贝叶斯方法在工程建设项目风险分析中的应用

本文探讨了贝叶斯定理及其推广在工程建设项目中的应用。在工程建设项目中,各种风险会随时出现,不了解风险的存在形式,很难进行风险管理。贝叶斯方法提供了一种有效的风险预测手段,能够将主观估计与客观估计结合起来,并能随着资料的不断增加而不断进行预测,使得预测更加精确,有利于工程建设项目的动态风险管理。     

Performance Analysis with Truncated Heavy-Tailed Distributions

This paper deals with queues and insurance risk processes where a generic service time, resp. generic claim, has the form U ∧ K for some r.v. U with distribution B which is heavy-tailed, say Pareto or Weibull, and a typically large K, say much larger than . We study the compound Poisson ruin probability ψ(u) or, equivalently, the tail of the M/G/1 steady-state waiting time W. In the first part of the paper, we present numerical values of ψ(u) for different values of K by using the classical Siegmund algorithm as well as a more recent algorithm designed for heavy-tailed claims/service times, and compare the results to different approximations of ψ(u) in order to figure out the threshold between the light-tailed regime and the heavy-tailed regime. In the second part, we investigate the asymptotics as K → ∞ of the asymptotic exponential decay rate γ = γ ^(K) in a more general truncated Lévy process setting, and give a discussion of some of the implications for the approximations. AMS 2000 Subject Classification Primary 68M20, Secondary 60K25 †Partially supported by MaPhySto—A Network in Mathematical Physics and Stochastics, founded by the Danish National Research Foundation. An erratum to this article is available at .     

统计在生命科学中的实践与认识(Ⅲ)二 四格表的“物理”意义和数据处理(下)

上篇涉及两个率的比较、配对计数资料的显著性和对诊断方法的评价。本篇主要涉及重复检查、危险因素分析以及时空聚集性等。     

Markov-modulated风险模型中盈余过程零点数的分布

基于保险公司在首次破产后仍能继续运转的情形,讨论并得到了Markovmodulated风险模型中盈余过程零点数的分布.     

新冠疫情对我国信贷风险冲击的定量测算

文章建立了宏观经济传导模型和信贷风险传导模型,根据对GDP的估计,对新型冠状病毒感染肺炎疫情下的2020年全国和若干疫情严重省市的不良贷款率进行了定量测算.假设一季度内疫情得以控制,全年GDP增速下降至5.7％的情景下,预计全国年末不良贷款率约3％,不良贷款余额比2019年增加逾80％,接近2019年国内商业银行贷款损...     

Improved estimators for the GMANOVA problem with application to Monte Carlo simulation

The problem of finding classes of estimators which improve upon the usual (e.g., ML, LS) estimator of the parameter matrix in the GMANOVA model under (matrix) quadratic loss is considered. Classes of improved estimators are obtained via combining integration-by-parts methods for normal and Wishart distributions. Also considered is the application of control variates to achieve better efficiency in multipopulation multivariate simulation studies.     

Biotransformation,multifunctional recycling mechanism of nanostructures,and evaluation of the safety of nanoscale materials

Current evidence of concept analyses recommending nanotechnology for biomedical uses abounds in recent research. The area of biotechnology interfaces with nanostructures, reconfigures their composition, and alters their characteristics; which influences the dispersion of the particles, the biotransformation they cause, and their potential toxic effect. It is vital to link the idea of the lifecycle of nanostructures to the biological impacts and use methodologies to identify, estimate, and track the gradual bioprocessing of nanostructures in vivo, from a body-wide level to a nanoscopic size. This is necessary because understanding how nanostructures processing, degradation, persistence, and recycling predict potential exposure risks. The safe implementation of nanotechnology-based products in biomedical applications necessitates an extensive understanding of the recycling and transformations of nanomaterials in a living organism. Long-term fate in the body is crucial, as it governs potential environmental risks to human health. Strategies may be used to manage the long-term outcome of nanostructures in an organism since, in addition to composition, their design also affects how long they last and how easily they degrade. The lifespan of nanoparticles, a flexible and biocompatible category of nanostructures that have made it into clinical trials, is the subject of this article. Strategies may be used to manage the long-term outcome of nanoparticles in an organism since, in addition to composition, their design also affects how long they last and how easily they degrade. This review explained the safety of nanoscale materials, biotransformation, and the multifunctional recycling mechanism of nanostructures.     

RUIN PROBABILITY IN A SEMI-MARKOV RISK MODEL WITH CONSTANT INTEREST FORCE AND HEAVY-TAILED CLAIMS

In the present paper, we consider a kind of semi-Markov risk model （SMRM） with constant interest force and heavy-tailed claims~ in which the claim rates and sizes are conditionally independent, both fluctuating according to the state of the risk business. First, we derive a matrix integro-differential equation satisfied by the survival probabilities. Second, we analyze the asymptotic behaviors of ruin probabilities in a two-state SMRM with special claim amounts. It is shown that the asymptotic behaviors of ruin probabilities depend only on the state 2 with heavy-tailed claim amounts, not on the state 1 with exponential claim sizes.     

Ruin Probability in a Semi-Markov Risk Model with Constant Interest Force and Heavy-Tailed Claims

In the present paper, we consider a kind of semi-Markov risk model (SMRM) with constant interest force and heavy-tailed claims, in which the claim rates and sizes are conditionally independent, both fluctuating according to the state of the risk business. First, we derive a matrix integro-differential equation satisfied by the survival probabilities. Second, we analyze the asymptotic behaviors of ruin probabilities in a two-state SMRM with special claim amounts. It is shown that the asymptotic behaviors of ruin probabilities depend only on the state 2 with heavy-tailed claim amounts, not on the state 1 with exponential claim sizes.     

Continuous-time dynamic risk measures by backward stochastic Volterra integral equations

Continuous-time dynamic convex and coherent risk measures are introduced. To obtain existence of such risk measures, backward stochastic Volterra integral equations (BSVIEs, for short) are studied. For such equations, notion of adapted M-solution is introduced, well-posedness is established, duality principles and comparison theorems are presented. Then a class of dynamic convex and coherent risk measures are identified as a component of the adapted M-solutions to certain BSVIEs.