On the consistency of credibility premiums regarding Esscher principle

In this paper, we investigate the problems of convergence of experience-based ratemakings regarding the Esscher principle. In addition to the Bayes and the classical credibility premiums, we suggest a new credibility formula for the Esscher premium. Then we show the convergence of the Bayes and the newly defined credibility premiums towards the individual premium and point out that the classical credibility premium does not generally converge to the individual premium by presenting a sufficient and necessary condition under which the classical credibility Esscher premium converges to the individual premium. A simulation study is carried out to illustrate the theoretical conclusions.     

Loss-based quality costs and inventory planning: General models and insights

In this paper, we examine a joint lot-sizing and process investment problem with random yield and backorders. We allow for inspection and develop stochastic models which provide the optimal inspection and lot-sizing policy as well as the optimal process investment for variance reduction. The process quality loss profile around the target is captured via a modification of the Reflected Normal loss function. We conduct numerical experiments assuming that the proportion of defectives follows a Uniform distribution while the process quality characteristic follows either a Normal or Uniform distribution. We also develop closed-form solutions that depend on at most the first two moments of any general probability distribution of defective units and which allow us to examine the nature of optimal policies. We demonstrate via numerical experiments the value of our integrated approach for jointly determining optimal inventory, inspection, and investment policies. Overall, our models and analyses provide some interesting insights into this reasonably complex inventory-quality problem and open up several avenues for future work in this area.     

高真空多层绝热容器真空丧失后传热研究综述

高真空多层绝热低温容器突然的真空丧失可能会引发重大的安全事故.文中综述了国内外研究者在高真空多层绝热低温容器突然的真空丧失方面的研究成果,并对未来的研究方向进行了讨论和展望.     

Structural and electrical studies of Ba5RTi3V7O30 (R=Ho,Gd, La) compounds

The ferroelectric ceramics Ba₅RTi₃V₇O₃₀ (R=Ho, Gd, La) have been synthesized by solid-state reaction technique. Preliminary X-ray structural analysis confirmed a single-phase formation of the compound in orthorhombic structure. Surface morphology of the compounds was studied by scanning electron microscopy (SEM). Detailed studies of electrical properties (i.e., dielectric constant, loss tangent, ac conductivity) as a function of temperature (RT-773 K) and at four different frequencies (1 kHz, 10 kHz, 100 kHz and 1 MHz) show ferroelectric–paraelectric phase transition of the compounds of diffuse-type. The activation energy has been evaluated from ac conductivity following Arrhenius equation. The conductivity pattern shows that it is strongly frequency dependent and obeys Jonscher's power relation.     

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.     

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.     

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.     

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.