检索结果-南通市图书馆

Exact joint laws associated with spectrally negative levy processes and applications to insurance risk theory

在线全文

学校读者我要写书评

暂无评论

Frontiers of Mathematics in china 2014年第6期9卷 1453-1471页

作者： chuancun YIN kam c. YUEN School of Mathematical Sciences Qufu Normal University Qufu 273165 China Department of Statistics and Actuarial Science The University of Hong Kong Hong KongChina

We consider the spectrally negative l@vy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum, and the duration of negative values. We apply our results to insurance risk theory to find an explicit expression for the generalized expected discounted penalty function in terms of scale functions. Furthermore, a new expression for the generalized Dickson＇s formula is provided.

关键词： Fluctuation identity spectrally negative l6vy processes supremaand infima generalized Dickson's formula scale function occupation time

Asymptotics of the goodness-of-fit test for a partial linear model with randomly censored data

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Science china Mathematics 2003年第2期46卷 145-158页

作者：陈敏 kam c.YUEN 朱力行 Academy of Mathematics and System Sciences Chinese Academy of Sciences Department of Statistics and Actuarial Science the University of Hong Kong Department of Statistics and Actuarial Science the University of Hong Kong Hong Kong China

In this paper, we discuss the problem of testing the hypothesis that the underlying regression isa partial linear model. A test statistic, which is based on the quadratic form of a cusum process of residuals,is proposed. The asymptotic distributions of the test statistic under null hypothesis and the local alternativehypothesis are given. The number simulation shows that the test is available.

关键词： partial linear regression random censoring empirical process model checking

Ruin Probabilities in cox Risk Models with Two Dependent classes of Business

在线全文

学校读者我要写书评

暂无评论

Acta Mathematica Sinica,English Series 2007年第7期23卷 1281-1288页

作者： Jun Yi GUO kam c.YUEN Ming ZHOU School of Mathematical Sciences and lPMc Nankai University Department of Statistics and Actuarial Science The University of Hong Kong

In this paper we consider risk processes with two classes of business in which the two claim-number processes are dependent cox processes. We first assume that the two claim-number processes have a two-dimensional Markovian intensity. Under this assumption, we not only study the sum of the two individual risk processes but also investigate the two-dimensional risk process formed by considering the two individual processes separately. For each of the two risk processes we derive an expression for the ruin probability, and then construct an upper bound for the ruin probability. We next assume that the intensity of the two claim-number processes follows a Markov chain. In this case, we examine the ruin probability of the sum of the two individual risk processes. Specifically, a differential system for the ruin probability is derived and numerical results are obtained for exponential claim sizes.

关键词： cox risk model ruin probability Markov process infinitesimal generator

System Dynamic Modelling of Patient Flow and Transferral Problem in a Mixed Public-Private Healthcare System:A case Study of Hong Kong SAR

在线全文

学校读者我要写书评

暂无评论

Journal of Systems Science and Systems Engineering 2020年第5期29卷 590-608页

作者： c.K.M.lEE W.c.TAI kam K.H.NG Department of Industrial and Systems Engineering The Hon g Kong Polytechnic UniversityHung HornHong Kong SARChina School of Mechanical and Aerospace Engineering Nanyang Technological University50 Nanyang AvenueSingapore 639798Singapore

The current healthcare system in Hong Kong is experiencing pressure due to constrained resources,with dramatic increases in inpatient services queue lengths,dissatisfaction with the working environment,unacceptable workforce arrangements and high turnover rate of hospital *** maintain the robustness of the healthcare system and a sustainable inpatients flow,the Food and Health Bureau launched a public-private partnership programme to utilise the resources of the public and private *** research investigates the potential for extension of the programme and further enhancing the sustainability of the long-term inpatient services under a mixed public-private healthcare policy via system dynamic *** findings show that an increase of human resources in public hospitals does not substantially improve inpatient flow rate ***,the results from the system dynamic approach provide insights into the expansion of the service areas of the programme and suggest increasing the number of referrals to private hospitals.

关键词： System dynamic models scenario analysis inpatient transferral mixed public-private healthcare system

On the Distributions of Two classes of Multiple Dependent Aggregate claims

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2008年第4期24卷 655-668页

作者： Rong-ming Wang kam c. Yuen li-xing Zhu School of Finance and Statistics East China Normal University Shanghai 200241 China Department of Statistics and Actuarial Science The University of Hong Kong Department of Mathematics Hongkong Baptist University Kowloon Tong Hong Kong

In this paper we examine two classes of correlated aggregate claims distributions, with univariate claim counts and multivariate claim sizes. Firstly, we extend the results of Hesselager [ASTIN Bulletin, 24： 19-32（1994）] and Wang ＆ Sobrero＇s [ASTIN Bulletin, 24：161-166 （1994）] concerning recursions for compound distributions to a multivariate situation where each claim event generates a random vector. Then we give a multivariate continuous version of recursive algorithm for calculating a family of compound distribution. Especially, to some extent, we obtain a continuous version of the corresponding results in Sundt [ASTIN Bulletin, 29：29-45 （1999）] and Ambagaspitiya [Insurance： Mathematics and Economics, 24：301-308 （1999）]. Finally, we give an example and show how to use the algorithm for aggregate claim distribution of first class to compute recursively the compound distribution.

关键词： compound distribution recursive algorithm collective risk model aggregate claim distribution,absolutely continuous

A Photometry campaign for IR Geminorum in Quiescence

在线全文

学校读者我要写书评

暂无评论

chinese Journal of Astronomy and Astrophysics 2004年第1期4卷 88-96页

作者： HaiFu Zong-Yunli kam-chinaleung Zhou-ShengZhang Zi-lili c.MartinGaskell DepartmentofAstronomy NanjingUniversityNanjing210093 DepartmentofPhysicsandAstronomy UniversityofNebraskaLincolnNE68588-0111USA YunnanObservatory Kunming650011

We report a V band photometry of the SU UMa star IR Gem at quiescence in January 2002. The observations were made with two telescopes spaced ~ 160° apart in longitude. Several photometric modulations have been found. One gives a period of 98.50(13) min, exactly equal to the orbital period determined spectroscopically. Two others occasionally strengthen and seem to be positive and negative superhumps with periods of 103.6(4) and 95.4(4) min, 5.2 % longer and 3.1 % shorter than the orbital period, respectively. A signal at ~ 0.6 c/d in the power spectrum is roughly consistent with the expected period of nodal precession of the disk. There is a puzzling peak at 0.21(3) c/d corresponding to the ~ 4.3 d sine wave seen in the raw light curve. We suspect it to be a beat frequency between the frequencies of apsidal and nodal precessions of the disk. Quasi-periodic cycles with amplitudes 0.15–0.6 mag can be seen in the light curve. The mechanism underlying this modulation is not clear.

关键词： accretion accretion disks binaries: close novae cataclysmic variables stars: dwarf nova stars: individual (IR geminorum)

Homoclinic and heteroclinic solutions of cubic strongly nonlinear autonomous oscillators by hyperbolic lindstedt-Poincaré method

在线全文

学校读者我要写书评

暂无评论

Science china(Technological Sciences) 2010年第3期53卷 692-702页

作者： SZE kam Yim Department of Mechanical Engineering The University of Hong Kong

The hyperbolic lindstedt-Poincaré method is applied to determine the homoclinic and heteroclinic solutions of cubic strongly nonlinear oscillators of the form x + c1 x + c3 x 3= ε f (μ,x,x).In the method,the hyperbolic functions are employed instead of the periodic functions in the lindstedt-Poincaré *** value of parameter μ under which there exists homoclinic or heteroclinic orbit can be determined by the perturbation *** applications are studied in *** illustrate the accuracy of the present method,its predictions are compared with those of Runge-Kutta method.

关键词： lindstedt-Poincaré Method nonlinear autonomous oscillator homoclinic orbit heteroclinic orbit

Uniform Asymptotics for Finite-time Ruin Probability in a Dependent Risk Model with General Stochastic Investment Return Process

在线全文

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2021年第4期37卷 847-857页

作者： Yang YANG kam chuen YUEN Jun-feng lIU School of Statistics and Data Science Nanjing Audit UniversityNanjing211815China Department of Statistics and Actuarial Science The University of Hong KongPokfulam RoadHong KongChina

In this paper,we consider a non-standard renewal risk model with dependent claim sizes,where an insurance company is allowed to invest his/her wealth in financial assets,leading to some stochastic investment log-returns described as a general adapted càdlàg *** the assumptions that the claim sizes are heavy-tailed and the stochastic log-return process on investments is bounded from below almost surely,we derive some asymptotic formulas for the finite-time ruin probability holding uniformly in any finite time horizon.

关键词： finite-time ruin probability stochastic log-return process on investments upper tail asymptotic independence dominated variation uniformity

Effect of Money Supply on Real Output and Price in china

在线全文

学校读者我要写书评

暂无评论

china & World Economy 2009年第2期17卷 35-44页

作者： chih-Hsiang chang kam c.chan Hung-Gay Fung college of Management National University of Kaohsiung Gordon Ford college of Business Western Kentucky University college of Business Administration and center for International Studies University of Missouri-St.Louis

Over the past 30 years, china has achieved remarkable long-term economic growth. Using quarterly data, we study the effects of money supply on real output and inflation in china between 1993 and 2008. To this end, we use money supply shocks afler filtering out the expected component of the money supply. Our findings provide evidence supporting the asymmetric effect of positive and negative money supply shocks on real output and inflation in china. That is, real GDP growth in china responds to negative money supply shocks but not positive money supply shocks. In addition, inflation responds to positive money supply shocks but not negative money supply shocks. We conclude that the People＇s Bank of china＇ s policy of steady monetary growth appears to be appropriate. Our study offers important policy implications for china.

关键词： inflation money supply real output