A Double Shot Noise Process and Its Application in Insurance

The authors consider a compound Cox model of insurance risk with the additional economic assumption of a positive interest rate. As the authors note a duality result relating a compound Cox model of insurance risk with a positive interest rate and a double shot noise process, the authors analyze a double shot noise process systematically for its theoretical distributional properties, based on the piecewise deterministic Markov process theory, and the martingale methodology. The authors also obtain the moments of aggregate accumulated/discounted claims where the claim arrival process follows a Cox process with shot noise intensity. Removing the parameters in a double shot noise process gradually, the authors show that it becomes a compound Cox process with shot noise intensity, a single shot noise process and a compound Poisson process. Numerical comparisons are shown between the moments （i.e. means and variances） of a compound Poisson model and their counterparts of a compound Cox model with/without considering a positive interest rate. For that purpose, the authors assume that claim sizes and primary event sizes follow an exponential distribution, respectively.

A progressive approach to predict shot peening process parameters for forming integral panel of Al7050-T7451

In this paper,a progressive approach to predict the multiple shot peening process parameters for complex integral panel is proposed.Firstly,the invariable parameters in the forming process including shot size,mass flow,peening distance and peening angle are determined according to the empirical and machine type.Then,the optimal value of air pressure for the whole shot peening is selected by the experimental data.Finally,the feeding speed for every shot peening path is predicted by regression equation.The integral panel part with thickness from 2 mm to 5 mm and curvature radius from 3200 mm to 16000 mm is taken as a research object,and four experiments are conducted.In order to design specimens for acquiring the forming data,one experiment is conducted to compare the curvature radius of the plate and stringer-structural specimens,which were peened along the middle of the two stringers.The most striking finding of this experiment is that the outer shape error range is below 3.9%,so the plate specimens can be used in predicting feeding speed of the integral panel.The second experiment is performed and results show that when the coverage reaches the limit of 80%,the minimum feeding speed is 50 mm/s.By this feeding speed,the forming curvature radius of the specimens with different thickness from the third experiment is measured and compared with the research object,and the optimal air pressure is 0.15 MPa.Then,the plate specimens with thickness from 2 mm to 5 mm are peened in the fourth experiment,and the measured curvature radius data are used to calculate the feeding speed of different shot peening path by regressive analysis method.The algorithm is validated by forming a test part and the average deviation is 0.496 mm.It is shown that the approach can realize the forming of the integral panel precisely.

Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities

We study the counterparty risk for a credit default swap （CDS） in a regime-switching market driven by an underlying continuous-time Markov chain. We model the default dependence via some correlated Cox processes with regime-switching shot noise intensities containing common shock. Under the proposed model, the general bilateral counterparty risk pricing formula for CDS contracts with the possibility of joint defaults is presented. Based on some expressions for the conditional Laplace transform of the integrated intensity processes, semi-analytical solution for the bilateral credit valuation adjustment （CVA） is derived. When the model parameters satisfy some conditions, explicit formula for the bilateral CVA at time 0 is also given.