Markov-modulated风险模型中盈余过程零点数的分布

基于保险公司在首次破产后仍能继续运转的情形,讨论并得到了Markovmodulated风险模型中盈余过程零点数的分布.     

保费和索赔到达率与余额相依的最优有界分红率问题

研究保费和索赔到达率与余额相依的最优有界分红问题,目标是最大化破产前的累积期望折现分红.首先,给出一个策略是平稳马氏策略的充分必要条件,运用测度值生成元的理论得到测度值动态规划方程(DPE),并且给出了验证定理的证明.最后,讨论了测度值DPE和相应拟变分不等式(QVI)之间的关系,并且证明了最优分红策略为具有波段结构的...     

Markov-modulated风险模型破产前最大盈余额与破产赤字的联合分布

应用逐段决定马尔可夫过程理论及补充变量技巧,使Markov-modulated风险过程成为齐次强马尔可夫过程,然后利用强马氏性及首达时间分布给出了其破产前最大盈余额与破产赤字的联合分布.     

A solid phase approach to PDMP analogs：A general strategy for combinatorial library

The present work reports the first solid phase synthesis of biologically interesting D-threo-1-phenyl-2-decanoylamino-3-morpholino-1-propanol(D-threo-PDMP)derivatives.This synthetic strategy includes facile preparation of versatile azido intermediate(5) in a relatively short sequence and the subsequent derivatization of 5,which led to a series of sulfonamide,urea and heterocycle substituted PDMP analogs(10 and 10’).With this method,a 5280-member compound library has been successfully built by IRORI Nanokan? system.     

Markov-Modulated风险模型的极大值、极小值及零点数的联合分布

本文基于保险公司在首次破产后仍能继续运转的情形,讨论并得到了Markov-modulated风险模型中关于末离零点前盈余过程极大值、极小值及零点数的联合分布.     

Strongly self-interacting processes on the circle

ABSTRACT

The purpose of this paper is to investigate the long-time behaviour for a self-interacting diffusion and a self-interacting velocity jump process. While the diffusion case has already been studied for some particular potential function, the second one, which belongs to the family of piecewise deterministic processes, is new. Depending on the underlying potential function's shape, we prove either the almost sure convergence or the recurrence for a natural extended process given by a change a variable.     

Ruin probabilities for a risk model with two classes of claims

In this paper we consider a risk model with two kinds of claims, whose claims number processes are Poisson process and ordinary renewal process respectively. For this model, the surplus process is not Markovian, however, it can be Markovianized by introducing a supplementary process, We prove the Markov property of the related vector processes. Because such obtained processes belong to the class of the so-called piecewise-deterministic Markov process, the extended infinitesimal generator is derived, exponential martingale for the risk process is studied. The exponential bound of ruin probability in iafinite time horizon is obtained.     

A methodology for probabilistic model-based prognosis

This paper deals with the prognosis of complex systems using stochastic model-based techniques. Prognosis consists in this case in computing the distribution of the Remaining Useful Life (RUL) of the system conditionally to available information. In so doing, three main challenges arise from the industrial context. First, the model should unify the two classical approaches to describing complex systems: the bottom-up and the top-down approaches. The former uses elementary interacting components whilst the latter models the system’s physical behavior by means of a set of differential equations. Second, the prognosis must integrate online information to provide a specific result for each system depending on their life events. Online information can take different forms (e.g. inspections, component faults, non detection or false alarm, noisy signal) which must all be considered. Third, the prognosis must supply ready, meaningful numerical results, the error of which must also be under control. This paper proposes a method addressing those challenges. The method is illustrated with two different examples: a simplified spring-mass system and a pneumatic valve for aeronautical application.