带红利的两类索赔风险模型的Gerber-Shiu函数

本文考虑了一类具有常数红利界限的包含两个独立险种风险模型的Gerber-Shiu罚金折现期望函数,我们假设两个索赔次数过程是独立的Poisson过程和广义Erlang(2)过程.得到了关于Gerber-Shiu罚金折现期望函数满足的积分-微分方程及其边界条件.特别,当这两类索赔额服从同一指数分布时,给出了Gerber-Shiu罚金折现期望函数的精确解.最后给出了一个例子.     

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。     

带有随机消费的保险基金投资问题

本文主要研究保险基金投资中带有随机消费的期望终端资产效用问题,在期望终端财富CARA指数效用最大化目标下,利用随机控制原理,通过求解HJB方程,获得了带有随机消费且随机消费过程分别与风险资产过程和盈余过程相关的最优投资的解析解,结论表明,消费与风险资产和盈余的相关性对保险公司最优决策具有影响.     

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。     

复合Poisson-Geometric风险下保险公司的最优投资–再保–混合分红策略

为了更好地反映保险实际并为保险公司寻求更稳健的策略,本文考虑索赔次数服从复合Poisson-Geometric过程时,保险公司的最优投资–再保–混合分红策略问题.假定保险公司的盈余服从扩散过程,在分红总量现值的期望最大化的准则下,我们使用动态规划原理建立了保险公司的最优投资–再保–混合分红模型,通过求解HJB方程得到了最优投资决策,最后在再保险的保费损失率等于红利的贴现率的条件下,得到了最优投资–再保–混合分红策略的显式解,数值算例及经济分析表明了文章结果的合理性.     

m依赖过程经验风险最小化算法的泛化性能

m依赖过程作为非独立序列的典型样本,其经验风险最小化的泛化性能不容忽视.为了研究基于m依赖过程经验风险最小化算法的推广能力,我们将基于独立同分布序列的相关结论推广到m依赖过程情形中,进一步利用m依赖过程的Bernstein不等式,建立该序列经验风险最小化原则一致收敛的指数界.     

常利率古典风险模型的按比例分红问题

分红问题是目前保险精算研究的一个重要课题,本文利用HJB方程的方法证明了常利率古典风险模型的最优分红策略为边界策略;推导出了最优分红策略下常利率古典风险模型的期望红利总量现值所满足的积分方程;通过拉Laplace变换技巧给出了当保险公司的初始资金u大于或等于红利界线b时的期望红利总量现值的精确结果。为保险公司更合理的分配红利和掌控资金运营提供了理论依据。     

CIR模型下保险公司最优投资再保险策略研究

本文主要研究Cox-Ingersoll-Ross（CIR）随机利率模型下保险公司的最优投资和再保险问题．假设保险公司投资于金融市场中的无风险资产、零息债券和多种股票．此外保险公司购买比例再保险合约以转移承保风险．模型中,我们用仿射过程刻画随机利率,通过扩散过程模拟保险公司盈余过程,即用连续过程近似跳过程．保险公司的目标是通过保险投资最大化终端财富的期望幂效用．由于保险公司的财富过程不是自融资过程,在求解过程中,我们先将原优化问题转化为自融资问题,通过随机最优控制方法导出相应的HJB方程,进而得到最优投资、再保险策略和幂效用函数下的最优值函数．我们发现随着风险厌恶系数的增大,公司投资于股票的比例会降低,初始利率越高,保险公司终端财富的值函数越大．最后,我们给出了保费率、利率参数和风险厌恶系数对投资策略、投资效用的敏感性分析．     

具有线性红利界限的破产理论

本文讨论了存存线性红利界限的带随机干扰的经典风险模型,给出了破产概率的一个上界,并证明了生存概率及红利付款的期望现值分别满足一个积分-微分方程。最后给出了索赔额服从指数分布时生存概率及红利付款的期望现值的确切表达式。     

基于红利的信息控制投资组合优化模型

考虑基于非系统风险的投资组合问题,本文首先构建信息风险控制函数,其次将信息风险控制函数引入投资组合模型中,提出了基于信息风险的投资组合模型,并将资产红利引入模型中,最后应用罚函数算法对模型进行求解,并给出模型和算法的实证分析,研究表明:随着投资者预期收益率的增大,基于红利的信息控制投资组合模型比不带信息风险控制函数的投资组合模型具有较低的风险,能更好地规避投资风险.     

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.     

Effect of nitridation on Fowler–Nordheim tunneling coefficients in SiO2 MOS capacitors with WSi2-polysilicon gate

In this work we have studied the influence of N₂O nitridation of thin EEPROM SiO₂ tunnel oxides on Fowler–Nordheim tunnel injection potential barrier heights in WSi₂-polysilicon gate MOS structures. In particular we have paid attention to the effect of the nitridation temperature by means of a comparison with standard (dry-wet-dry) oxides annealed in N₂ at the same temperature. The temperatures considered were 900 °C, 950 °C and 1000 °C. It has been shown that the Si/SiO₂ barrier is systematically smaller than the poly-Si/SiO₂ one (~0.05 eV) in the whole set of samples and that the nitridation in N₂O systematically decreases both the Si/SiO₂ and the poly-Si/SiO₂ barrier heights all the more as the nitridation temperature increases. The effects of neglecting the contribution of Si/SiO₂ interface states and of the gate depletion phenomenon in the evaluation of the oxide electric field and, as a consequence, in the evaluation of the tunnel injection potential barrier heights have also been considered. It has been shown that neglecting the polysilicon gate depletion phenomenon leads to a strongly over-evaluated value of the Si/SiO₂ barrier height while neglecting the interface states gives an error of approximately 1%. Moreover, we have shown that N₂O nitridation increases the oxide dielectric constant all the more as the nitridation temperature increases while fluorine incorporation into the oxide induced by the WSi₂ polycide deposition process decreases the same constant.     

Capital Budgeting and Mixed Zero-One Integer Programming

The capital budgeting problem for a firm deals with the allocation of limited amounts of capital among a specified set of investment opportunities. In this article, we assume the investment opportunities are indivisible in nature and that the firm desires to make this allocation in such a way as to maximize the discounted sum of dividends paid to its shareholders. From a mathematical programming standpoint, the problem may be classified as a mixed zero-one integer programming problem. Special solution techniques based on Benders's partitioning procedure and Balas's zero-one algorithm are developed for this problem. The solution algorithm may be extended to general mixed-integer programming problems.     

The development of a 3D risk analysis method

Much attention has been paid to the quantitative risk analysis (QRA) research in recent years due to more and more severe disasters that have happened in the process industries. Owing to its calculation complexity, very few software, such as SAFETI, can really make the risk presentation meet the practice requirements. However, the traditional risk presentation method, like the individual risk contour in SAFETI, is mainly based on the consequence analysis results of dispersion modeling, which usually assumes that the vapor cloud disperses over a constant ground roughness on a flat terrain with no obstructions and concentration fluctuations, which is quite different from the real situations of a chemical process plant. All these models usually over-predict the hazardous regions in order to maintain their conservativeness, which also increases the uncertainty of the simulation results. On the other hand, a more rigorous model such as the computational fluid dynamics (CFD) model can resolve the previous limitations; however, it cannot resolve the complexity of risk calculations. In this research, a conceptual three-dimensional (3D) risk calculation method was proposed via the combination of results of a series of CFD simulations with some post-processing procedures to obtain the 3D individual risk iso-surfaces. It is believed that such technique will not only be limited to risk analysis at ground level, but also be extended into aerial, submarine, or space risk analyses in the near future.     

The application of the pore-filling method to the study of the structure of porous anodic films on aluminium

The process in which aluminium covered with a porous layer is re-anodized to obtain a compact layer is known as the pore-filling method. The purpose of this work was to study the relationship between anodizing conditions and the structure of the porous anodic film on aluminium by application of the pore-filling method.In a first series of experiments the influence of the anodization voltage on the porosity was examined. It was found that the inverse of the porosity is a function of the square root of the anodization voltage. The second part of our investigations consisted in studying the dependence of the thickness of the barrier layer on the anodization voltage. At each stage of the anodization process this barrier layer thickness is a function of the anodization voltage. Moreover, there is some evidence of a variation in the thickness of the barrier layer during an anodization process performed at a constant voltage.     

Barriers in adoption of internet banking: A structural equation modeling - Neural network approach

Comparatively, less attention has been paid to the factors that obstruct consumers to use internet banking. Therefore, this study aims to analyze the barriers in the adoption of Internet banking in Karachi, Pakistan. A survey research questionnaire was adopted and, in total, 300 useable responses were used from the banks’ customers. First exploratory factor analysis (EFA) and confirmatory factor analysis (CFA) were applied for the establishment of measurement model and structural equation modeling (SEM) was used to find the significant influence barriers on Internet banking adoption. In the second phase, the neural network model was used to rank the relative influence of significant predictors obtained from SEM. The results indicate a significant positive relationship between value barrier, risk barrier, and image barrier with the usage of Internet banking. Only, the traditional barrier has a negative insignificant effect on the usage of Internet banking. The image barrier has a higher impact on usage of Internet banking followed by the value barrier and risk barrier. Results also indicate that males are facing high barriers in comparison with females. Findings provide guidelines to banks for developing facilities that enable the consumer to use Internet banking for their financial transactions. This study will be highly beneficial for the banking industry to improve their online services and revise their policies to facilitate consumers by meeting their needs.     

Material design of plasma-enhanced chemical vapour deposition SiCH films for low-k cap layers in the further scaling of ultra-large-scale integrated devices-Cu interconnects

Abstract

Cap layers for Cu interconnects in ultra-large-scale integrated devices (ULSIs), with a low dielectric constant (k-value) and strong barrier properties against Cu and moisture diffusion, are required for the future further scaling of ULSIs. There is a trade-off, however, between reducing the k-value and maintaining strong barrier properties. Using quantum mechanical simulations and other theoretical computations, we have designed ideal dielectrics: SiCH films with Si–C₂H₄–Si networks. Such films were estimated to have low porosity and low k; thus they are the key to realizing a cap layer with a low k and strong barrier properties against diffusion. For fabricating these ideal SiCH films, we designed four novel precursors: isobutyl trimethylsilane, diisobutyl dimethylsilane, 1, 1-divinylsilacyclopentane and 5-silaspiro [4,4] noname, based on quantum chemical calculations, because such fabrication is difficult by controlling only the process conditions in plasma-enhanced chemical vapor deposition (PECVD) using conventional precursors. We demonstrated that SiCH films prepared using these newly designed precursors had large amounts of Si–C₂H₄–Si networks and strong barrier properties. The pore structure of these films was then analyzed by positron annihilation spectroscopy, revealing that these SiCH films actually had low porosity, as we designed. These results validate our material and precursor design concepts for developing a PECVD process capable of fabricating a low-k cap layer.     

Exploring the performance of molecular rectifiers: limitations and factors affecting molecular rectification

There has been significant work investigating the use of molecules as nanoscale rectifiers in so-called "molecular electronics". However, less attention has been paid to optimizing the design parameters of molecular rectifiers or to their inherent limitations. Here we use a barrier tunneling model to examine the degree of rectification that can be achieved and to provide insight for the design and development of molecules with optimum rectification responses.