in both phases. JEL: G23, G11 MSC 2000: 62P05, 91B28, 91B30, 91B70, 93E20     

On sequential procedures for the point estimation of the mean of a normal population

The sequential procedures developed by Starr (1966, Ann. Math. Statist., 37, 1173–1185) for estimating the mean of a normal population are further analyzed. Asymptotic properties of the regret and first two moments of the stopping rules are studied and second-order approximations are derived.     

Bayesian sequential reliability for Weibull and related distributions

Assume that the probability density function for the lifetime of a newly designed product has the form: [H(t)/Q()] exp{–H(t)/Q()}. The Exponential(), Rayleigh, WeibullW(, ) and Pareto pdf's are special cases.Q() will be assumed to have an inverse Gamma prior. Assume thatm independent products are to be tested with replacement. A Bayesian Sequential Reliability Demonstration Testing plan is used to eigher accept the product and start formal production, or reject the product for reengineering. The test criterion is the intersection of two goals, a minimal goal to begin production and a mature product goal. The exact values of various risks and the distribution of total number of failures are evaluated. Based on a result about a Poisson process, the expected stopping time for the exponential failure time is also found. Included in these risks and expected stopping times are frequentist versions, thereof, so that the results also provide frequentist answers for a class of interesting stopping rules.This research was supported by NSF grants DMS-8703620 and DMS-8923071, and forms part of the Ph.D. Thesis of the first author, the development of which was supported in part by a David Ross grant at Purdue University. The authors thank the editors and a referee for insightful comments and suggestions.     

Rate conservation laws: A survey

We survey the rate conservation law, RCL for short, arising in queues and related stochastic models. RCL was recognized as one of the fundamental principles to get relationships between time and embedded averages such as the extended Little's formulaH=G, but we show that it has other applications. For example, RCL is one of the important techniques for deriving equilibrium equations for stochastic processes. It is shown that the various techniques, including Mecke's formula for a stationary random measure, can be formulated as RCL. For this purpose, we start with a new definition of the rate with respect to a random measure, and generalize RCL by using it. We further introduce the notion of quasi-expectation, which is a certain extension of the ordinary expectation, and derive RCL applicable to the sample average results. It means that the sample average formulas such asH=G can be obtained as the stationary RCL in the quasi-expectation framework. We also survey several extensions of RCL and discuss examples. Throughout the paper, we would like to emphasize how results can be easily obtained by using a simple principle, RCL.     

Estimation of Multinomial Probabilities under a Model Constraint

In this paper estimation of the probabilities of a multinomial distribution has been studied. The five estimators considered are: unrestricted estimator (UE), restricted estimator (RE) (under model ), preliminary test estimator (PTE) based on a test of the model , shrinkage estimator (SE) and the positive-rule shrinkage estimator (PRSE). Asymptotic distributions of these estimators are given under Pitman alternatives and the asymptotic risk under a quadratic loss has been evaluated. The relative performance of the five estimators is then studied with respect to their asymptotic distributional risks (ADR). It is seen that neither of the preliminary test and shrinkage estimators dominates the other, though each fares well relative to the other estimators. However, the positive rule estimator is recommended for use for dimension 3 or more while the PTE is recommended for dimension less than 3.     

Dipole moments of some substituted benzaldehydes. Conformational preference of substituents ortho to the aldehyde group

The dipole moments of a number of substituted benzaldehydes are measured in benzene solution. The angle which the dipole axis of the CHO group makes with the axis of rotation of the group is determined. The observed moments of the ortho-substituted benzaldehydes are compared with the moments calculated for free rotation as well as fors-trans ands-cis orientations of the -CHO group.o-Fluorobenzaldehyde exists mostly in thes-trans conformation.o-Chloro-,o-bromo-ando-nitro-benzaldehydcs also exist in thes-trans conformation; their observed dipole moments are even lower than the values calculated fors-trans forms, indicating mutual induction of the ortho substituents. Though 2,5-dichlorobenzaldehyde is expected to have the same dipole moment as benzaldehyde, the observed moment is significantly lower due to mutual induction of the ortho substituents. 2,5-Dimethylbcnzaldehyde has, however, almost the same moment as benzaldehyde. The dipole moment ofo-methoxybcnzaldchyde is considerably higher than the values calculated for boths-cis ands-trans conformations. An explanation is given for this.o-Hydroxybenzaldehyde exists exclusively in thes-cis form due to internal H-bonding.     

A study for quality evaluation of Taxilli Herba from different hosts based on fingerprint-activity relationship modeling and multivariate statistical analysis

In this study, a fingerprint-activity relationship modeling between chemical fingerprints and antirheumatic activity was established, and multivariate statistical analysis was used to evaluate the quality of Taxilli Herba (TH) from different hosts. Characteristic fingerprints of 20 batches of TH samples were generated by high-performance liquid chromatography coupled with triple quadrupole-time of flight tandem mass spectrometry (HPLC-Triple TOF-MS/MS), and the similarity analysis was calculated based on thirteen common characteristic peaks by hierarchical clustering analysis (HCA). Subsequently, nine efficacy markers were discovered by combining fingerprints and antirheumatic activity through grey correlation analysis (GCA) and bivariate correlation analysis (BCA). Meanwhile, the content of 5 constituents in 9 markers was determined by high-performance liquid chromatography coupled with triple quadrupole-linear ion trap tandem mass spectrometry (HPLC-QTRAP-MS/MS). The comprehensive quality of TH was assessed using multivariate statistical analysis, including principal components analysis (PCA) and technique for order preference by similarity to ideal solution (TOPSIS). The results showed that a high dose of TH extract could markedly ameliorate arthritis damage compared to other doses, with flavonoids playing an important role in the antirheumatic activity. The comprehensive quality of samples from Morus alba L. (SS) was superior to those from Liquidambar formosana Hance (FXS). The present study will demonstrate the markers associated with efficacy, and provide an applicable strategy for more comprehensive quality control and evaluation of TH.     

含一般模糊弹性约束的广义模糊变量线性规划

建立并讨论了一类含有一般模糊弹性约束的广义模糊变量线性规划问题.首先,简单介绍了结构元方法并对结构元加权排序中权函数表征决策者风险态度进行了深入分析.然后选取风险中性的决策者来定义序关系,应用Verdegay模糊线性规划方法将含一般模糊弹性约束的广义模糊变量线性规划转化经典的线性规划问题,简化了原问题的求解.最后通过数值算例进一步说明了该方法的有效性.     

多对一双方匹配市场中的最优化

在双方市场中定义的博弈概念，可以使市场同方参与者的收益同时达到最大．这种最优化存在的理论依据是选择匹配的稳定性．用博弈论的分析与证明方法研宄多对一双方匹配市场中的最优化．在替代偏好和LAD（Law of Aggregate Demend）偏好下，证明由企业作选择的选择函数一定是个稳定匹配，由工人做选择的选择函数也是一个稳定匹配．     

The Occurrence of Pesticides in Groundwater—Results of Case-studies

Abstract

A comparative review of pesticide survey endosing 16 waterworks in the FRG tries to increase the understanding about interferences of pesticide utilization and pesticide occurrence in ground- and drinkingwater, which includes characterization of sampling points, subsurface situation, land use and pesticide application. Between 1986 and 1991, 5772 samples were measured and led to 219094 data about the occurrence of various pesticides. 5% of these analyses showed pesticide or metabolite concentrations above the particular detection limits. This result does not vary in large extent considering groups of different characterized sampling points like groundwater dominated or surface water sampling points. As the herbicide atrazine and its metabolite desethylatrazine as well as the herbicide simazine were detected most often in all samples independent whether considering groundwater und surface water samples, this fact confirms the FRG-application ban for atrazine as well as the application restriction for simazine.