带干扰的广义Erlang(n)风险模型破产前资产余额的最大值(英文)

破产前资产余额的最大值是反映保险公司资产实力的重要指标.随机误差因素改变了余额过程的轨道性质,以致于增加了研究上的本质困难.本文研究了带干扰的广义Erlang(n)风险模型破产前资产余额最大值的分布问题.我们推导出破产前资产余额的最大值满足具有一定边界条件的齐次积分微分方程.特别地,当索赔服从有理分布时,我们给出了精确结果.此外,与单纯的广义Erlang(n)风险模型相比较,我们的论证更为复杂结果更为精细,并且推广了那里的结果.     

常利率下的更新风险模型

讨论了常利率下的更新风险模型，证明了索赔时刻Tk的资产余额Uδ（Tk)(k≥0)构成一个齐次马尔科夫链，且给出其转移概率Q（x,B)。利用转移概率得到了风险问题中的几个重要的量和分布；破产概率，破产时余额分布以及破产前瞬间余额分布的级数展开式和积分主程。     

常利率下有阈红利边界的Erlang(2)风险模型的罚金折现期望函数

为了精确地描述风险投资商实际的经营状况,本文将一般的Erlang(2)风险模型推广为常利率下有阈红利边界的Erlang(2)风险模型。首先利用全概率公式对风险过程进行分析,得到了模型的罚金折现期望函数所满足的积分-微分方程及积分方程,然后在不带利率时将积分方程简化为"第二类非其次Volterra积分方程",给出了罚金折现期望函数的确切表达式,最后给出了不带利率时模型的破产概率及破产前瞬时盈余和破产赤字的联合分布的表达式。     

浅论破产企业的资产评估

破产企业资产评估实质上是对其资产市场变现值的评估，变现时限直接影响资产的评估价值；运用快速变现折扣率法评估破产企业资产是方便合理，可行的评估方法。     

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．     

变保费率复合Poisson-Geometric过程风险模型的Gerber-Shiu折现惩罚函数

本文研究了当保费率随时间变化时的复合Poisson-Geometric过程的风险模型.通过无穷小方法,得到了该模型的Gerber-Shiu折现惩罚函数所满足的更新方程.在此基础上,推导出破产概率,破产前瞬时盈余,以及破产时刻赤字分布满足的更新方程.特别地,当个体索赔服从指数分布时,通过求解微分方程,得到了该模型的破产概率的显式表达式和所满足的不等式.最后通过数值模拟和算例分析,提出了保险公司的赔付政策和保费政策对自身风险的影响.     

双指数跳扩散模型下具有破产重组公司债券定价

为了更好地处理公司面临的资产跳跃风险和破产重组策略问题,在公司资产价值演化服从双指数跳扩散模型下,基于债券股票互换的破产重组策略模式,综合运用结构化方法和最优停时技巧,建立公司股票和公司债券定价的数学模型,获得公司股票和公司债券定价表达式,以及最佳破产边界的闭合解和最优息票所满足的非线性方程．最后,数值结果表明：公司资产价值震荡越剧烈,股东越能从动荡的市场中获得收益,但公司债券将越不受投资者青睐,公司债券价值越低,最优杠杆比例越低．     

调制度测量轮廓术高度信息获取新算法

理论分析表明,在正弦光栅成像面前后调制度分布是一种高斯分布,据此提出一种基于高斯曲线拟合的调制度测量轮廓术高度信息获取新算法：高斯曲线拟合法。该算法对调制度分布序列中极值位置附近的部分数据点利用高斯函数进行拟合,从获得的拟合曲线求出调制度极大值的真实位置,该位置对应的扫描距离即为对应点的高度信息。对同一测量数据利用三种高度算法分别计算高度,测量精度为：极值算法0．78mm、重心算法0．37mm和高斯曲线拟合算法0．22mm,表明高斯曲线拟合法可以获得更高的测量精度。     

分数布朗运动环境中混合期权定价

本文在基本标的资产价格服从几何分数布朗运动且其波动率为常数的假设下,在基础标的资产有红利支付且无风险利率和红利率为非随机函数时求出了各种混合期权的定价公式。     

Lévy稳定分布对住宅楼面活荷载的统计分析

该文基于Lévy稳定分布,给出了设计住宅楼面活荷载标准值的一种新的统计方法。该方法分为4个步骤,首先采用Lévy稳定分布,拟合楼面活荷载的累积分布函数;然后运用Lévy随机数,模拟设计基准期内活荷载的极大值分布;其次通过设定活荷载极大值分布的分位数,计算持久性活荷载和临时性活荷载的最大值;最终以赋权重的方式,确定楼面活荷载的标准值。我们的分析结果表明,这个新方法不需要大量的调查数据,避免了Turkstra荷载组合原则基于经验确定标准值的缺点。与极值I型分布和威布尔分布相比,Lévy稳定分布的模拟精度最高,并且其参数能够直接刻画活荷载分布的非对称性和拖尾性。此外,采用Lévy随机数模拟法,数学简单,方便工程技术人员的使用。     

Bayesian calculation of optimal burn‐in time using the joint criteria of cost and delivered reliability

Burn‐in is a quality control process used to minimize the warranty cost of a product by screening out defective products through prior operation for a period of time before sale. Two decision criteria used to determine the optimal burn‐in time are the maximization of the reliability of the delivered product and the minimization of the total cost, which are composed of the cost of burn‐in process and the cost of warranty claims. Because of uncertainty regarding the underlying lifetime distribution of the product, both the product reliability and the total cost are random variables. In this paper, the uncertainty in reliability and cost is quantified by use of Bayesian analysis. The joint distribution of reliability and cost is inferred from the uncertainty distribution of the parameters of the product lifetime distribution. To incorporate the uncertainty in reliability and cost as well as the tradeoff between them into the selection of optimal burn‐in time, the joint utility function of reliability and cost is constructed using the joint distribution of reliability and cost. The optimal burn‐in time is selected as the time that maximizes the joint utility function. Copyright © 2010 John Wiley & Sons, Ltd.     

Designing a supply chain network for deteriorating inventory under preservation effort and trade credits

When designing a perishable goods supply chain network under trade credit arrangements, distribution companies must contend with deteriorating inventory and product preservation efforts to maximise profits. Key decisions include locating distribution centres (DCs), assigning retail stores to DCs, joint replenishment cycle time and investing in preservation technology. This paper addresses these factors from the position that as preservation effort increases, preservation technology cost increases and deterioration rate decreases. An algorithm based on piecewise nonlinear optimisation is provided for solving supply chain network design problems efficiently. In contrast to other studies that have used the approximation approach, the proposed approach solves the original problem accurately and efficiently. Numerical studies are conducted to demonstrate the solutions procedures and determine the effects of the parameters on decisions and profits. The results of this study and the proposed modelling approach are useful references for managerial decisions in designing a supply chain network the context of trade credit and inventory deterioration.     

两步保费率下的Erlang（2）风险过程

本文研究了两步保费率下Erlang(2)风险过程,给出了Gerber-Shiu折现罚函数的两个微积分方程及其解或更新方程.在索赔额为指数分布条件下得到了两个与破产相关的量并计算出了相应的数值结果.     

Evaluating Six Sigma failure rate for inverse Gaussian cycle times

Six Sigma is a quality philosophy and methodology that aims to achieve operational excellence and delighted customers. The cost of poor quality depends on the sigma quality level and its corresponding failure rate. Six Sigma provides a well-defined target of 3.4 defects per million. This failure rate is commonly evaluated under the assumption that the process is normally distributed and its specifications are two-sided. However, these assumptions may lead to implementation of quality-improvement strategies that are based on inaccurate evaluations of quality costs and profits. This paper defines the relationship between failure rate and sigma quality level for inverse Gaussian processes. The inverse Gaussian distribution has considerable applications in describing cycle times, product life, employee service times, and so on. We show that for these processes attaining Six Sigma target failure rate requires higher quality efforts than for normal processes. A generic model is presented to characterise cycle times in manufacturing systems. In this model, the asymptotic production is described by a drifted Brownian motion, and the cycle time is evaluated by using the first passage time theory of a Wiener process to a boundary. The proposed method estimates the right efforts required to reach Six Sigma goals.     

16MnR钢激光冲击工艺及对焊接结构应力腐蚀性能的影响EI北大核心CSCD

对16MnR母材进行激光冲击工艺实验,获得优化的激光冲击工艺参数。对激光-MAG复合焊焊接接头进行表面处理,分析接头激光冲击前后状态的残余应力分布及抗应力腐蚀性能变化。结果表明:对16MnR钢平板经激光冲击处理后,在材料表面最大可引入475μm厚度的塑性变形层,并同时引入-593 MPa的压应力分布。采用优化激光冲击工艺对16MnR钢焊接接头进行表面处理后,可有效减小焊接接头表面的残余拉应力分布。在3.5%NaCl(质量分数)条件下对激光冲击处理前后的接头试样进行慢应变速率应力腐蚀实验,发现激光冲击处理前后16MnR钢焊接接头的应力腐蚀敏感指数I_(SSRT)分别为0.106和0.104,表明激光冲击可以提高接头的抗应力腐蚀能力。     

Pricing and ordering strategies in manufacturing and distribution alliances

This paper studies the effect of coordination in a manufacturing and distribution system consisting of one manufacturer and one distributor. The system operates to meet price-sensitive random demand with the objective of maximizing expected profits of both the manufacturer and the distributor. The coordinated pricing and production/ordering policies that maximize the expected profits of the manufacturer and the distributor, as well as the distributor's optimal pricing and ordering policies without coordination, are developed. The focus of this study is to address the following managerial questions: What factors make coordination an effective strategy for both the manufacturer and the distributor? What are the coordination strategies and the coordinated policies that maximize both parties' expected profits and the joint expected profit? These and other related managerial issues are explored in this paper.     

带随机干扰更新风险模型破产概率的局部定理

为推广经典风险过程以研究各种风险引发的破产的可能性,本文研究了保险金融领域中一个更为现实的模型:带随机干扰的更新风险模型的破产概率的渐近估计的局部化形式。在相对安全负荷条件下,采用纯概率的方法,得出了当索赔额为重尾索赔时破产概率的局部渐近等价式,它与原更新风险模型相应的破产概率的局部渐近等价式一致,说明在重尾索赔下,Wiener过程对破产概率的影响可以忽略。