均值方差保费原理下带有时滞的鲁棒最优再保险和投资策略

研究带有时滞的保险公司鲁棒最优再保险和投资策略问题。假定保险公司通过购买比例再保险来转移部分索赔风险,且依据广义均值方差保费原理支付再保险保费。同时,保险公司将资产投资于由一种无风险资产和一种风险资产组成的金融市场。风险资产模型的瞬时期望收益率服从均值回复Ornstein-Uhlenbeck (O-U)过程。以保险公司终端财富的指数效用期望最大为优化目标,运用动态规划原理,通过求解相应的Hamilton-Jacobi-Bellman (HJB)方程,得到最优再保险–投资策略以及相应值函数的显式表达式。最后,通过数值分析讨论模型主要参数对最优策略的影响。结果显示,再保险策略主要受保险市场模型参数和无风险资产模型参数的影响,而与风险资产模型的参数及风险资产预期收益率模型的参数无关。另一方面,时滞效应和鲁棒因素会对最优再保险–投资策略产生较大的影响,考虑时滞效应可以增强保险公司财富的稳定性,考虑模型不确定性能有效降低概率测度不精确带来的风险。     

指数保费原理中风险保费的变点推断

保费定价是指精算师根据风险的分布特征确定一个合理的保费的过程.为了提高保险公司的竞争力,制定的保费必须科学合理且与保单风险相匹配.然而,由于风险因素的复杂性,保单风险的结构性变化常导致保费发生改变,保费的变点检测是保险公司重要的问题之一.本文建立了指数保费的变点检测模型,基于变点统计推断方法,提出了检测风险保费结构变点...     

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.     

基于风险偏好的两级供应链集成优化

提出了一个由供应商、配送中心和零售商组成的两级供应链集成优化问题。供应商产品价格、风险等级、供应能力和零售商需求考虑为不确定性的风险因素。应用可信性理论,建立了基于风险偏好的两级供应链集成优化模型。使用可能性隶属函数将模糊机会约束转化为清晰的等价类对模型进行求解。最后,通过数值算例分析了决策者的风险偏好变化对目标值的影响。     

一类马氏调制风险模型的破产概率

本文研究一类马氏调制风险模型的破产概率,在此模型中索赔到达间隔和索赔额都受一外在马氏过程的影响,保费收入则受该外在的马氏过程和公司的储备金水平的影响.本文不仅考虑了随机环境对保险公司的影响,而且考虑了保险公司为了吸引新的顾客,会根据储备金的水平来调整保费收入.因此所考虑的保险模型更加贴近现实,更加易于应用.通过向后微分讨论,根据外在过程的马氏性,严格推导出破产概率所满足的积分方程.进一步,通过拉普拉斯变换的方法,给出了积分方程的解.最后,给出一个例子来展示所得结果的可行性和有效性.     

基于城市中心区实测风场的高层建筑风荷载特性

风剖面是影响高层建筑风荷载特性的主要因素。为了探究城市中心区风场下高层建筑的风荷载特性,选取了北京气象塔2013年-2017年连续观测的实测风速数据,采用指数率模型并结合城市边界层分层结构对实测风场风剖面进行了拟合。通过刚性模型风洞测压试验得到了宽厚比D/B=1, 2, 4三种超高层建筑在实测风场下的风荷载,并将试验结果同规范中的B、D类风场进行了对比。研究表明：基于分层结构,采用指数率模型拟合得到的实测风场幂指数为0.35,其平均风速剖面同D类风场相似,湍流度剖面则大于D类风场;与B、D类风场下的风荷载相比,实测风场对超高层建筑的平均风荷载影响较小,对脉动风荷载的影响较大,且建筑宽厚比增大后,其在实测风场下的脉动风效应显著增强;建筑基底横风向和扭转向力矩系数间具有较强的相关性,且存在极值相关性,特别是90°风向角时的D/B=4建筑,两种相关性在实测风场下均显著增强。     

最优投次组合的若干修正M—V模型

本文综述了若干最优投资组合的修正均质－方差模型,它们包括风险厌恶模型,两个控制非系统风险的Ｍ－Ｖ模型和风险偏好模型,它们适合对风险态度不同的投资者,文中对不同的模型给出了解析争,并讨论了各个模型的优劣。     

供应链运作风险影响供应链绩效的实证研究

从实证研究的角度研究了供应链运作风险对供应链绩效的影响.将供应链运作风险归纳为供应风险、需求风险、制造过程风险和信息风险四类,选择供应链可靠性、柔性、服务质量和财务绩效四个变量描述供应链绩效,构建了一个反映二者关系的概念模型.通过对国内制造业企业的问卷调研,利用结构方程模型软件LISREL8.70对模型进行了统计检验,得到了研究结果.研究结果表明:制造过程风险和信息风险对供应链绩效有显著的直接影响;供应风险和需求风险对供应链绩效无显著的直接影响,但通过与制造过程风险和信息风险的相关关系间接影响供应链绩效.研究结论为制造企业实际的供应链风险管理提供理论借鉴.     

最优投资组合的若干修正 M-V模型(英文)

本文综述若干最优投资组合的修正均质 -方差模型 ,它们包括风险厌恶模型 ,两个控制非系统风险的M- V模型和风险偏好模型 ,它们适合对风险态度不同的投资者 ,文中对不同的模型给出了解析解 ,并讨论了各个模型的优劣     

经济环境下带干扰古典风险模型的保费计算

讨论了经济环境下带干扰的古典风险模型,并按照不同保费计算原理给出了多种保费计算公式。     

A note on computing bonus-malus insurance premiums using a hierarchical bayesian framework

In this paper we consider statistical problems arising from applications concerning insurance-premium calculation. We describe an integrated set of Bayesian tools for modelling bonus-malus systems (BMS) for insurance premiums. This paper describes a bonus-malus system (BMS) applicable to insurance claims procedures, constructed using a hierarchical Bayesian model. We then address notions and techniques of robust Bayesian analysis in the context of problems arising in BMS. Research partially supported by grants from MCyT (Ministerio de Ciencia y Tecnología, Spain, project BEC2001-3774) and DGUI (Dirección General de Universidades e Investigación del Gobierno Autónomo de Canarias, Spain, project PI2003-033).     

The two-level probabilistic description of the compressive constitutive parameters of concrete

The constitutive model of concrete is the critical basis for the nonlinear analyses of concrete structures. Due to the fact that the mechanical behavior of concrete exhibits remarkable randomness, the probabilistic modeling of the key parameters of the concrete constitutive model is of paramount significance. In the present study, a two-level probabilistic model is proposed to describe the dependent random constitutive parameters based on the compressive test results of several batches of concrete specimens of different strength grades. Both the local probabilistic dependence, i.e., the dependence of the parameters of intra-batch specimens, and the global probabilistic dependence, i.e., the dependence of the parameters of inter-batch specimens, are captured by the proposed method. To this end, the constitutive parameters of concrete are first standardized by their means and coefficients of variation (COVs). In this way, the local dependence can be represented by the same copula model for the concrete of different strength grades. The global dependence is expressed as the empirical formulae in terms of the means and COVs of the parameters. The full probabilistic model can then be obtained by synthesizing the local and global dependence models. The effectiveness of the proposed approach is demonstrated by comparing the generated samples with the test results. To illustrate the effect of the probabilistic dependence of the compressive constitutive parameters on the structural evaluation result, the nonlinear stochastic dynamic response analysis of a reinforced concrete frame is carried out. The results indicate that the probabilistic dependence of the constitutive parameters of concrete has a non-negligible effect on the structural response and reliability, and should be reasonably considered in practice.     

Formalizing dimension and response violations of local independence in the unidimensional Rasch model

Local independence in the Rasch model can be violated in two generic ways that are generally not distinguished clearly in the literature. In this paper we distinguish between a violation of unidimensionality, which we call trait dependence, and a specific violation of statistical independence, which we call response dependence, both of which violate local independence. Distinct algebraic formulations for trait and response dependence are developed as violations of the dichotomous Rasch model, data are simulated with varying degrees of dependence according to these formulations, and then analysed according to the Rasch model assuming no violations. Relative to the case of no violation it is shown that trait and response dependence result in opposite effects on the unit of scale as manifested in the range and standard deviation of the scale and the standard deviation of person locations. In the case of trait dependence the scale is reduced; in the case of response dependence it is increased. Again, relative to the case of no violation, the two violations also have opposite effects on the person separation index (analogous to Cronbach's alpha reliability index of traditional test theory in value and construction): it decreases for data with trait dependence; it increases for data with response dependence. A standard way of accounting for dependence is to combine the dependent items into a higher-order polytomous item. This typically results in a decreased person separation index index and Cronbach's alpha, compared with analysing items as discrete, independent items. This occurs irrespective of the kind of dependence in the data, and so further contributes to the two violations not being distinguished clearly. In an attempt to begin to distinguish between them statistically this paper articulates the opposite effects of these two violations in the dichotomous Rasch model.     

Consideration of radial dependences of axial stresses in the shear-lag model for fibre pull-out

The shear-lag model has been used extensively to analyse stress transfer during single-fibre pull-out. To achieve analytical solutions, the radial dependences of the axial stresses in the fibre and the matrix are generally ignored in the shear-lag model. The present study considered these radial dependence in the shear-lag model. The differences between the predictions obtained by ignoring these radial dependences, considering the radial dependence of the axial stress in the fibre only, considering the radial dependence of the axial stress in the matrix only, and considering both radial dependences, have been addressed.     

施工导流工程风险的保险费用厘定方法研究

在分析导流工程风险因素、综合风险率和工程保险期限的基础上,研究导流工程失效后淹没基坑造成损失的次数及其分布规律,提出导流系统失效后的总损失服从非齐次复合Poisson过程,建立基于导流工程保险损失的聚合风险模型,给出施工导流工程保险费用的厘定方法及其数学表达,为水利水电工程保险费的厘定提供理论方法。     

Applicability of steady state model to carrier thermodynamics in InAs quantum dot

The carrier thermodynamics of InAs self assembled quantum dot (QD) are investigated. The investigated parameters include the dependence of quantum dot photoluminescence on temperature and the photoluminescence (PL) dependence on the excitation power density. Results are discussed on the basis of steady state model. The model predicts that the photoluminescence integrated intensity has linear dependence on the excitation power density in low temperature range, and super linear in the high temperature range. Our data matches the prediction of the steady state model. In our sample the super linearity starts to take place at T = 150 K and the super linear behavior of the photoluminescence on excitation power density proves that the carrier dynamics in our quantum dot sample are dominated by uncorrelated electron hole pair in the high temperature region.     

Pricing strategies for information products with network effects and complementary services in a duopolistic market

In this paper, we model a fully covered duopoly market in which two firms offer a differentiated information product that exhibits positive network effects and a complementary premium service to consumers. For each firm, there are two marketing strategies: the freemium strategy and the bundling strategy. We find that, under the market equilibrium, a firms’ decision whether to employ the freemium strategy or not depends largely on the quality of the information product compared to its rival. When the information product quality is similar and the products’ intrinsic values are sufficiently large, both firms will be better off by adopting the freemium strategy, while the bundling strategy will prevail if the products’ intrinsic values are sufficiently small. Additionally, when the magnitude of complementary effects or network effects exceeds a given threshold, both firms’ profit can be enhanced by an increase in the degree of product complementarity or in the intensity of network effects. We also demonstrate that a firm can benefit from an increasing market size only if the intrinsic value of its information product is sufficiently large. Finally, we extend our model to the uncovered market and derive the equilibrium prices and profits.     

Hot electrons and electron-phonon coupling in a cylindrical nanoshell

We use a standard model for the low-temperature electron-phonon interaction in metals to calculate the rate of thermal energy transfer between electrons and acoustic phonons in suspended metallic nanoshells. The electrons are treated as three-dimensional and noninteracting, whereas the vibrational modes are that of an thin cylindrical elastic shell of radius R with a free surface and thickness h. Disorder is neglected. The temperature dependence of the thermal power is obtained analytically for this model, and a crossover from the T3 dependence expected for one-dimensional phonons to a T3/(1 - v2) + 9gammaT4/[T*(1 - v2)(3/2)] dependence is obtained.     

The effect of the angular dependence of the particle nucleation field on the magnetic recording processes

The magnetic recording process is examined by using a model which easily clarifies the role of the particle nucleation field. An inverse cosine and constant angular dependence of the nucleation field are utilized to encompass measured single particle switching behavior. The model neglects demagnetization fields and is applied to contact recording on thick media. The primary conclusion is that the angular dependence affects the output of longitudinally well-oriented particles by raising the voltage maximum approximately 5 dB above that for a constant nucleation field. Vertically oriented particles exhibit large maximum voltages independent of the nucleation field angular dependence.