Non-exponential Bounds for Ruin Probability with Interest Effect Included

In this paper, we consider a discrete time risk model. First we discuss the classical model, both exponential and non-exponential upper bounds for ruin probabilities are obtained by using martingale inequalities. Then similar results are obtained for the model with investment income.     

A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications

In this paper, the folding methodology developed in the context of univariate Extreme Value Theory (EVT) by You et al. is extended to a multivariate framework. Under the usual EVT assumption of regularly varying tails, our multivariate folding allows for the estimation of the spectral probability measure. A new weakly consistent estimator based on the classical empirical estimator is proposed. Its behaviour is illustrated through simulations and an actuarial application relative to reinsurance pricing in the case of an insurance data-set.     

组合战略的研究综述与展望

组合战略建立在通用的基本战略分类基础上,通常指低成本战略与差异化战略的组合。论文阐述了一般战略的分类和组合战略的概念,对稳定环境和多变环境下组合战略的研究进行了回顾和梳理,最后评价了组合战略的发展状况,并提出了可能的研究议题。     

PERIODICITIES OF FOREIGN EXCHANGE MARKETS AND THE DIRECTIONAL CHANGE POWER LAW

This paper utilizes advanced methods from Fourier analysis in order to describe periodicities in financial ultrahigh frequency foreign exchange data. The Lomb–Scargle Fourier transform is used to take into account the irregularity in spacing in the time domain. It provides a natural framework for the power spectra of different inhomogeneous time‐series processes to be easily and quickly estimated. Furthermore, an event‐based approach in intrinsic time based on a power‐law relationship is employed using different event thresholds to filter the foreign exchange tick‐data. The calculated spectral density demonstrates that the price process in intrinsic time contains different periodic components for directional changes, especially in the medium–long term, implying the existence of stylized facts of ultrahigh frequency data in the frequency domain. Copyright © 2013 John Wiley & Sons, Ltd.     

一种提高频谱效率的新型无线推送机制

针对下一代无线通信网络存在千倍的流量增长需求以及大部分流量为公共内容的特点,提出一种频谱效率优化的新型无线推送机制,即在网络闲时,占用部分带宽资源将用户所共同关注的公共内容以“点对多点”的方式无线推送给用户终端。通过对该机制进行建模和仿真,结果表明,当推送的公共内容重叠率达到一定值时,该无线推送机制能使系统频谱效率显著增长;另外,该机制能在保证网络闲时用户体验（QoE）性能不明显降低的前提下,大幅提高网络忙时的用户体验,用户体验速率提高2~4倍,且用户接收完该时段数据所需时延下降75%~84%。研究结果为下一代无线通信的发展提供了解决思路之一,且具有较好的实现和应用价值。     

台风浪对浙江舟山的影响

利用MIKE21 SW谱波浪模型建立浙江省台风浪模型,对0515和0509号强台风"卡努"和"麦莎"引起的台风浪过程进行数值模拟。分析得到舟山本岛E向波浪最大,N向波浪最小。舟山本岛的阻隔使得台风浪削弱了35%左右。     

基于零值补偿和EMD的加速度积分误差消除方法

为探求加速度积分误差的消除方法,利用频谱对实测加速度数据进行分析,以误差频率和理想的加速度变化曲线来评价误差。采用基于零值补偿和经验模态分解(Empirical Mode Decomposition,EMD)的方法,对实测数据进行了误差校正与评价,实践证明该方法能有效消除积分算法中的误差。     

一种高频谱纯度的C频段宽带频率合成器设计

为了提高频综的频谱纯度，提出了一种新型多级子谐波混频锁相环的设计方法,研制了一款超低相噪频综。介绍了该频综的设计方案，分析了关键技术，仿真和论证了相位噪声和杂散抑制等主要指标，最后对该频综进行了研制和实际测试。测试结果如下：工作频率为4 500~7 600 MHz，频率步进小于1 kHz，相位噪声优于-123 dBc/Hz@25 kHz，频率切换速度小于75 μs，杂散抑制大于70 dB，均满足设计要求，设计方案比较合理可行。采用该方法设计的频综具有小步进、低相噪、换频速度快、低杂散等特点，可用于高性能电子战接收机中，具有广阔的应用前景。     

Systemic risk contagion in FX market: A frequency connectedness and network analysis

In this study, we analyse systemic risk contagion between a set of most actively traded currencies (EURO, JPY, GBP, AUD, CAD and CHF) by application of VAR based frequency connectedness proposed by Baruník and K?ehlík. By using this novel approach, we gauge foreign exchange (FX) market connectedness in 200‐day frequency band using spectral representation of variance decompositions of VAR and identify directional spillovers between the most actively traded foreign exchange rates. Dynamics of the overall spillover index reveals that the index capture well‐known financial stress incidents properly. Finally, network topology of directional spillovers between currency pairs is provided for visulalization interconnectedness between them.     

Measuring the Financial Cycle in South Africa

We measure the financial cycle of South Africa using three different methodologies. The financial cycle is identified using credit, house prices and equity prices as indicators, and estimated using traditional turning-point analysis, frequency-based filters and an unobserved components model-based approach. We then consider the financial cycle’s main characteristics and examine its relationships with the business cycle. We confirm the presence of a financial cycle in South Africa that has a longer duration and a larger amplitude than the traditional business cycle. Developments in measures of credit and house prices are important indicators of the financial cycle, although the case for including equity prices in the measures is less certain. Periods where financial conditions are stressed are associated with peaks in the financial cycle, suggesting that the estimated financial cycle may have similar leading indicator properties to financial conditions or stress indices.