Unit-linked life insurance policies: Optimal hedging in partially observable market models

In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on the market. In particular, we consider an endowment insurance contract, that is a combination of a term insurance policy and a pure endowment, whose final value depends on the trend of a stock market where the premia the policyholder pays are invested. To allow for mutual dependence between the financial and the insurance markets, we use the progressive enlargement of filtration approach. We assume that the stock price process dynamics depends on an exogenous unobservable stochastic factor that also influences the mortality rate of the policyholder. We characterize the optimal hedging strategy in terms of the integrand in the Galtchouk–Kunita–Watanabe decomposition of the insurance claim with respect to the minimal martingale measure and the available information flow. We provide an explicit formula by means of predictable projection of the corresponding hedging strategy under full information with respect to the natural filtration of the risky asset price and the minimal martingale measure. Finally, we discuss applications in a Markovian setting via filtering.     

球面稳定同伦群中非平凡元素γ_sξ_n

当p≥5, n≥0时,(i_1i_0)_*(h_n)∈Ext_■~(1,p~nq)(H~*K,Z_p)在Adams谱序列中是永久循环,并且收敛到π_(p~nq-1)K中的非零元.本文在此基础上,考虑了涉及第三希腊字母类乘积元素的收敛性,并且扩大了球面稳定同伦群中非平凡元素滤子s+1的取值范围,即当p+1 s+1 2p时,■_sh_n∈Ext_■~(s+1,t)(Z_p,Z_p)在Adams谱序列中是永久循环,并且收敛到π_(t-s-1)S中的非零元γ_sξ_n,其中p≥7, n≥3, t=p~nq+sp~2q+(s-1)pq+(s-2)q+s-3,q=2(p-1).     

外代数上复杂度为2的Koszul模

本文对外代数上复杂度为2的不可分解循环Koszul模M的极小投射分解进行了分析，构造出了基映射对应的矩阵的一种标准形式，进而刻划出了其合冲ΩM的滤链结构．     

Critical curves for fast diffusive polytropic filtration equations coupled through boundary

This article deals with the critical curve of a fast diffusive polytropic filtration system coupled at the boundary condition. By constructing the self-similar supersolution and subsolution, we obtain the critical global existence curve. The critical curve of Fujita type is conjectured with the aid of some new results.     

Varieties of strange plane curves

Abstract

Let A be a commutative ring with identity, let X, Y be indeterminates and let F(X,Y), G(X, Y) ∈ A[X, Y] be homogeneous. Then the pair F(X, Y), G(X, Y) is said to be radical preserving with respect to A if Rad((F(x, y), G(x, y))R) = Rad((x,y)R) for each A-algebra R and each pair of elements x, y in R. It is shown that infinite sequences of pairwise radical preserving polynomials can be obtained by homogenizing cyclotomic polynomials, and that under suitable conditions on a ?-graded ring A these can be used to produce an infinite set of homogeneous prime ideals between two given homogeneous prime ideals P ? Q of A such that ht(Q/P) = 2.     

Discrete-Time BSDEs with Random Terminal Horizon

This article studies the theory of discrete-time backward stochastic differential equations (also called BSDEs) with a random terminal time, which is not a stopping time. We follow Cohen and Elliott [2 Cohen , S.N. , and Elliott , R.J. 2010 . A general theory of finite state backward stochastic difference equations . Stochastic Processes and Their Applications 120 ( 4 ): 442 – 466 .[Crossref], [Web of Science ®] , [Google Scholar]] and consider a reference filtration generated by a general discrete-time finite-state process. The martingale representation theorem for essentially bounded martingales under progressively enlarged filtration is established. Then we prove the existence and uniqueness theorem of BSDEs under enlarged filtration using some weak assumptions of the driver. We also present conditions for a comparison theorem. Applications to nonlinear expectations and optimal design of dynamic default risk are explored.     

The Newton filtration and d-determination of bifurcation problems related to C~0 contact equivalence

In this paper, from the Newton filtration's point of view, we construct the singular Riemannian metric and use the method in singular theory to study the bifurcation problems, and give the sufficient condition of d-determination of bifurcation problems with respect to C0 contact equivalence. The special cases of the main result in this paper are the results of Sun Weizhi and Zou Jiancheng.     

高均匀性柔性纳米银线透明导电薄膜的制备及其性能研究

对真空抽滤法进行了改进,制备出高均匀性且只存在极少量纳米银微粒的纳米银线透明导电薄膜.将纳米银线在同一片衬底上依次进行真空抽滤和压制并重复多次,然后对制备的透明导电薄膜的表面形貌以及透光率和方阻的分布进行了讨论.结果表明通过三次压制制备出的导电薄膜的透光率约为82.7%,平均方阻为7.47Ω/sq.