老龄化债券在累积和分配阶段的固定缴款养老金中的作用（英文）

近年来,老龄化风险在金融数学和金融工程领域引起了人们极大的关注.为了对冲老龄化风险,老龄化债券在金融市场上应运而生.为了研究老龄化债券是否能有效地对冲固定缴款养老金账户所面临的老龄化风险,本文分别对累积阶段和分配阶段的固定缴款养老金进行了随机最优管理问题的研究.在两个阶段中,最优控制的目标都是通过对金融市场上老龄化债券、零息票债券和无风险资产的投资来最大化终端财富值的期望效用.应用动态规划原理并通过解相应的HJB方程,本文分别得到了两个阶段的最优投资策略的显式表达.在合理的假设前提下,结果表明无论是在累积阶段还是在分配阶段,对老龄化债券的投资都有利于提高投资效果,并最终得到更高的财富值的期望效用.     

带延迟索赔和随机收入的离散风险模型的Gerber-Shiu分析（英）

破产理论是保险数学中的重要问题,它可以为保险公司决策者提供一个非常有用的早期风险预警手段．本文研究了一个带潜在延迟索赔和随机保费收入的复合二项风险模型．利用矩母函数的技巧,得到了 Gerber-Shiu 期望折罚函数的递推公式．特别地,还得到了贴现因子为 1 的特殊情形下的 Gerber-Shiu 期望折罚函数的解析表达式．最后还得到了实际应用中的一些重要的破产特征量,包括破产概率,破产时赤字的密度函数,破产前盈余与破产时赤字的联合密度函数,以及导致破产的索赔密度函数等．     

带有死亡和意外返还条款的DC型养老金的最优投资问题

本文研究带有死亡返还和意外返还条款的确定缴费型养老金的最优投资问题．在确定缴费型养老金计划中,投保人的缴费率是确定的,投保人未来获得的养老金数额由缴费率和基金的投资收益决定．这种养老保险的风险完全由投保人承担,因此寻找最优投资策略对于保证投保人的退休给付有重要意义．投保人在缴费过程中可能会出现意外和死亡的情况,为了保障其权益,应该给投保人返还一定的保费．死亡返还和意外返还分别使用精算符号和复合泊松过程来描述,并利用Cram\'{e}r-Lundberg模型对复合泊松过程进行了近似．根据均值--方差目标采用随机控制的方法,建立相应的Hamilton-Jacobi-Bellman方程并求解,得到受死亡和意外影响的确定缴费型养老金的时间一致最优策略,最后数值分析模型中各参数对有效边界和价值函数的影响．     

基于模型不确定性的保险人最优投资再保险问题研究

研究了以破产概率最小化为目标的模糊厌恶型保险人的最优投资再保险问题。假设保险人可购买比例再保险,同时可投资于一个风险资产。保险人的盈余过程由扩散风险模型描述,风险资产的价格过程由常方差弹性 (CEV) 模型描述。根据动态规划原理建立了优化问题相应的 HJB 方程,针对特殊的弹性系数给出了保险人的最优鲁棒投资再保险策略的解析解。最后,通过数值模型分析了模型参数对最优投资-比例再保险策略和值函数的影响。研究发现保险人的模糊厌恶程度越高,其采取的投资再保险策略呈现出越保守的特点。     

Joint replenishment and manufacturing activities control in a two stage unreliable supply chain

This paper deals with dynamic stochastic situations faced by supply chains. In this context, various interactions, disparate decisions and random phenomena must be considered. These issues are considered in this paper through a two stage supply chain control problem. The supplier and the transformation stage are both subject to random events such as periods of unavailability due to internal difficulties or market constraints. Our objective is to find information sharing control policies for the supply and production activities that minimises the expected discounted cost of ordering, inventories/backlog and transformation over an infinite horizon. This is an optimal control problem with state constraints and hybrid dynamics of the production and replenishment activities. It is shown that, from a mathematical point of view, the considered problem is difficult to tackle and it calls upon optimal and impulsive control theory notions. A dynamic stochastic model is thus proposed. The existence of an optimal control policy and Hamilton-Jacobi-Bellman optimality condition in terms of the value function of the problem are derived and discussed. A numerical schema is then proposed to solve the obtained optimality conditions equations. A complete control policy is finally developed. The confirmation of such a policy structure is illustrated through sensitivity analysis. Some particular cases are also presented and discussed.     

三峡水库综合利用调度关键技术研究与实践

为全面提升三峡工程的综合利用效益,三峡水库蓄水以来对规划设计的水库调度方式进行了优化研究与实践。文章对其关键技术进行分析总结,主要有协调防洪、发电、航运、供水和生态等多目标需求的技术、调度风险控制技术、调度决策优化技术、编制调度规程以规范调度工作等。通过分析以寻求不断完善三峡水库综合利用调度方式的路径,力求实现三峡工程效益最优,成为环境友好且对社会公益性贡献突出的跨世纪宏伟工程。     

The control of paracetamol particle size and surface morphology through crystallisation in a spray dryer

The parameters governing the crystallisation of paracetamol using various conventional techniques has been extensively studied, however the factors influencing the drug crystallisation using spray drying is not as well understood. The aim of this work was to investigate the crystallisation of an active pharmaceutical ingredient through evaporative crystallisation using a spray dryer to study the physicochemical properties of the drug and to use semi-empirical equations to gain insight into the morphology and particle size of the dried powder. Paracetamol solutions were spray dried at various inlet temperatures ranging from 60 °C to 120 °C and also from a series of inlet feed solvent compositions ranging from 50/50% v/v ethanol/water to 100% ethanol and solid-state characterisation was done. The size and morphology of the dried materials were altered with a change in spray drying parameters, with an increase in inlet temperature leading to an increase in particle Sauter mean diameter (from 3.0 to 4.4 µm) and a decrease in the particle size with an increase in ethanol concentration in the feed (from 4.6 to 4.4 µm) as a result of changes in particle density and atomised droplet size. The morphology of the dried particles consisted of agglomerates of individual crystallites bound together into larger semi-spherical agglomerates with a higher tendency for particles having crystalline ridges to form at higher ethanol concentrations of the feed.