ANTICIPATED BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS WITH JUMPS AND APPLICATIONS TO DYNAMIC RISK MEASURES

In this paper, we focus on anticipated backward stochastic Volterra integral equations(ABSVIEs) with jumps. We solve the problem of the well-posedness of so-called M-solutions to this class of equation, and analytically derive a comparison theorem for them and for the continuous equilibrium consumption process. These continuous equilibrium consumption processes can be described by the solutions to this class of ABSVIE with jumps.Motivated by this, a class of dynamic risk measures induced by ABSVIEs with jumps are discussed.

Numerical modeling and dynamic analysis of the 2017 Xinmo landslide in Maoxian County, China

A catastrophic landslide occurred at Xinmo village in Maoxian County, Sichuan Province,China, on June 24, 2017. A 2.87×106 m3 rock mass collapsed and entrained the surface soil layer along the landslide path. Eighty-three people were killed or went missing and more than 103 houses were destroyed. In this paper, the geological conditions of the landslide are analyzed via field investigation and high-resolution imagery. The dynamic process and runout characteristics of the landslide are numerically analyzed using a depth-integrated continuum method and Mac Cormack-TVD finite difference algorithm.Computational results show that the evaluated area of the danger zone matchs well with the results of field investigation. It is worth noting that soil sprayed by the high-speed blast needs to be taken into account for such kind of large high-locality landslide. The maximum velocity is about 55 m/s, which is consistent with most cases. In addition, the potential danger zone of an unstable block is evaluated. The potential risk area evaluated by the efficient depthintegrated continuum method could play a significant role in disaster prevention and secondary hazard avoidance during rescue operations.

The Research Mode Concerning with Chinese Enterprises Dynamic Strategic Alliances and Risk Defenses

China enterprises should develop dynamic strategic alliances if they want to participate in global contests and share strategic targets of global resources. The effective risk defenses system must be set up to make dynamic strategic alliances run successfully. This paper puts forward a mode of risk defenses internal system through analyzing the facts of China enterprises dynamic strategic alliances＇ creative models.

Common Management Process Model of New TQM Based on the Situation Analysis

In the previous study, we suggested the concept of new TQM based on the consideration of basic concept of Quality Control. Also, in the previous study, we suggested the target domains and entities of product and process based on the TQM Matrix and view point of Three Dimensional Unification Value Models for managing quality of organization systems. Furthermore, in the previous study, we suggest the Common Management Process of organizations. Based on the above suggestion, in this paper, we would like to propose the Common Management Process Model of Total Quality Management based on the consideration of situation analysis and more precise definition of TQM Matrix and Three Dimensional Unification Value Model of “Product and Process”. Improvement of quality and efficiency of organization management can be expected by the integration of conventional different management such as quality assurance, quality improvement, risk management, investment individually from the view point of common management process.

Dynamic quantitative risk assessment of LNG bunkering SIMOPs based on Bayesian network

Liquified natural gas(LNG)bunkering simultaneous operations(SIMOPs)refers to the operations(such as cargo operations,port activities and ship maintenance)occurring around LNG bunkering.SIMOPs pose new risks to LNG bunkering,because the operations are dynamically interlocked in which the occurrence probabilities of potential consequences change at different times due to commencement or completion of specific SIMOP events.However,traditional static risk assessment approaches are not able to take the dynamic nature of these new risks into account.This article proposes a dynamic quantitative risk as-sessment(DQRA)methodology based on the Bayesian network(BN)to develop better understanding of dynamic risks of LNG bunkering SIMOPs.The methodology is demonstrated and evaluated through a truck-to-ship LNG bunkering case study.The results and discussion of the case study validate the utility of the proposed methodology and demonstrate that BNs are efficient in performing the probability calcu-lations and are flexible in conducting causal diagnosis.The main innovation of this work is realizing the quantification of risks at different times,which reflects the most essential time-changing characteristics of risks associated with LNG bunkering SIMOPs.

The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk

The authors get a maximum principle for one kind of stochastic optimization problem motivated by dynamic measure of risk. The dynamic measure of risk to an investor in a financial market can be studied in our framework where the wealth equation may have nonlinear coefficients.

Dynamically Consistent Nonlinear Evaluations with Their Generating Functions in L^p

In this paper, we study dynamically consistent nonlinear evaluations in Lp （1 〈 p 〈 2）. One of our aim is to obtain the following result： under a domination condition, an Ft-consistent evaluation is an Sg-evaluation in Lp. Furthermore, without the assumption that the generating function g（t, w, y, z） is continuous with respect to t, we provide some useful characterizations of an εg-evaluation by g and give some applications. These results include and extend some existing results.

A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective

In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures,focusing on a the discrete time setup.The two key operational concepts used throughout are the notion of the LMmeasure and the notion of the update rule that,we believe,are the key tools for studying time consistency in a unified framework.

Risk dynamics for marine systems:towards a bio-inspired framework for dynamic risk assessment

The development of innovative, complex marine systems, such as autonomous ship concepts, has led to risk-based approaches indesign and operation that provide safety level quantification and continuous risk assessment. The existing approaches to dynamicrisk assessmentmainly aim at updating accident probabilities for specific risk scenarios, based on knowledge of system operation andfailure, aswell as on past accident and failure information. However, for innovative marine systems that include complex interactions,our ability to identify anything that might go wrong is very limited, which may lead to unidentified risks, and failure data may not beavailable. This paper presents the foundations of a framework for dynamic risk assessment, which is equally applicable to mannedand autonomous ships and mainly relies on information about the safe operational envelope and real-time information regardingdeviations from safety. Inspiration is drawn from how the biological immune system identifies the risk of infection in a dynamicenvironment. The objective is to show the feasibility and benefits of our approach for quantifying the operational risk of marinesystems. This paper provides the conceptual basis for developing ship specific applications and describes a process for dynamic riskassessment that is methodologically based on artificial immune systems. To demonstrate the implementation of our framework, wedescribed, an illustrative example that involves a ship in a grounding scenario. The results show that the bio-inspired assessmentprocess and risk description can reflect the changes of the risk level of a marine system.

Mean-field BSDEs with jumps and dual representation for global risk measures

We study mean-field BSDEs with jumps and a generalized mean-field operator that can capture higher-order interactions.We interpret the BSDE solution as a dynamic risk measure for a representative bank whose risk attitude is influenced by the system.This influence can come in a wide class of choices,including the average system state or average intensity of system interactions.Using Fenchel−Legendre transforms,our main result is a dual representation for the expectation of the risk measure in the convex case.In particular,we exhibit its dependence on the mean-field operator.

Do Cryptocurrencies In crease the Systemic Risk of the Global Financial Market?

The advance of cryptocurrencies has sparked wide concern over their interplay with the existing global financial market.This paper analyzes the risk spillover relation between cryptocurrencies and major financial assets,and unravels how cryptocurrencies could influence global financial systemic risk.We find that cryptocurrencies function as a separate risk source from traditional assets.Major legislative,financial and technological events in the cryptocurrency market may affect risk spillover dynamics.Although the overall penetration of cryptocurrencies is not yet deep,introducing cryptocurrency can significantly increase the systemic risk to traditional markets during low risk level episodes.

Changes of citrus climate risk in subtropics of China

Based on the citrus temperature, precipitation, sunlight and climate risk degree, the article divides subtropics of China into three types： the low risk region, the moderate risk region and the high risk region. The citrus temperature risk increases with increasing latitude （except for the western mountainous area of subtropics of China）. The citrus precipitation risk in the central part of subtropics of China is higher than that in the northern and western parts. The distributions of citrus sunlight risk are not consistent to those of the citrus precipitation risk. The citrus climate risk is mainly influenced by temperature. There is latitudinal zonal law for the distribution of the climate risk, that is, the climate risk increases with increasing latitude At the same time the climate risk in mountainous area is high and that in eastern plain area is low. There are differences in the temporal and spatial changes of the citrus climate. In recent 46 years, the citrus climate risk presents a gradual increasing trend in subtropics of China, especially it has been increasing fast since the 1980s. Because of the global warming, the low risk region in the eastern and southern parts has a gradual decreasing trend, however, the high risk region in the northern and western parts has an increasing trend and the high risk region has been extending eastward and southward. The article analyses the distribution of the citrus climate risk degree of reduction rates of 〉10%, 〉20% and 〉30% in subtropics of China, and studies their changes in different time periods. Results show that the risk is increasing from southeast to northwest.

Path-dependent backward stochastic Volterra integral equations with jumps,differentiability and duality principle

We study the existence and uniqueness of a solution to path-dependent backward stochastic Volterra integral equations(BSVIEs)with jumps,where path-dependence means the dependence of the free term and generator of a path of a c`adl`ag process.Furthermore,we prove path-differentiability of such a solution and establish the duality principle between a linear path-dependent forward stochastic Volterra integral equation(FSVIE)with jumps and a linear path-dependent BSVIE with jumps.As a result of the duality principle we get a comparison theorem and derive a class of dynamic coherent risk measures based on path-dependent BSVIEs with jumps.