The surplus prior to ruin and the deficit at ruin for a correlated risk process

This paper presents an explicit characterization for the joint probability density function of the surplus immediately prior to ruin and the deficit at ruin for a general risk process, which includes the Sparre-Andersen risk model with phase-type inter-claim times and claim sizes. The model can also accommodate a Markovian arrival process which enables claim sizes to be correlated with the inter-claim times. The marginal density function of the surplus immediately prior to ruin is specifically considered. Several numerical examples are presented to illustrate the application of this result.     

通信网络备件管理模式分析

备件管理通过系统软件数据库实行日常管理，备件的详细信息、出入库管理、数据统计、盘点等工作。并在备件管理中引入数学建模分析，使成本收入和备件管理达到最佳平衡。     

On a study of the exponential and Poisson characteristics of the Poisson process

Based on the exponential and Poisson characteristics of the Poisson process, in this work we present some characterizations of the Poisson process as a renewal process. More precisely, let γ_t be the residual life at time t of the renewal process A={A(t),t≥0 }, under suitable condition, we prove that if Var(γ_t)=E ² (γ_t),∀t≥0, then A is a Poisson process. Secondly, we show that if Var (A(t)) is proportional to E (A(t)), then A is a Poisson process also, and Var (A(t))=E (A(t)). Received: August 1999     

一种简单快捷的完全可扩展线阵设计

本文设计了一种具有准均匀线阵形式的完全可扩展线阵,在实现了可简单快捷设计的同时又获得了较大的阵列孔径,其孔径接近完全可扩展线阵中具有最大孔径的约束最小冗余线阵,但却无需设计约束最小冗余线阵中的繁冗搜索,在阵元数很大时本文的设计显得尤为实用。     

Is bootstrap really helpful in point process statistics?

There are some papers which describe the use of bootstrap techniques in point process statistics. The aim of the present paper is to show that the form in which bootstrap is used there is dubious. In case of variance estimation of pair correlation function estimators the used bootstrap techniques lead to results which can be obtained simpler without simulation; furthermore, they differ from the desired results. The problem to obtain confidence regions for the intensity function of inhomogeneous Poisson processes can be easily solved without bootstrap techniques. Received: June 1999     

Optimal Dividend Payment Strategy under Stochastic Interest Force

This paper attempts to study the optimal dividend barrier strategy in risk analysis of an insurance company under stochastic discount interest. Based on stochastic perturbation methodology, we first describe the random of interest by Wiener Process and Poisson process and yield some theoretical results satisfied by optimal dividend barrier. In the case of an exponential individual claim distribution, a group of barrier values are obtained. Meanwhile we also discuss the effect of stochastic interest on the barrier by data analysis and direct interpretations about interest models. It is found that the barrier is more sensitive to constant interest force than other parameters in interest model and the effect of diffusion coefficient on barrier is less sensitive than that of Poisson coefficient. These all provide insights into the effect of stochastic interest on the optimal barrier, and show the importance of introducing stochastic interest. Finally, we propose several meaningful and follow-up problems, for example, changing the criterion of finding the optimal barrier and discussing under more extended risk models.     

Catastrophe equity put options with floating strike prices

In this study, we extend the results in Cox et al. (2004) by considering floating strike prices, which are affected by accumulated losses. We employ a compound Poisson process to describe catastrophe losses and adopt a mean-reverting square root process to capture the volatility of the underlying stock. In the numerical section, we first compare the differences in the prices of the options with fixed and floating strike prices. In addition, we illustrate the variance of the portfolios consisting of the stock and options with alternative kinds of strike prices by holding the total cost of the options constant. Variance-optimal portfolios are also investigated. Interestingly, numerical results show that the portfolios consisting of the stock and options with floating strike prices have lower variances in all cases, even when we hold the total option costs constant.     

Role of source-destination proximity in international inbound tourist arrival: empirical evidences from India

This paper analyses the influence of source-destination proximity on the relationship between three key determinants of foreign tourist arrival and inbound international tourist volume in India. The data have been collected for top 11 source countries for a period of 1992–2013. By classifying source countries based on the air travel duration to the destination, three different clusters emerge. To analyze the data, panel modeling is used with a dependent variable having negative binomial distribution. The results of the overall panel modeling reveal that while Gross National Income (GNI) and Previous Year Arrival (PYA) are significant influence on inbound tourism demand but Relative Destination Price (RDP) is not. Further, the results show that for cluster 1 (nearby countries), only PYA is a significant influence; for cluster 2, PYA and GNI are significant; and for cluster 3, all three factors are significant. The findings have important implications for International Tourism Policy and Destination Marketing Programs.     

泊松积分在概率论中的应用

文章介绍了泊松积分在正态分布、二维正态分布、对数正态分布等问题中常见的应用,并给出了具体的例子。     

Development of zone system for macro-level traffic safety analysis

Various geographic units have been used in macro-level modeling. Amongst these units, traffic analysis zones (TAZs) have been broadly employed in many macroscopic safety studies. Nevertheless, no studies questioned the validity of TAZs for crash analysis at the macro-level crash modeling. In this study, we point out several possible problems of TAZs as spatial units for macroscopic safety studies. Current TAZs with homogenous crash rates were combined into new single zones. Then we created ten new zonal systems by different zone aggregation levels. The optimal zonal scale for traffic safety analysis zones (TSAZ) was determined using the Brown-Forsythe test. It was found that the zone system with about 1:2 aggregation was the optimal zone system for macroscopic safety modeling. Thus we develop what we call traffic safety analysis zones (TSAZs) that has the potential of reducing several possible problems of TAZs. Also it was shown that TSAZ based models had better fit compared to TAZ based models.