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Asymptotic Results for Tail Probabilities of Sums of Dependent and Heavy-Tailed Random Variables

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Chinese Annals of Mathematics,Series B 2012年第4期33卷 557-568页

作者： kam chuen yuen Chuancun YIN Department of Statistics and Actuarial Science The University of Hong Kong Pokfulam Road HongKong China. Corresponding author. School of Mathematical Sciences Qufu Normal University Qufu 273165 Shan- dong China

Abstract Let X1, X2,... be a sequence of dependent and heavy-tailed random variables with distributions F1, F2,.. on （-∞,∞）, and let T be a nonnegative integer-valued random variable independent of the sequence {Xk, k 〉 1}. In this framework, the asymptotic behavior of the tail probabilities of the quantities Sn = fi Xk and S（n） =∑ k=1 n 〉 1, and their randomized versions ST and S（τ） are studied. Some risk theory are presented. max Sk for 1〈k〈n applications to the

关键词： Asymptotic tail probability Copula Heavy-tailed distribution Partialsum Risk process

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

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Frontiers of Mathematics in China 2017年第5期12卷 1085-1112页

作者： Yinghui DONG kam chuen yuen Guojing WANG Department of Mathematics and Physics Suzhou University of Science and TechnologySuzhou 215009 China Department of Statistics and Actuarial Science University of Hong Kong Hong KongChina Department of Mathematics and Center for Financial Engineering Soochow UniversitySuzhou 215006 China

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.

关键词： Credit default swap (CDS) bilateral credit valuation adjustment,Markov chain common shock regime-switching shot noise process

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

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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

Alternative Approach to the Optimality of the Threshold Strategy for Spectrally Negative Lvy Processes

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Acta Mathematicae Applicatae Sinica 2013年第4期29卷 705-716页

作者： Ying SHEN Chuan-cun YIN kam chuen yuen School of Mathematical Sciences Qufu Normal UniversityChina Department of Statistics and Actuarial Science The University of Hong Kong

Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. In this paper, we show that a threshold strategy （also called refraction strategy） forms an optimal strategy under the condition that the Levy measure has a completely monotone density.

关键词： Spectrally negative Levy process optimal dividend problem scale function complete monotonic-ity threshold strategy

Optimal Investment and Premium Control in a Nonlinear Diffusion Model

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Acta Mathematicae Applicatae Sinica 2017年第4期33卷 945-958页

作者： Ming ZHOU kam chuen yuen Chuan-cun YIN China Institute for Actuarial Science Central University of Finance and Economics Department of Statistics and Actuarial Science the University of Hong Kong School of Statistics Qufu Normal University

This paper considers the optimal investment and premium control problem in a diffusion approxi- mation to a non-homogeneous compound Poisson process. In the nonlinear diffusion model, it is assumed that there is an unspecified monotone function describing the relationship between the safety loading of premium and the time-varying claim arrival rate. Hence, in addition to the investment control, the premium rate can be served as a control variable in the optimization problem. Specifically, the problem is investigated in two cases：（i） maximizing the expected utility of terminal wealth, and （ii） minimizing the probability of ruin respectively. In both cases, some properties of the value functions are derived, and closed-form expressions for the optimal policies and the value functions are obtained. The results show that the optimal investment policy and the optimal premium control policy are dependent on each other. Most interestingly, as an example, we show that the nonlinear diffusion model reduces to a diffusion model with a quadratic drift coefficient when the function associated with the premium rate and the claim arrival rate takes a special form. This example shows that the model of study represents a class of nonlinear stochastic control risk model.

关键词： CARA utility dependent control policies Hamilton-Jacobi-Bellman (HJB) equation investment premium control

The Uniform Asymptotics for the Tail of Poisson Shot Noise Process with Dependent and Heavy-Tailed Shocks

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Journal of Mathematical Research with Applications 2023年第3期43卷 335-349页

作者： Kaiyong WANG Yang YANG kam chuen yuen School of Mathematical Sciences Suzhou University of Science and Technology School of Statistics and Data Science Nanjing Audit University Department of Statistics and Actuarial Science The University of Hong Kong

This paper considers the uniform asymptotic tail behavior of a Poisson shot noise process with some dependent and heavy-tailed shocks. When the shocks are bivariate upper tail asymptotic independent nonnegative random variables with long-tailed and dominatedly varying tailed distributions, and the shot noise function has both positive lower and upper bounds, a uniform asymptotic formula for the tail probability of the process has been ***, when the shocks have continuous and consistently varying tailed distributions, the positive lower-bound condition on the shot noise function can be removed. For the case that the shot noise function is not necessarily upper-bounded, a uniform asymptotic result is also obtained when the shocks follow a pairwise negatively quadrant dependence structure.

关键词： Poisson shot noise process dependent shock heavy-tailed distribution uniform asymptotics

Markov调节中基于时滞和相依风险模型的最优再保险与投资

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中国科学：数学 2021年第5期51卷 773-796页

作者：张彩斌梁志彬袁锦泉南京财经大学金融学院南京210023 南京师范大学数学科学学院南京210023 香港大学统计与精算学系中国香港

本文研究保险公司在Markov调节下基于时滞及相依风险模型的最优再保险与最优投资问题,其中市场被划分为有限个状态,一些重要的参数随着市场状态的转换而变化.假设保险公司的盈余过程由复合Poisson过程描述,而风险资产的价格过程由几何... 详细信息

本文研究保险公司在Markov调节下基于时滞及相依风险模型的最优再保险与最优投资问题,其中市场被划分为有限个状态,一些重要的参数随着市场状态的转换而变化.假设保险公司的盈余过程由复合Poisson过程描述,而风险资产的价格过程由几何跳扩散模型刻画,并且假设这两个跳过程是相依的.以最大化终端财富值的均值-方差效用为目标,在博弈论框架下,利用随机控制理论和相应的广义Hamilton-Jacobi-Bellman(HJB)方程,本文得到最优策略和值函数的显式表达,并证明解的存在性和唯一性.最后,通过一些数值实例,验证所得结论的正确性,并探讨一些重要参数对最优策略的影响.

关键词：均值-方差再保险与投资相依风险广义HJB方程时滞 Markov调节

A converged ubiquitin-proteasome pathway for the degradation of TOC and TOM tail-anchored receptors

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Journal of Integrative Plant Biology 2024年第5期66卷 1007-1023页

作者： Meijing Yang Shuai Chen Shey-Li Lim Lang Yang Jia Yi Zhong Koon chuen Chan Zhizhu Zhao kam-Bo Wong Junqi Wang Boon Leong Lim School of Biological Sciences University of Hong KongPokfulam 999077Hong KongChina Department of Biology Southern University of Science and TechnologyShenzhen 518055China School of Biomedical Engineering Shenzhen UniversityShenzhen 518060China School of Life Sciences The Chinese Universityof Hong KongShatin 999077HongKongChina State Key Laboratory of Agrobiotechnology The Chinese University of Hong KongShatin 999077Hong KongChina HKU Shenzhen Institute of Research and Innovation Shenzhen 518052China

In plants,thousands of nucleus-encoded proteins translated in the cytosol are sorted to chloroplasts and mitochondria by binding to specific receptors of the TOC(translocon on the outer chloroplast membrane)and the TOM(translocon on the outer mitochondrial membrane)complexes for import into those *** degradation pathways for these receptors are ***,we discovered a converged ubiquitin-proteasome pathway for the degradation of Arabidopsis thaliana TOC and TOM tail-anchored *** receptors are ubiquitinated by E3 ligase(s)and pulled from the outer membranes by the AAA+adenosine triphosphatase CDC48,after which a previously uncharacterized cytosolic protein,transmembrane domain(TMD)-binding protein for tail-anchored outer membrane proteins(TTOP),binds to the exposed TMDs at the C termini of the receptors and CDC48,and delivers these complexes to the 26S proteasome.

关键词： 26S proteasome CDC48 SP1 TOC TOM ubiquitination

A near-infrared plasma membrane-specific AIE probe for fluorescence lifetime imaging of phagocytosis

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Science China Chemistry 2022年第5期65卷 979-988页

作者： Ming-Yu Wu Jong-Kai Leung chuen kam Tsu Yu Chou Jia-Li Wang Xueqian Zhao Shun Feng Sijie Chen Ming Wai Lau Centre for Reparative Medicine Karolinska InstitutetHong KongChina Sichuan Engineering Research Center for Biomimetic Synthesis of Natural Drugs School of Life Science and EngineeringSouthwest Jiaotong UniversityChengdu 610031China

Phagocytosis is a biological process that plays a key role in host defense and tissue *** approaches for real-time imaging of phagocytosis are highly desired but ***,an AIE-active near-infrared fluorescent probe,named TBTCP,was developed for fluorescence lifetime imaging of *** could selectively label the cell plasma membrane with fast staining,wash-free process,high signal-to-background ratio,and excellent *** membrane statuses under different osmolarities as well as macrophage phagocytosis of bacteria or large silica particles in early stages could be reported by the fluorescence lifetime changes of *** with current fluorescence imaging methods,which target the bioenvironmental changes in the late phagocytosis stage,this approach detects the changes in the cell membrane,thus giving a faster response to *** article provides a functional tool to report the phagocytic dynamics of macrophages which may greatly contribute to the studies of phagocytic function-related diseases.

关键词： fluorescence lifetime imaging phagocytosis plasma membrane aggregation-induced emission near-infrared