Non-exponential bounds for stop-loss premiums and ruin probabilities

We present an inventory of non-exponential bounds for ruin probabilities and stop-loss premiums in the general Sparre-Andersen model (renewal model) of risk theory. Various additional bounds are given if one assumes that the ladder height distribution F associated with the risk process belongs to a certain class of distributions, in particular if it is concave or it exhibits a (positive or negative) aging property. In most cases, these bounds are shown to improve existing ones in the literature and/or possess the correct asymptotic behaviour when the distribution F is subexponential. Since in the classical (compound Poisson) risk model the ladder height distribution is always concave, all the bounds given in the paper are also valid for this model. Finally, in many cases the results of the paper are also valid for any compound geometric distribution.     

BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES

Based on a certain notion of "prolific process," we find an explicit expression for the bivariate (topological) support of the solution to a particular class of 2 × 2 stochastic differential equations that includes those of the three-period "lognormal" Libor and swap market models. This yields that in the lognormal swap market model (SMM), the support of the 1 × 1 forward Libor   L * _t   equals  [ l * _t , ∞)  for some semi-explicit  −1 ≤ l * _t ≤ 0  , sharpening a result of Davis and Mataix-Pastor (2007) that forward Libor rates (eventually) become negative with positive probability in the lognormal SMM. We classify the instances   l * _t < 0  , and explicitly calculate the threshold time at or before which   L * _t   remains positive a.s.     

Towards a better understanding of correlation

Correlation is often used to assess both independence and linearity in two dimensions, but is not well understood in higher dimensions. Here we take a closer look at these uses of correlation in two dimensions and how these assessments might be extended to higher dimensions. Our discussion will focus on the simple case of understanding the nature of correlation for association models for two- and three-way contingency tables, but can also be considered in a more general setting.     

单层网壳极限承载力分析

文章采用线性屈曲、几何非线性及材料非线性和几何非线性耦合的分析方法,对某大跨度单层球面网壳进行极限承载力分析。分析表明,材料非线性对网壳结构的承载力均有较大的影响,采用线性屈曲、几何非线性分析方法均高估网壳结构的极限承载力,因此,要准确评估出网壳结构的极限承载力,就必须全面考虑网壳结构的几何非线性及材料非线性的影响。     

From the Minimal Entropy Martingale Measures to the Optimal Strategies for the Exponential Utility Maximization: the Case of Geometric Lévy Processes

In this article, we will consider a multi-dimensional geometric L'evy process as a financial market model. We will first determine the minimal entropy martingale measure (MEMM); we will next derive the optimal strategy for the exponential utility maximization of terminal wealth concretely from the representation of the MEMM. JEL Classification: D46, D52, G12 AMS (2000) Subject Classification: 60G44, 60G51, 60G52,60H20, 60J75, 91B16, 91B28, 94A17     

矩形花键轴螺旋插齿刀设计制造的几何模型

本文给出了矩形花键轴螺旋插齿刀的一种精确设计方法,并推导了相     

The Emergence of Orientation and the Geometry of Logic

In this paper it is said that cultural evolution consists of four phases which are denoted by the words nature, mythology I, mythology II and history. Pictograms, ideograms and logograms signify two phases fundamental for the later emergence of the linear writing and time as history and thought. The nowaday operational structures of cognition appear as rooted in prehistoric thought meaning vision, ideas – images seen with the inner eye – and logos as orientation of logograms. Thus it is assumed that logic in the form of the elementary first order propositional calculus should be derived from the orientation symmetry of space. The author gives an exact proof in terms of the Clifford algebra that this is indeed the case. Four basic representations in Cl₂, Cl₃, Cl₃ and Cl_3,1 of the 16 expressions of second order logic relations are given. The proposition of transformational self-reference is defined. The most basic self-referent representation of Peirce's box-X icons (the 16 binary logic connectives) is derivated from the spin-representation D_2d of the spatial congruence group of the square or the mandala of the sunwheel. Finally it is shown that the representation in terms of the idempotents of the Clifford algebra Cl_3,1 is isomorphic with Zellweger's logic garnet.     

安徽省地方财政收入的组合预测模型研究

地方财政收入预测是加强宏观经济管理和提高决策水平的重要前提和基础。为了科学预测地方财政收入,创新预测的方法,文章结合地方财政收入的构成内容以及结构特点,分别采用指数预测方法、时间序列预测方法、回归预测方法建立三种单项预测模型,在此基础上构建地方财政收入的几何贴近度的最优组合预测模型,并对安徽省＂十二五＂期间的地方财政收入进行了预测。     

关于轧制钻头的扇形板的截形及其序列的研究

本文根据四辊轧机轧制钻头的需要,给出了盘状工具轧制钻关的几何模型,,研究了轧制钻头主沟的扇形板近似截形设计和计算机理,研究了扇形板截形序列。并进行了实例计算,给出了扇形板截形曲线数据和轧制多种钻头用同一规格的扇形板,且符合精度要求和误差表。     

Multi-server Batch-service Systems

In this paper we analyse a multi-server batch-service queueing model. Customers arrive one by one according to a Poisson process. They are served in batches under the following threshold policy: when a server becomes available a new batch of waiting customers is taken into service as soon as their number reaches a threshold a . The maximum allowable batch size is equal to b . Two classes of batch service time distributions are considered: Coxian-2 and Erlang- r distributions. In both cases the queueing model can be described by a Markov process. For this process it is shown that the equilibrium probabilities for states with all servers busy can be expressed as a finite sum of geometric terms. This form is used to derive a closed form expression for the waiting time distribution.