In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space...In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.展开更多
A set of model is established to optimize BSW Company’s component stock. By analyzing the company’s current part stock condition in terms of the occupation of capitals in the precondition of continuous production, i...A set of model is established to optimize BSW Company’s component stock. By analyzing the company’s current part stock condition in terms of the occupation of capitals in the precondition of continuous production, it describes how to control the purchase parameters of import parts. The model describes how to adjust slightly product output sequence and how to control the components’ purchase parameters: purchasing risk time and purchase order quantity. Then simulation is developed to illustrate the model.展开更多
The risk assessment right from the source of emissions can effectively guide the pollution control. A model was established, consisting of four part： source estimation, environmental fate analysis, exposure analysis ...The risk assessment right from the source of emissions can effectively guide the pollution control. A model was established, consisting of four part： source estimation, environmental fate analysis, exposure analysis and risk assessment. The human health risk, ecological risk and total risk of lead emissions were assessed. The factors were estimated to indicate the environmental decrease and exposure probability. Of all the 1887 t emissions in China in 2010（quantified in the previous work）, it is turned out 1.3 t reached human bodies（0.9 mg/ca）, and 2.7 t reached the ecosystem. Lead mainly came from the Use stage for the source while lead causing risk mainly came from the Waste Management Recycling and Production stages. As for chemical forms, PbO contributed most to the human health risk and PbSO_4 contributed most to the ecological risk. PbSO_4, PbO and Pb altogether contributed 71% to the total risk, indicating these three chemicals should be taken priority for the risk management.展开更多
To understand the provenance and evolution of eolian input in the last 1.95 Ma in the Parece Vela Basin in the eastern Philippine Sea, the clay mineral assemblage of a gravity core PV090510 from the basin was investig...To understand the provenance and evolution of eolian input in the last 1.95 Ma in the Parece Vela Basin in the eastern Philippine Sea, the clay mineral assemblage of a gravity core PV090510 from the basin was investigated using paleogeomagnetic dating and X-ray diffraction. The assemblage of the core mainly consisted of smectite （-46%） and illite （-40%）, with some chlorite （-10%） and kaolinite （-4%）. Analysis of the provenance of these minerals suggested that smectite was mainly derived from volcanic rocks of the Mariana Arc, while illite, chlorite, and kaolinite were mainly transported as eolian dust by the East Asian monsoon from central Asia. We used the ratio of （illite＋chlorite＋kaolinite）/smectite as a proxy for Asian eolian input to the Parece Vela Basin since 1.95 Ma. This ratio followed glacial and interglacial cycles and was consistent with the intensity of the East Asian monsoon and aridity of central Asia since 1.95 Ma. The changes of the ratio reflected three different stages of the East Asian monsoon and provenance climate.展开更多
Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR p...Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.展开更多
As the critical equipment,large axial-flow fan(LAF)is used widely in highway tunnels for ventilating.Note that any malfunction of LAF can cause severe consequences for traffic.Specifically,fault deterioration is suppr...As the critical equipment,large axial-flow fan(LAF)is used widely in highway tunnels for ventilating.Note that any malfunction of LAF can cause severe consequences for traffic.Specifically,fault deterioration is suppressed tremendously when an abnormal state is detected in the stage of early fault.Thus,the monitoring of the early fault characteristics is very difficult because of the low signal amplitude and system disturbance(or noise).In order to overcome this problem,a novel early fault judgment method to predict the operation trend is proposed in this paper.The vibration-electric information fusion,the support vector machine(SVM)with particle swarm optimization(PSO),and the cross-validation(CV)for predicting LAF operation states are proposed and discussed.Finally,the results of the experimental study verify that the performance of the proposed method is superior to that of the contrast models.展开更多
AIM: To analyze the clinical risk factors for early variceal rebleeding after endoscopic variceal ligation (EVL).METHODS: 342 cirrhotic patients with esophageal varices who received elective EVL to prevent bleeding or...AIM: To analyze the clinical risk factors for early variceal rebleeding after endoscopic variceal ligation (EVL).METHODS: 342 cirrhotic patients with esophageal varices who received elective EVL to prevent bleeding or rebleeding at our endoscopy center between January 2005 and July 2010.were included in this study.The early rebleeding cases after EVL were confirmed by clinical signs or endoscopy.A case-control study was performed comparing the patients presenting with early rebleeding with those without this complication.RESULTS: The incidence of early rebleeding after EVL was 7.60%,and the morbidity of rebleeding was 26.9%.Stepwise multivariate logistic regression analysis showed that four variables were independent risk factors for early rebleeding: moderate to excessive ascites [odds ratio (OR) 62.83,95% CI: 9.39-420.56,P < 0.001],the number of bands placed (OR 17.36,95% CI: 4.00-75.34,P < 0.001),the extent of varices (OR 15.41,95% CI: 2.84-83.52,P = 0.002) and prothrombin time (PT) > 18 s (OR 11.35,95% CI: 1.93-66.70,P = 0.007).CONCLUSION: The early rebleeding rate after EVL is mainly affected by the volume of ascites,number of rubber bands used to ligate,severity of varices and prolonged PT.Effective measures for prevention and treatment should be adopted before and after EVL.展开更多
In this paper we generalize the aggregated premium income process from a constant rate process to a poisson process for the classical compound Poinsson risk model,then for the generalized model and the classical compo...In this paper we generalize the aggregated premium income process from a constant rate process to a poisson process for the classical compound Poinsson risk model,then for the generalized model and the classical compound poisson risk model ,we respectively get its survival probability in finite time period in case of exponential claim amounts.展开更多
基金supported by the Jiangsu University Philosophy and Social Science Research Project(Grant No.2019SJA1326).
文摘In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.
文摘A set of model is established to optimize BSW Company’s component stock. By analyzing the company’s current part stock condition in terms of the occupation of capitals in the precondition of continuous production, it describes how to control the purchase parameters of import parts. The model describes how to adjust slightly product output sequence and how to control the components’ purchase parameters: purchasing risk time and purchase order quantity. Then simulation is developed to illustrate the model.
基金Project(41171361) supported by the National Natural Science Foundation of China
文摘The risk assessment right from the source of emissions can effectively guide the pollution control. A model was established, consisting of four part： source estimation, environmental fate analysis, exposure analysis and risk assessment. The human health risk, ecological risk and total risk of lead emissions were assessed. The factors were estimated to indicate the environmental decrease and exposure probability. Of all the 1887 t emissions in China in 2010（quantified in the previous work）, it is turned out 1.3 t reached human bodies（0.9 mg/ca）, and 2.7 t reached the ecosystem. Lead mainly came from the Use stage for the source while lead causing risk mainly came from the Waste Management Recycling and Production stages. As for chemical forms, PbO contributed most to the human health risk and PbSO_4 contributed most to the ecological risk. PbSO_4, PbO and Pb altogether contributed 71% to the total risk, indicating these three chemicals should be taken priority for the risk management.
基金Supported by the National Basic Research Program of China(973 Program)(No.2007CB411703)the National Natural Science Foundation of China(No.40976026)
文摘To understand the provenance and evolution of eolian input in the last 1.95 Ma in the Parece Vela Basin in the eastern Philippine Sea, the clay mineral assemblage of a gravity core PV090510 from the basin was investigated using paleogeomagnetic dating and X-ray diffraction. The assemblage of the core mainly consisted of smectite （-46%） and illite （-40%）, with some chlorite （-10%） and kaolinite （-4%）. Analysis of the provenance of these minerals suggested that smectite was mainly derived from volcanic rocks of the Mariana Arc, while illite, chlorite, and kaolinite were mainly transported as eolian dust by the East Asian monsoon from central Asia. We used the ratio of （illite＋chlorite＋kaolinite）/smectite as a proxy for Asian eolian input to the Parece Vela Basin since 1.95 Ma. This ratio followed glacial and interglacial cycles and was consistent with the intensity of the East Asian monsoon and aridity of central Asia since 1.95 Ma. The changes of the ratio reflected three different stages of the East Asian monsoon and provenance climate.
基金The National Natural Science Foundation of China (No.70671025)
文摘Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.
基金Project(2018YFB2002100)supported by the National Key R&D Program of China。
文摘As the critical equipment,large axial-flow fan(LAF)is used widely in highway tunnels for ventilating.Note that any malfunction of LAF can cause severe consequences for traffic.Specifically,fault deterioration is suppressed tremendously when an abnormal state is detected in the stage of early fault.Thus,the monitoring of the early fault characteristics is very difficult because of the low signal amplitude and system disturbance(or noise).In order to overcome this problem,a novel early fault judgment method to predict the operation trend is proposed in this paper.The vibration-electric information fusion,the support vector machine(SVM)with particle swarm optimization(PSO),and the cross-validation(CV)for predicting LAF operation states are proposed and discussed.Finally,the results of the experimental study verify that the performance of the proposed method is superior to that of the contrast models.
文摘AIM: To analyze the clinical risk factors for early variceal rebleeding after endoscopic variceal ligation (EVL).METHODS: 342 cirrhotic patients with esophageal varices who received elective EVL to prevent bleeding or rebleeding at our endoscopy center between January 2005 and July 2010.were included in this study.The early rebleeding cases after EVL were confirmed by clinical signs or endoscopy.A case-control study was performed comparing the patients presenting with early rebleeding with those without this complication.RESULTS: The incidence of early rebleeding after EVL was 7.60%,and the morbidity of rebleeding was 26.9%.Stepwise multivariate logistic regression analysis showed that four variables were independent risk factors for early rebleeding: moderate to excessive ascites [odds ratio (OR) 62.83,95% CI: 9.39-420.56,P < 0.001],the number of bands placed (OR 17.36,95% CI: 4.00-75.34,P < 0.001),the extent of varices (OR 15.41,95% CI: 2.84-83.52,P = 0.002) and prothrombin time (PT) > 18 s (OR 11.35,95% CI: 1.93-66.70,P = 0.007).CONCLUSION: The early rebleeding rate after EVL is mainly affected by the volume of ascites,number of rubber bands used to ligate,severity of varices and prolonged PT.Effective measures for prevention and treatment should be adopted before and after EVL.
基金Supported by the Natural Science Foundation of China(10071019)
文摘In this paper we generalize the aggregated premium income process from a constant rate process to a poisson process for the classical compound Poinsson risk model,then for the generalized model and the classical compound poisson risk model ,we respectively get its survival probability in finite time period in case of exponential claim amounts.
