均值-方差标准下带跳的保险公司投资与再保险策略

研究了均值-方差标准下保险公司面临的投资与再保险最优策略问题,其盈余过程受控于一个跳-扩散模型,目的是寻找相应的时间相容性策略。假定金融市场由一个无风险资产和多个服从几何Levy过程的风险资产组成,通过求解广义HJB方程,得到了最优时间相容性投资和再保险策略的解析表达式以及最优值函数。     

带通货膨胀风险的最优再保险和投资策略

用带漂移的布朗运动去逼近保险公司的盈余过程,假设有两家再保险公司承担保险公司的风险,采用混合比例再保险策略.另一方面,将保险公司把资产盈余全部投资到风险资产和无风险资产,同时考虑通货膨胀风险,将风险资产在通货膨胀风险下进行折算.运用动态规划原理,研究了保险公司的终端财富期望效用最大化,得出最优混合比例再保险和投资策略显示解,并分析了最优再保险和最优投资策略的灵敏度.     

竞争框架下n家保险公司的最优再保险策略

提出了n家保险公司的一种竞争框架,进而研究了最优再保险问题.每家保险公司的盈余满足扩散逼近过程,它可以通过在无风险资产上投资来增加.每家保险公司的目标是,选择最优再保险策略最大化终端财富的均值同时最小化终端财富的方差.应用随时控制理论,我们得到了最优再保险策略和值函数的解.最后,通过数值实验分析了模型参数对最优再保险策略的影响.     

跳跃盈余下的保险最优投资

假设保险公司的盈余过程为纯跳跃的Cramer—Lundberg模型,投资市场是由一个无风险资产和佗个风险资产构成的资本市场．考虑一个有限时间区间的最优投资策略选择问题——最小化保险公司的实际财富的终期值与公司预期值的偏差,利用LQ随机控制方法得到了保险公司的最优组合投资策略的解析表达式以及保险公司投资的有效投资边界的显式表达式,分析了保费率与索赔过程对最优投资策略的影响．     

保险公司最优比例再保险和配对交易策略

考虑保险公司通过比例再保险转移索赔风险和配对交易策略管理财富的优化问题.利用经典的复合泊松索赔过程描述保险公司的盈余,同时保险公司投资包含一份股票多头和若干份股票空头的配对资产组合,该资产价差服从均值-回复过程.在终端财富期望指数效用最大化的准则下,利用随机控制理论获得最优的比例再保险和投资策略及值函数的解析式.     

随机市场下保险公司最优投资策略:期望效用最大化

文章研究了保险公司在随机市场下风险过程为Lévy过程且资本可以投资到风险资产和无风险资产,应用鞅方法对二次效用函数得到均值—方差有效投资问题的显示解.     

基于风险收益的带负债的再保险-投资策略

研究连续时间过程下带有负债的再保险-投资策略。在一定水平的风险收益下,以保险公司的最大终端期望财富为目标,建立了均值-风险收益模型。假设保险公司的盈余过程服从扩散模型,在任意时刻可购买再保险并且投资无风险资产与多种风险资产,负债服从几何布朗运动。利用变分原理,得到最优策略以及有效边界。利用数值算例对保险公司的最优策略进行了模拟。结果表明:若要保证较高的期望财富,保险公司需要尽可能少的购买比例再保险,同时需要尽可能多的投资风险资产。     

Heston模型下最优投资-消费策略选择

在随机金融市场模型中,研究了最优投资-消费策略选择问题.随机金融市场由无风险资产和风险资产构成,在风险资产的方差满足Heston模型下,求得最优投资-消费策略最大化终端财富和累积消费的期望折现效用.在幂效用函数情形下,通过求解值函数满足的Hamilton-Jacobi-Bellman(HJB)方程,得到了最优投资-消费策略以及值函数的显式解.     

保险公司VaR约束下的最优投资问题

研究VaR约束下的具有随机现金流的保险公司投资问题.假设一个连续时间的金融市场存在一种无风险资产和一种风险资产.分别研究在仅有一种风险资产下的投资和在一种风险资产和无风险资产之间投资的问题.针对指数效用函数,在终端财富最大化的目标下,结合相应的VaR约束,通过建立和求解相应的HJB方程,得到相应问题的最优投资策略.     

带外生负债的保险公司最优再保险-投资策略

研究了外生负债影响下保险公司的最优再保险-投资策略,其中假设保险公司的目标是最大化终端财富的期望指数效用;盈余过程服从扩散模型;风险资产和负债均由几何布朗运动刻画。运用随机动态规划方法,得到了保险公司在(i)进行投资且允许购买比例再保险或获取新业务,(ii)进行投资但只允许购买比例再保险,不能获取新业务,两种情形下的最优再保险-投资策略以及最优值函数的解析式。最后,采用数值算例阐述了外生负债与市场参数对最优策略的影响。     

Characterization of Ordovician carbonate reservoirs, southeastern Saskatchewan, Canada

The discovery of the prolific Ordovician Red River reservoirs in 1995 in southeastern Saskatchewan was the catalyst for extensive exploration activity which resulted in the discovery of more than 15 new Red River pools. The best yields of Red River production to date have been from dolomite reservoirs. Understanding the processes of dolomitization is, therefore, crucial for the prediction of the connectivity, spatial distribution and heterogeneity of dolomite reservoirs.The Red River reservoirs in the Midale area consist of 3～4 thin dolomitized zones, with a total thickness of about 20 m, which occur at the top of the Yeoman Formation. Two types of replacement dolomite were recognized in the Red River reservoir: dolomitized burrow infills and dolomitized host matrix. The spatial distribution of dolomite suggests that burrowing organisms played an important role in facilitating the fluid flow in the backfilled sediments. This resulted in penecontemporaneous dolomitization of burrow infills by normal seawater. The dolomite in the host matrix is interpreted as having occurred at shallow burial by evaporitic seawater during precipitation of Lake Almar anhydrite that immediately overlies the Yeoman Formation. However, the low δ18O values of dolomited burrow infills (-5.9‰～ -7.8‰, PDB) and matrix dolomites (-6.6‰～ -8.1‰, avg. -7.4‰ PDB) compared to the estimated values for the late Ordovician marine dolomite could be attributed to modification and alteration of dolomite at higher temperatures during deeper burial, which could also be responsible for its 87Sr/86Sr ratios (0.7084～0.7088) that are higher than suggested for the late Ordovician seawaters (0.7078～0.7080). The trace amounts of saddle dolomite cement in the Red River carbonates are probably related to "cannibalization" of earlier replacement dolomite during the chemical compaction.     

A computer generator for randomly layered structures

AcomputergeneratorforrandomlylayeredstructuresYUJia shun1,2,HEZhen hua2(1.TheInstituteofGeologicalandNuclearSciences,NewZealand;2.StateKeyLaboratoryofOilandGasReservoirGeologyandExploitation,ChengduUniversityofTechnology,China)Abstract:Analgorithmisintrod…     

海南岛地体及其毗邻陆缘晚中生代—新生代古地磁研究和构造演化

本文叙述了对海南岛及其毗邻大陆边缘白垩纪到第四纪地层岩石进行古地磁研究的全部工作过程。通过分析岩石中剩余磁矢量的磁偏角及磁倾角的变化,提出海南岛白垩纪以来经历的构造演化模式如下:早期伴随顺时针旋转而向南迁移,后期伴随逆时针转动并向北运移。联系该地区及邻区的地质、地球物理资料,对海南岛上述的构造地体运动提出以下认识:北部湾内早期有一拉张作用,主要是该作用使湾内地壳显著伸长减薄,形成北部湾盆地。从而导致了海南岛的早期构造运动,而海南岛后期的构造运动则主要是受南海海底扩张的影响。海南地体运动规律的阐明对于了解北部湾油气盆地的形成演化有重要的理论和实际意义。     

Exciton Seebeck in Molecular Systems

Various applications relevant to the exciton dynamics,such as the organic solar cell,the large-area organic light-emitting diodes and the thermoelectricity,are operating under temperature gradient.The potential abnormal behavior of the exicton dynamics driven by the temperature difference may affect the efficiency and performance of the corresponding devices.In the above situations,the exciton dynamics under temperature difference is mixed with     

Achieving Unusual States of Matter Under High Pressure

The elongation method,originally proposed by Imamura was further developed for many years in our group.As a method towards O(N)with high efficiency and high accuracy for any dimensional systems.This treatment designed for one-dimensional(ID)polymers is now available for three-dimensional(3D)systems,but geometry optimization is now possible only for 1D-systems.As an approach toward post-Hartree-Fock,it was also extended to     

《Chinese Science Bulletin》SUBJECT INDEX TO VOLUME 59(2014)

正~~     

An on-line scaling method for improving scalability of a database cluster

The explosive growth of the Internet and database applications has driven database to be more scalable and available, and able to support on-line scaling without interrupting service. To support more client's queries without downtime and degrading the response time, more nodes have to be scaled up while the database is running. This paper presents the overview of scalable and available database that satisfies the above characteristics. And we propose a novel on-line scaling method. Our method improves the existing on-line scaling method for fast response time and higher throughputs. Our proposed method reduces unnecessary network use, i.e. , we decrease the number of data copy by reusing the backup data. Also, our on-line scaling operation can be processed parallel by selecting adequate nodes as new node. Our performance study shows that our method results in significant reduction in data copy time.     

An improved R-tree based on childnode''s probability

R-Tree is a good structure for spatial searching. But in this indexing structure,either the sequence of nodes in the same level or sequence of traveling these nodes when queries are made is random. Since the possibility that the object appears in different MBR which have the same parents node is different, if we make the subnode who has the most possibility be traveled first, the time cost will be decreased in most of the cases. In some case, the possibility of a point belong to a rectangle will shows direct proportion with the size of the rectangle. But this conclusion is based on an assumption that the objects are symmetrically distributing in the area and this assumption is not always coming into existence. Now we found a more direct parameter to scale the possibility and made a little change on the structure of R-tree, to increase the possibility of founding the satisfying answer in the front sub trees. We names this structure probability based arranged R-tree (PBAR-tree).     

Integrating GIS Web services based on mediating architecture

The geographic information service is enabled by the advancements in general Web service technology and the focused efforts of the OGC in defining XML-based Web GIS service. Based on these models, this paper addresses the issue of services chaining,the process of combining or pipelining results from several interoperable GIS Web Services to create a customized solution. This paper presents a mediated chaining architecture in which a specific service takes responsibility for performing the process that describes a service chain. We designed the Spatial Information Process Language (SIPL) for dynamic modeling and describing the service chain, also a prototype of the Spatial Information Process Execution Engine (SIPEE) is implemented for executing processes written in SIPL. Discussion of measures to improve the functionality and performance of such system will be included.     

Tracking data management using topology of moving object database system for moving object constrained trajectory in LBS application

Advances in wireless technologies and positioning technologies and spread of wireless devices, an interest in LBS (Location Based Service) is arising. To provide location based service, tracking data should have been stored in moving object database management system (called MODBMS) with proper policies and managed efficiently. So the methods which acquire the location information at regular time intervals then, store and manage have been studied. In this paper, we suggest tracking data management techniques using topology that is corresponding to the moving path of moving object. In our techniques, we update the MODBMS when moving object arrived at a street intersection or a curved road which is represented as the node in topology and predict the location at past and future with attribute of topology and linear function. In this technique, location data that are corresponding to the node in topology are stored, thus reduce the number of update and amount of data. Also in case predicting the location,because topology are used as well as existing location information, accuracy for prediction is increased than applying linear function or spline function.