Modelling losses and locating the tail with the Pareto Positive Stable distribution

This paper focuses on modelling the severity distribution. We directly model the small, moderate and large losses with the Pareto Positive Stable (PPS) distribution and thus it is not necessary to fix a threshold for the tail behaviour. Estimation with the method of moments is straightforward. Properties, graphical tests and expressions for value-at risk and tail value-at-risk are presented. Furthermore, we show that the PPS distribution can be used to construct a statistical test for the Pareto distribution and to determine the threshold for the Pareto shape if required. An application to loss data is presented. We conclude that the PPS distribution can perform better than commonly used distributions when modelling a single loss distribution for moderate and large losses. This approach avoids the pitfalls of cut-off selection and it is very simple to implement for quantitative risk analysis.     

On the Geometrical Meaning of the Dynamic Equations in Analytical Mechanics

In this paper,the modern geometrical structure of analytical mechanics,the exteriordifferential forms and the geometrical meaning of dynamic equations are briefly discussed.     

Quantile regression for modelling distributions of profit and loss

Quantile regression is applied in two retail credit risk assessment exercises exemplifying the power of the technique to account for the diverse distributions that arise in the financial service industry. The first application is to predict loss given default for secured loans, in particular retail mortgages. This is an asymmetric process since where the security (such as a property) value exceeds the loan balance the banks cannot retain the profit, whereas when the security does not cover the value of the defaulting loan then the bank realises a loss. In the light of this asymmetry it becomes apparent that estimating the low tail of the house value is much more relevant for estimating likely losses than estimates of the average value where in most cases no loss is realised. In our application quantile regression is used to estimate the distribution of property values realised on repossession that is then used to calculate loss given default estimates. An illustration is given for a mortgage portfolio from a European mortgage lender. A second application is to revenue modelling. While credit issuing organisations have access to large databases, they also build models to assess the likely effects of new strategies for which, by definition, there is no existing data. Certain strategies are aimed at increasing the revenue stream or decreasing the risk in specific market segments. Using a simple artificial revenue model, quantile regression is applied to elucidate the details of subsets of accounts, such as the least profitable, as predicted from their covariates. The application uses standard linear and kernel smoothed quantile regression.     

Soft mode dynamics of perovskite type crystals

The soft mode dynamics and related properties of perovskite, ABO₃-type crystals have been studied using the operator form of the model Hamiltonian proposed by Pytte. The correlations have been evaluated using the double time thermal Green’s function technique and Dyson’s equation. Without any decoupling, the higher order correlations, appearing in the dynamical equation, have been evaluated using the renormalized Hamiltonian. The dielectric properties are directly related to the optical soft mode. The phonon width and shift have been calculated for different structural phases. The analysis of the temperature dependence of microwave loss tangent and dielectric constant explains the experimental results.     

Improved method for loss measurements in planar waveguides

A method employing an isosceles prism and a right-angle one is developed for loss measurement in planar waveguides. During the measuring process, the isosceles prism is fixed and the right-angle prism fixed on the waveguide slides by following the waveguide. Only by adjusting the gap thickness we can realize the loss measurement in planar waveguides. The method is demonstrated with an Ag/Na ion-exchanged waveguide fabricated on BK7 glass from AgNO₃ melt diluted with NaNO₃ (mass ratio 1:9), with the condition of 4 h and . The experimental results show that the method has the advantages on convenient operation, accurate results and no required end polishing.     

Loss of PEG chain in routine SDS‐PAGE analysis of PEG‐maleimide modified protein

SDS‐PAGE represents a quick and simple method for qualitative and quantitative analysis of protein and protein‐containing conjugates, mostly pegylated proteins. PEG‐maleimide (MAL) is frequently used to site‐specifically pegylate therapeutic proteins via free cysteine residue by forming a thiosuccinimide structure for pursuing homogeneous products. The C–S linkage between protein and PEG‐MAL is generally thought to be relatively stable. However, loss of intact PEG chain in routine SDS‐PAGE analysis of PEG‐maleimide modified protein was observed. It is a thiol‐independent thioether cleavage and the shedding of PEG chain exclusively happens to PEG‐MAL modified conjugates although PEG‐vinylsulfone conjugates to thiol‐containing proteins also through a C–S linkage. Cleavage kinetics of PEG40k‐MAL modified ciliary neurotrophic factor showed this kind of degradation could immediately happen even in 1 min incubation at high temperature and could be detected at physiological temperature and pH, although the rate was relatively slow. This may provide another degradation route for maleimide‐thiol conjugate irrespective of reactive thiol, although the specific mechanism is still not very clear for us. It would also offer a basis for accurate characterization of PEG‐MAL modified protein/peptide by SDS‐PAGE analysis.     

On the stability of tangent bundle on double coverings

Let Y be a smooth projective surface defined over an algebraically closed field k with char k≠2, and let π : X →Y be a double covering branched along a smooth divisor. We show that y_X is stable with respect to π~*H if the tangent bundle y_Y is semi-stable with respect to some ample line bundle H on Y.     

含噪双稳杜芬振子矩方程的分岔与随机共振

研究了含噪声的双稳杜芬振子矩方程的分岔与随机共振的关系，并根据它们的关系, 从另 一个角度揭示了随机共振发生的机制. 首先在It?方程的基础上，导出了双稳杜芬振子在白噪声和弱周期信号作用下的矩方程，其次以噪声强度 为分岔参数分析了矩方程的分岔特性，再次分析了矩方程的分岔与双稳杜芬振子随机共振 之间的关系，最后根据该对应关系从另一种观点提出了双稳杜芬振子随机共振的机制，该 机制是由于以噪声强度为分岔参数的矩方程发生了分岔，而分岔使得原系统响应均值的能量分布发生了转移，使能 量向频率等于输入信号频率的分量处集中，使得弱信号得到了放大，随机共振发生了.     

Corrigendum to “The Conley conjecture for Hamiltonian systems on the cotangent bundle and its analogue for Lagrangian systems” [J. Funct. Anal. 256 (9) (2009) 2967-3034]

In lines 8-11 of Lu (2009) [18, p. 2977] we wrote: “For integer m?3, if M is Cm-smooth and Cm−1-smooth L:R×TM→R satisfies the assumptions (L1)-(L3), then the functional Lτ is C²-smooth, bounded below, satisfies the Palais-Smale condition, and all critical points of it have finite Morse indexes and nullities (see [1, Prop. 4.1, 4.2] and [4])”. However, as proved in Abbondandolo and Schwarz (2009) [2] the claim that Lτ is C²-smooth is true if and only if for every (t,q) the function v?L(t,q,v) is a polynomial of degree at most 2. So the arguments in Lu (2009) [18] are only valid for the physical Hamiltonian in (1.2) and corresponding Lagrangian therein. In this note we shall correct our arguments in Lu (2009) [18] with a new splitting lemma obtained in Lu (2011) [20].     

Better bases for radial basis function interpolation problems

Radial basis function interpolation involves two stages. The first is fitting, solving a linear system corresponding to the interpolation conditions. The second is evaluation. The systems occurring in fitting problems are often very ill-conditioned. Changing the basis in which the radial basis function space is expressed can greatly improve the conditioning of these systems resulting in improved accuracy, and in the case of iterative methods, improved speed, of solution. The change of basis can also improve the accuracy of evaluation by reducing loss of significance errors. In this paper new bases for the relevant space of approximants, and associated preconditioning schemes are developed which are based on Floater’s mean value coordinates. Positivity results and scale independence results are shown for schemes of a general type. Numerical results show that the given preconditioning scheme usually improves conditioning of polyharmonic spline and multiquadric interpolation problems in R² and R³ by several orders of magnitude. The theory indicates that using the new basis elements (evaluated indirectly) for both fitting and evaluation will reduce loss of significance errors on evaluation. Numerical experiments confirm this showing that such an approach can improve overall accuracy by several significant figures.