Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime

Estimating the distorted parameter in the case of non negative heavy-tailed losses has been treated in Brahimi et al. (2011). In this paper, we extend this work to the case of the real heavy-tailed losses. We derive an asymptotic distribution of the estimator. We construct a practically implemented confidence interval for the distortion parameter and illustrate the performance of the interval in a simulation study with application to real data.     

乙醇对纳米多孔氧化铝薄膜热释光的影响

以乙醇-草酸混合溶液为电解液,用二次阳极氧化法制备纳米多孔Al_2O_3∶C薄膜。在制备过程中,碳的掺杂浓度可控。实验结果表明,随着碳浓度的增加,热释光强度逐渐增大;随着退火温度的升高,320℃左右的主热释光峰的强度先升高后降低。在退火温度为500℃时,主热释光峰的强度达到最大。纯草酸溶液制备的Al_2O_3薄膜的热释光剂量响应曲线在10~50 Gy是线性的,在50~100 Gy呈超线性;而乙醇-草酸混合溶液制备的Al_2O_3∶C薄膜在10~100 Gy基本呈线性。     

基于伽利略结构的二级激光扩束系统的设计

针对高倍率扩束系统设计要求(即轴上和轴外像差都得到较好的校正),从三级像差理论出发,设计了一种新型的40^×高倍率激光扩束系统。该系统是基于简单的伽利略结构并通过二级扩束系统来实现的,系统包括4片透镜,通过引入2个二次非球面、 2个反射镜或1个棱镜来折叠光路。利用CODE V光学设计软件给出了该系统的光学结构参数和外形结构图,并进行了像质评价。结果表明：该系统结构简单,设计难度小,成本较低,像质好,性能优良,是一种可以被广泛采用的高倍率激光扩束系统。     

硬质合金CVD金刚石涂层工具衬底前处理技术研究

本研究采用KOH:K3[Fe(CN)6]:H2O和H2SO4:H2O2两种溶液浸蚀硬质合金衬底,分别选择刻蚀WC和Co.并在浸蚀过的硬质合金衬底上,用强电流直流伸展电弧等离子体CVD法沉积金刚石涂层.研究表明,两步混合处理法不仅可以有效的去除硬质合金基体表面的钴,而且,还可显著粗化硬质合金衬底.因此,提高了金刚石薄膜的质量和涂层的附着力.     

负载铂催化剂中沸石载体酸性对甲烷两步转化的影响

考察了具有相同金属分散度的Pt/NaY、Pt/HNaY、 Pt/HY、Pt/NaBeta和Pt/HBeta催化剂中沸石载体的酸性对在低温下（≤250 ℃）甲烷两步等温转化反应以及由甲烷解离吸附产生的表面碳物种分布的影响。由甲烷等温两步转化生成的C2+烃类产物的总量随着载体酸性的增加而明显增加;C2～C6产物的分布也发生了变化。由表面碳物种的程序升温加氢结果表明,在各种催化剂上碳物种的形式是相似的,其总量和具有活性的Cα物种的量均因载体酸性增加而增加,反应性也增大。这种因沸石载体酸性变化而引起的载体效应是由金属和载体的相互作用造成负载在酸性载体上铂粒子的贫电子性而引起,即由金属粒子电子性质的变化而引起的催化性质的变化。     

添加表面活性剂两步沉淀法制备甲醇催化剂

采用添加表面活性剂两步沉淀法制备了具有高表面铜相对浓度的超细甲醇合成催化剂。以组成为H2/CO/CO2/N2=66/27/3/4(体积比）的原料气对催化剂进行了活性评价。结果表明,该催化剂比传统并流沉淀法制备的铜基催化剂活性提高47.9%,比两步沉淀法和添加表面活性剂并流沉淀法制备的铜基催化剂活性分别提高9.3%和16.8%。利用SEM、XRD及XPS方法对催化剂的结构、形貌和表面金属组成进行了表征。     

ZnO-SnO_2透明导电薄膜的制备及性能研究

采用二步成胶工艺制备ZnO-SnO_2透明导电薄膜,应用X射线衍射、原子力显微镜、紫外-可见分光光度计、薄膜分析仪及四探针仪等对薄膜的结构、表面微观形貌、透过率和导电性能进行表征.结果表明,锌锡摩尔比为9/12,退火温度为500 ℃时,薄膜的透过率达90%,电阻率为3.15×10~(-3) Ω·cm.与其它工艺相比,二步成胶工艺所制备出的ZnO-SnO_2透明导电薄膜性能优异.     

The expected discounted penalty function under a risk model with stochastic income

Quantities of interest in ruin theory are investigated under the general framework of the expected discounted penalty function, assuming a risk model where both premiums and claims follow compound Poisson processes. Both a defective renewal equation and an integral equation satisfied by the expected discounted penalty function are established. Some implications that these equations have on particular quantities such as the discounted deficit and the probability of ultimate ruin are illustrated. Finally, the case when premiums have Erlang(n,β) distribution and the distribution of the claims is arbitrary is investigated in more depth. Throughout the paper specific examples where claims and premiums have particular distributions are provided.     

The uncertainties about the relationships risk–return–volatility in the Spanish stock market

The relationships between the market risk premium, its conditional variance and the risk-free rate in the Spanish stock market are studied in this paper. Using daily data, the above mentioned relations are analyzed by quasi maximum likelihood for an EGARCH-M(1,1) model with normal innovations and by nonparametric maximum likelihood for a semiparametric EGARCH-M(1,1) model with arbitrarily distributed innovations. It is worth mentioning that the conclusions differ from one model to the other.     

认股权证的保险精算定价

引入Mogens Bladt和Tina Hviid Rydberg在无市场假设下关于期权定价的保险精算方法,利用公平保费原则和价格过程的实际概率测度,建立认股权证的定价模型,并给出定价公式.当投资者对原生资产期望回报率为无风险利率时,该定价为风险中性价格.