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
In 2010, China entered the advanced stage of industrialization, which coincided with the country's entry into a new stage of economic growth. However, this transition is associated with major risks, including adaptin...In 2010, China entered the advanced stage of industrialization, which coincided with the country's entry into a new stage of economic growth. However, this transition is associated with major risks, including adapting to decelerating economic growth. While recognizing the move toward a service-based economy, China must seek to prevent the risk of "manufacturing hollowing out. "' It must also avoid the "technology upgrade trap" while taking advantage of increasingly sophisticated industrial structures. Efforts must also be made to: (1) promote the integration of lT tools and meet risks arising from the New Industrial Revolution; (2) resolve liability risks arising from capacity reduction; and (3) expedite the transition to a functional industrial policy and prevent the failure of a functional industrial policy. In climbing up the global value chain, China must confront the competitive pressures from advanced and emerging economies on both high- and low-end processes of the global value chain.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
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
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
In spite of continuous research efforts directed at early detection and treatment of pancreatic cancer, the outlook for patients affected by the disease remains dismal. With most cases still being diagnosed at advance...In spite of continuous research efforts directed at early detection and treatment of pancreatic cancer, the outlook for patients affected by the disease remains dismal. With most cases still being diagnosed at advanced stages, no improvement in survival prognosis is achieved with current diagnostic imaging approaches. In the absence of a dominant precancerous condition, several risk factors have been identified including family history, chronic pancreatitis, smoking, diabetes mellitus, as well as certain genetic disorders such as hereditary pancreatitis, cystic fibrosis, familial atypical multiple mole melanoma, and Peutz-Jeghers and Lynch syn- dromes. Most pancreatic carcinomas, however, remain sporadic. Current progress in experimental molecular techniques has enabled detailed understanding of the molecular processes of pancreatic cancer development. According to the latest information, malignant pancre- atic transformation involves multiple oncogenes and tumor-suppressor genes that are involved in a variety of signaling pathways. The most characteristic aberrations (somatic point mutations and allelic losses) affect onco- genes and tumor-suppressor genes within RAS, AK-I- and Wnt signaling, and have a key role in transcription and proliferation, as well as systems that regulate the cell cycle (SMAD/DPC, CDKN2A/p16) and apoptosis (TP53). Understanding of the underlying molecular mechanisms should promote development of new methodology for early diagnosis and facilitate improvement in current approaches for pancreatic cancer treatment.展开更多
A sustainable production of electricity is essential for low carbon green growth in South Korea. The generation of wind power as renewable energy has been rapidly growing around the world. Undoubtedly, wind energy is ...A sustainable production of electricity is essential for low carbon green growth in South Korea. The generation of wind power as renewable energy has been rapidly growing around the world. Undoubtedly, wind energy is unlimited in potential. However due to its own intermittency and volatility, there are difficulties in the effective harvesting of wind energy and the integration of wind power into the current electric power grid. To cope with this, many works have been done for wind speed and power forecasting. In this paper, an SVR (support vector regression) using FCM (Fuzzy C-Means) is proposed for wind speed forecasting. This paper describes the design of an FCM based SVR to increase the prediction accuracy. Proposed model was compared with ordinary SVR model using balanced and unbalanced test data. Also, multi-step ahead forecasting result was compared. Kernel parameters in SVR are adaptively determined in order to improve forecasting accuracy. An illustrative example is given by using real-world wind farm dataset. According to the experimental results, it is shown that the proposed method provides better forecasts of wind power.展开更多
Mutual funds are usually classified on the basis of their objectives. If the activities of mutual funds are consistent with their stated objectives, investors may look at the latter as signals of their risks and incom...Mutual funds are usually classified on the basis of their objectives. If the activities of mutual funds are consistent with their stated objectives, investors may look at the latter as signals of their risks and incomes. This work analyzes mutual fund objective classification in China by statistical methods of distance analysis and discriminant analysis; and examines whether the stated investment objectives of mutual funds adequately represent their attributes to investors. That is, if mutual funds adhere to their stated objectives, attributes must be heterogeneous between investment objective groups and homogeneous within them. Our conclusion is to some degree, the group of optimized exponential funds is heterogeneous to other groups. As a whole, there exist no significant differences between different objective groups; and 50% of mutual funds are not consistent with their objective groups.展开更多
Although the mid-late Holocene cold and dry event about 4000years ago (the 4ka event) has been observed almost globally, it was most prominent in terrestrial climate proxies from the lower latitudes. Here we evaluat...Although the mid-late Holocene cold and dry event about 4000years ago (the 4ka event) has been observed almost globally, it was most prominent in terrestrial climate proxies from the lower latitudes. Here we evaluate the oceanic response to this event in terms of a Holocene sea surface temperature (SST) record reconstructed using the U^7 index for Core B3 on the continen- tal shelf of the East China Sea. The record reveals a large temperature drop of about 5~C from the mid-Holocene (24.7~C at 5.6ka) to the 4ka event (19.2~C at 3.8ka). This mid-late Holocene cooling period in Core B3 correlated with (i) decreases in the East Asia summer monsoon intensity and (ii) the transition period with increased E1 Nifio/Southern Oscillation activities in the Equatorial Pa- cific. Our SST record provides oceanic evidence for a more global nature of the mid-late Holocene climate change, which was most likely caused by a southward migration of the Intertropical Converge Zone in response to the decreasing summer solar insolation in the Northern Hemisphere. However, the large SST drop around Core B3 indicates that the mid-late Holocene cooling was regionally amplified by the initiation/strengthening of eddy circulation/cold front which caused upwelling and resulted in additional SST de- crease. Upwelling during the mid-late Holocene also enhanced with surface productivity in the East China Sea as reflected by higher alkenone content around Core B3.展开更多
In this study, the authors simulate the East Asian climate changes in the mid-Pliocene (~3.3 to 3.0 Ma BP) with the Community Atmosphere Model version 3.1 (CAM3.1) and compare the simulated East Asian monsoon with pa...In this study, the authors simulate the East Asian climate changes in the mid-Pliocene (~3.3 to 3.0 Ma BP) with the Community Atmosphere Model version 3.1 (CAM3.1) and compare the simulated East Asian monsoon with paleoclimate data. The simulations show an obvious warming pattern in East Asia in the mid-Pliocene compared with the pre-industrial climate, with surface air temperature increasing by 0.5 4.0°C. In the warm mid-Pliocene simulation, the East Asian Summer Monsoon (EASM) becomes stronger, while the East Asian Winter Monsoon (EAWM) is similar relative to the pre-industrial climate. Compared with the paleoclimate data, our simulations depict the intensified EASM well but cannot reproduce the weakened EAWM. This model-data discrepancy may be attributed to the uncertainty in the reconstructed mid-Pliocene sea surface temperature.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.
文摘In 2010, China entered the advanced stage of industrialization, which coincided with the country's entry into a new stage of economic growth. However, this transition is associated with major risks, including adapting to decelerating economic growth. While recognizing the move toward a service-based economy, China must seek to prevent the risk of "manufacturing hollowing out. "' It must also avoid the "technology upgrade trap" while taking advantage of increasingly sophisticated industrial structures. Efforts must also be made to: (1) promote the integration of lT tools and meet risks arising from the New Industrial Revolution; (2) resolve liability risks arising from capacity reduction; and (3) expedite the transition to a functional industrial policy and prevent the failure of a functional industrial policy. In climbing up the global value chain, China must confront the competitive pressures from advanced and emerging economies on both high- and low-end processes of the global value chain.
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.
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.
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.
文摘In spite of continuous research efforts directed at early detection and treatment of pancreatic cancer, the outlook for patients affected by the disease remains dismal. With most cases still being diagnosed at advanced stages, no improvement in survival prognosis is achieved with current diagnostic imaging approaches. In the absence of a dominant precancerous condition, several risk factors have been identified including family history, chronic pancreatitis, smoking, diabetes mellitus, as well as certain genetic disorders such as hereditary pancreatitis, cystic fibrosis, familial atypical multiple mole melanoma, and Peutz-Jeghers and Lynch syn- dromes. Most pancreatic carcinomas, however, remain sporadic. Current progress in experimental molecular techniques has enabled detailed understanding of the molecular processes of pancreatic cancer development. According to the latest information, malignant pancre- atic transformation involves multiple oncogenes and tumor-suppressor genes that are involved in a variety of signaling pathways. The most characteristic aberrations (somatic point mutations and allelic losses) affect onco- genes and tumor-suppressor genes within RAS, AK-I- and Wnt signaling, and have a key role in transcription and proliferation, as well as systems that regulate the cell cycle (SMAD/DPC, CDKN2A/p16) and apoptosis (TP53). Understanding of the underlying molecular mechanisms should promote development of new methodology for early diagnosis and facilitate improvement in current approaches for pancreatic cancer treatment.
文摘A sustainable production of electricity is essential for low carbon green growth in South Korea. The generation of wind power as renewable energy has been rapidly growing around the world. Undoubtedly, wind energy is unlimited in potential. However due to its own intermittency and volatility, there are difficulties in the effective harvesting of wind energy and the integration of wind power into the current electric power grid. To cope with this, many works have been done for wind speed and power forecasting. In this paper, an SVR (support vector regression) using FCM (Fuzzy C-Means) is proposed for wind speed forecasting. This paper describes the design of an FCM based SVR to increase the prediction accuracy. Proposed model was compared with ordinary SVR model using balanced and unbalanced test data. Also, multi-step ahead forecasting result was compared. Kernel parameters in SVR are adaptively determined in order to improve forecasting accuracy. An illustrative example is given by using real-world wind farm dataset. According to the experimental results, it is shown that the proposed method provides better forecasts of wind power.
文摘Mutual funds are usually classified on the basis of their objectives. If the activities of mutual funds are consistent with their stated objectives, investors may look at the latter as signals of their risks and incomes. This work analyzes mutual fund objective classification in China by statistical methods of distance analysis and discriminant analysis; and examines whether the stated investment objectives of mutual funds adequately represent their attributes to investors. That is, if mutual funds adhere to their stated objectives, attributes must be heterogeneous between investment objective groups and homogeneous within them. Our conclusion is to some degree, the group of optimized exponential funds is heterogeneous to other groups. As a whole, there exist no significant differences between different objective groups; and 50% of mutual funds are not consistent with their objective groups.
基金supported by the National Basic Research Program of China (973 Program 2010CB428901)the Natural Science Foundation of China (Grant Nos. 41221004 and 41020164005)
文摘Although the mid-late Holocene cold and dry event about 4000years ago (the 4ka event) has been observed almost globally, it was most prominent in terrestrial climate proxies from the lower latitudes. Here we evaluate the oceanic response to this event in terms of a Holocene sea surface temperature (SST) record reconstructed using the U^7 index for Core B3 on the continen- tal shelf of the East China Sea. The record reveals a large temperature drop of about 5~C from the mid-Holocene (24.7~C at 5.6ka) to the 4ka event (19.2~C at 3.8ka). This mid-late Holocene cooling period in Core B3 correlated with (i) decreases in the East Asia summer monsoon intensity and (ii) the transition period with increased E1 Nifio/Southern Oscillation activities in the Equatorial Pa- cific. Our SST record provides oceanic evidence for a more global nature of the mid-late Holocene climate change, which was most likely caused by a southward migration of the Intertropical Converge Zone in response to the decreasing summer solar insolation in the Northern Hemisphere. However, the large SST drop around Core B3 indicates that the mid-late Holocene cooling was regionally amplified by the initiation/strengthening of eddy circulation/cold front which caused upwelling and resulted in additional SST de- crease. Upwelling during the mid-late Holocene also enhanced with surface productivity in the East China Sea as reflected by higher alkenone content around Core B3.
基金supported by the National Basic Research Program of China(2009CB421406)the Knowledge Innovation Program of the Chinese Academy of Sciences(KZCX2-YW-Q1-02)the National Natural Science Foundation of China(4090205 and 40975050)
文摘In this study, the authors simulate the East Asian climate changes in the mid-Pliocene (~3.3 to 3.0 Ma BP) with the Community Atmosphere Model version 3.1 (CAM3.1) and compare the simulated East Asian monsoon with paleoclimate data. The simulations show an obvious warming pattern in East Asia in the mid-Pliocene compared with the pre-industrial climate, with surface air temperature increasing by 0.5 4.0°C. In the warm mid-Pliocene simulation, the East Asian Summer Monsoon (EASM) becomes stronger, while the East Asian Winter Monsoon (EAWM) is similar relative to the pre-industrial climate. Compared with the paleoclimate data, our simulations depict the intensified EASM well but cannot reproduce the weakened EAWM. This model-data discrepancy may be attributed to the uncertainty in the reconstructed mid-Pliocene sea surface temperature.