In this paper, we consider a risk model in which two types of individual claims, main claims and by-claims, are defined. Every by-claim is induced by the main claim randomly and may be delayed for one time period with...In this paper, we consider a risk model in which two types of individual claims, main claims and by-claims, are defined. Every by-claim is induced by the main claim randomly and may be delayed for one time period with a certain probability. The dividend policy that certain amount of dividends will be paid as long as the surplus is greater than a constant dividend barrier is also introduced into this delayed claims risk model. By means of the probability generating functions, formulae for the expected present value of total dividend payments prior to ruin are obtained for discrete-type individual claims. Explicit expressions for the corresponding results are derived for K n claim amount distributions. Numerical illustrations are also given.展开更多
The static modeling and dynamic simulation are essential and critical processes in petroleum exploration and development. In this study, lithofacies models for Wabiskaw Member in Athabasca, Canada are generated by mul...The static modeling and dynamic simulation are essential and critical processes in petroleum exploration and development. In this study, lithofacies models for Wabiskaw Member in Athabasca, Canada are generated by multipoint statistics(MPS) and then compared with the models built by sequential indicator simulation(SIS). Three training images(Tls) are selected from modern depositional environments;the Orinoco River Delta estuary, Cobequid bay-Salmon River estuary, and Danube River delta environment. In order to validate lithofacies models, average and variance of similarity in lithofacies are calculated through random and zonal blind-well tests.In random six-blind-well test, similarity average of MPS models is higher than that of SIS model. The Salmon MPS model closely resembles facies pattern of Wabiskaw Member in subsurface. Zonal blind-well tests show that successful lithofacies modeling for transitional depositional setting requires additional or proper zonation information on horizontal variation, vertical proportion, and secondary data.As Wabiskaw Member is frontier oilsands lease, it is impossible to evaluate the economics from production data or dynamic simulation. In this study, a dynamic steam assisted gravity drainage(SAGD)performance indicator(SPIDER) on the basis of reservoir characteristics is calculated to build 3 D reservoir model for the evaluation of the SAGD feasibility in Wabiskaw Member. SPIDER depends on reservoir properties, economic limit of steam-oil ratio, and bitumen price. Reservoir properties like porosity,permeability, and water saturation are measured from 13 cores and calculated from 201 well-logs. Three dimensional volumes of reservoir properties are constructed mostly based on relationships among properties. Finally, net present value(NPV) volume can be built by equation relating NPV and SPIDER. The economic area exceeding criterion of US$ 10,000 is identified, and the ranges of reservoir properties are estimated. NPV-volume-generation workflow from reservoir parameter to static model provides costand time-effective method to evaluate the oilsands SAGD project.展开更多
Extensions of Merton’s model(EMM)considering the firm’s payments and generating new types of firm value distribution are suggested.In the open log-value/time space,these distributions evolve from initially normal to...Extensions of Merton’s model(EMM)considering the firm’s payments and generating new types of firm value distribution are suggested.In the open log-value/time space,these distributions evolve from initially normal to negatively skewed ones,and their means are concave-down functions of time.When payments are set to zero or proportional to the firm value,EMM turns into the Geometric Brownian model(GBM).We show that risk-neutral probabilities(RNPs)and the no-arbitraging principle(NAP)follow from GBM.When firm’s payments are considered,RNPs and NAP hold for the entire market for short times only,but for long-term investments,RNPs and NAP just temporarily hold for individual stocks as far as mean year returns of the firms issuing those stocks remain constant,and fail when the mean year returns decline.The developed method is applied to firm valuation to derive continuous-time equations for the firm present value and project NPV.展开更多
基金The NSF (11201217) of Chinathe NSF (20132BAB211010) of Jiangxi Province
文摘In this paper, we consider a risk model in which two types of individual claims, main claims and by-claims, are defined. Every by-claim is induced by the main claim randomly and may be delayed for one time period with a certain probability. The dividend policy that certain amount of dividends will be paid as long as the surplus is greater than a constant dividend barrier is also introduced into this delayed claims risk model. By means of the probability generating functions, formulae for the expected present value of total dividend payments prior to ruin are obtained for discrete-type individual claims. Explicit expressions for the corresponding results are derived for K n claim amount distributions. Numerical illustrations are also given.
基金supported by the Energy Efficiency and Resources Program of the Korea Institute of Energy Technology Evaluation andPlanning(KETEP,Grant No.20132510100060)the Basic Research Program of Korea Institute of Geoscience and Mineral Resources(KIGAM,GP2017-024)+2 种基金funded by the Ministry of ScienceICTFuture Planning of Korea
文摘The static modeling and dynamic simulation are essential and critical processes in petroleum exploration and development. In this study, lithofacies models for Wabiskaw Member in Athabasca, Canada are generated by multipoint statistics(MPS) and then compared with the models built by sequential indicator simulation(SIS). Three training images(Tls) are selected from modern depositional environments;the Orinoco River Delta estuary, Cobequid bay-Salmon River estuary, and Danube River delta environment. In order to validate lithofacies models, average and variance of similarity in lithofacies are calculated through random and zonal blind-well tests.In random six-blind-well test, similarity average of MPS models is higher than that of SIS model. The Salmon MPS model closely resembles facies pattern of Wabiskaw Member in subsurface. Zonal blind-well tests show that successful lithofacies modeling for transitional depositional setting requires additional or proper zonation information on horizontal variation, vertical proportion, and secondary data.As Wabiskaw Member is frontier oilsands lease, it is impossible to evaluate the economics from production data or dynamic simulation. In this study, a dynamic steam assisted gravity drainage(SAGD)performance indicator(SPIDER) on the basis of reservoir characteristics is calculated to build 3 D reservoir model for the evaluation of the SAGD feasibility in Wabiskaw Member. SPIDER depends on reservoir properties, economic limit of steam-oil ratio, and bitumen price. Reservoir properties like porosity,permeability, and water saturation are measured from 13 cores and calculated from 201 well-logs. Three dimensional volumes of reservoir properties are constructed mostly based on relationships among properties. Finally, net present value(NPV) volume can be built by equation relating NPV and SPIDER. The economic area exceeding criterion of US$ 10,000 is identified, and the ranges of reservoir properties are estimated. NPV-volume-generation workflow from reservoir parameter to static model provides costand time-effective method to evaluate the oilsands SAGD project.
基金The author is infinitely thankful to his friend and colleague M.Rubinstein for valuable discussions and an invariable interest to his work.The author is also thankful to C.Miller for his high estimation of the author’s efforts.Of course,all errors are author’s full responsibility.
文摘Extensions of Merton’s model(EMM)considering the firm’s payments and generating new types of firm value distribution are suggested.In the open log-value/time space,these distributions evolve from initially normal to negatively skewed ones,and their means are concave-down functions of time.When payments are set to zero or proportional to the firm value,EMM turns into the Geometric Brownian model(GBM).We show that risk-neutral probabilities(RNPs)and the no-arbitraging principle(NAP)follow from GBM.When firm’s payments are considered,RNPs and NAP hold for the entire market for short times only,but for long-term investments,RNPs and NAP just temporarily hold for individual stocks as far as mean year returns of the firms issuing those stocks remain constant,and fail when the mean year returns decline.The developed method is applied to firm valuation to derive continuous-time equations for the firm present value and project NPV.
