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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

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

Energy-efficient spectrum-aware clustering for cognitive radio sensor networks

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Chinese Science Bulletin 2012年第28期57卷 3731-3739页

作者： ZHANG HuaZi ZHANG ZhaoYang yuen Chau Department of Information Science and Electronic Engineering Zhejiang UniversityHangzhou 310027China Zhejiang Provincial Key Laboratory of Information Network Technology Hangzhou 310027China Singapore University of Technology and Design Singapore

As a smart combination of cognitive radio networks and wireless sensor networks,recently introduced cognitive radio sensor network(CRSN) poses new challenges to the design of topology maintenance techniques for dynamic primary-user *** paper aims to provide a solution to the energy-efficient spectrum-aware CRSN clustering ***,we design the clustered structure,establish a network-wide energy consumption model and determine the optimal number of *** then employ the ideas from constrained clustering and propose both a centralized spectrum-aware clustering algorithm and a distributed spectrum-aware clustering(DSAC) *** extensive simulations,we demonstrate that DSAC can effectively form clusters under a dynamic spectrum-aware ***,DSAC exhibits preferable scalability and stability with its low complexity and quick convergence under dynamic spectrum variation.

关键词：无线传感器网络认知无线电频谱感知集群节能高效聚类问题无线电网络

Compressive strain in Cu catalysts:Enhancing generation of C2+products in electrochemical CO_(2)reduction

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Science Bulletin 2024年第18期69卷 2881-2891页

作者： Qikui Fan Pengxu Yan Fuzhu Liu Zhongshuang Xu Pengfei Liang Xi Cao Chenliang Ye Moxuan Liu Lingyi Zhao Shan Ren Huanran Miao Xiai Zhang Zhimao Yang Xiangdong Ding Jian Yang Chuncai Kong yuen Wu MOE Key Laboratory for Non-Equilibrium Synthesis and Modulation of Condensed Matter Key Laboratory for Advanced Materials and Mesoscopic Physics of Shaanxi ProvinceSchool of PhysicsXi’an Jiaotong UniversityXi’an 710049China State Key Laboratory for Mechanical Behavior of Materials Xi’an Jiaotong UniversityXi’an 710049China College of Chemistry and Materials Science Anhui Normal UniversityWuhu 241002China Department of Power Engineering North China Electric Power UniversityBeijing 102206China College of Chemistry and Chemical Engineering Xi’an University of Science and TechnologyXi’an 710054China Center for Materials and Interfaces Shenzhen Institutes of Advanced TechnologyChinese Academy of SciencesShenzhen 518055China Hefei National Laboratory for Physical Sciences at the Microscale Collaborative Innovation Center of Chemistry for Energy Materials(iChEM)School of Chemistry and Materials Scienceand National Synchrotron Radiation LaboratoryUniversity of Science and Technology of ChinaHefei 230026China

Elastic strain in Cu catalysts enhances their selectivity for the electrochemical CO_(2)reduction reaction(eCO_(2)RR),particularly toward the formation of multicarbon(C_(2+))***,the reasons for this selectivity and the effect of catalyst precursors have not yet been ***,we employed a redox strategy to induce strain on the surface of Cu *** transformation was employed to convert Cu nanocrystals to CuxO nanocrystals;these were subsequently electrochemically reduced to form Cu catalysts,while maintaining their compressive *** a flow cell configuration,a current density of 1 A/cm^(2)and Faradaic efficiency exceeding 80%were realized for the C_(2+)*** selectivity ratio of C_(2+)/C1 was also remarkable at 9.9,surpassing that observed for the Cu catalyst under tensile strain by approximately 7.6 ***-situ Raman and infrared spectroscopy revealed a decrease in the coverage of K+ion-hydrated water(K·H_(2)O)on the compressively strained Cu catalysts,consistent with molecular dynamics simulations and density functional theory *** element method simulations confirmed that reducing the coverage of coordinated K·H_(2)O water increased the probability of intermediate reactants interacting with the surface,thereby promoting efficient C–C coupling and enhancing the yield of C_(2+)*** findings provide valuable insights into targeted design strategies for Cu catalysts used in the eCO_(2)RR.

关键词： Strain effect CO_(2)electroreduction to C^(2+) Catalytic selectivity Copper catalyst Water coverage

Sodium and water perturbations in patients who had an acute stroke:clinical relevance and management strategies for the neurologist

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Stroke & Vascular Neurology 2022年第3期7卷 258-266页

作者： Kevin C J yuen Valerie Sharf Elizabeth Smith Minhwan Kim Alissya S M yuen Paul R MacDonald Departments of Neuroendocrinology and Neurosurgery Barrow Neurological InstitutePhoenixArizonaUSA University of Arizona College of Medicine and Creighton School of Medicine PhoenixArizonaUSA Department of Neurology Barrow Neurological InstitutePhoenixArizonaUSA Midwestern University GlendaleIllinoisUSA Creighton University School of Medicine PhoenixArizonaUSA University of California Davis DavisCaliforniaUSA

Sodium and water perturbations,manifesting as hyponatraemia and hypernatraemia,are common in patients who had an acute stroke,and are associated with worse outcomes and increased *** non-stroke related causes of sodium and water perturbations in these patients include underlying comorbidities and concomitant ***,hospitalised patients who had an acute stroke may receive excessive intravenous hypotonic solutions,have poor fluid intake due to impaired neurocognition and consciousness,may develop sepsis or are administered drugs(eg,mannitol);factors that can further alter serum sodium *** and water perturbations can also be exacerbated by the development of endocrine consequences after an acute stroke,including secondary adrenal insufficiency,syndrome of inappropriate antidiuretic hormone secretion and diabetes ***,COVID-19 infection has been reported to increase the risk of development of sodium and water perturbations that may further worsen the outcomes of patients who had an acute *** there are currently no accepted consensus guidelines on the management of sodium and water perturbations in patients who had an acute stroke,we conducted a systematic review of the literature published in English and in peer-reviewed journals between January 2000 and December 2020,according to PRISMA guidelines,to assess on the current knowledge and clinical practices of this *** this review,we discuss the signs and symptoms of hyponatraemia and hypernatraemia,the pathogenesis of hyponatraemia and hypernatraemia,their clinical relevance,and we provide our recommendations for effective treatment strategies for the neurologist in the management of sodium and water perturbations in commonly encountered aetiologies of patients who had an acute stroke.

关键词： patients impaired consequences

Seismic attenuation relationship with homogeneous and heterogeneous prediction-error variance models

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Earthquake Engineering and Engineering Vibration 2014年第1期13卷 1-11页

作者： He-Qing Mu Rong-Rong Xu Ka-Veng yuen Faculty of Science and Technology University of Macao

Peak ground acceleration(PGA) estimation is an important task in earthquake engineering *** of the most well-known models is the Boore-Joyner-Fumal formula,which estimates the PGA using the moment magnitude,the site-to-fault distance and the site foundation *** the present study,the complexity for this formula and the homogeneity assumption for the prediction-error variance are investigated and an effi ciency-robustness balanced formula is *** this purpose,a reduced-order Monte Carlo simulation algorithm for Bayesian model class selection is presented to obtain the most suitable predictive formula and prediction-error model for the seismic attenuation *** this approach,each model class(a predictive formula with a prediction-error model) is evaluated according to its plausibility given the *** one with the highest plausibility is robust since it possesses the optimal balance between the data fi tting capability and the sensitivity to noise.A database of strong ground motion records in the Tangshan region of China is obtained from the China Earthquake Data Center for the *** optimal predictive formula is proposed based on this *** is shown that the proposed formula with heterogeneous prediction-error variance is much simpler than the attenuation model suggested by Boore,Joyner and Fumal(1993).

关键词： Bayesian inference Boore-Joyner-Fumal formula heterogeneity variance input-dependent variance model class selection peak ground acceleration seismic attenuation

Study of the attenuation relationship for the Wenchuan M_s 8.0 earthquake

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Earthquake Engineering and Engineering Vibration 2015年第1期14卷 1-11页

作者： Sin-Chi Kuok Iok-Tong Ng Ka-Veng yuen Faculty of Science and Technology University of Macao

Prediction of peak ground acceleration is an essential element in engineering seismology and it has received great attention in last few decades. In this paper, a comprehensive database of the strong-motion records of the 2008 great Wenchuan Ms 8.0 earthquake is analyzed to investigate the seismic attenuation relationship and the directivity effects. In contrast to most existing seismic attenuation models, the proposed model considers explicitly the directivity effect which has primary influence on the magnitude of ground motion. Bayesian model updating is used to obtain the model parameters and the associated uncertainty. Comparative study is performed with the well-known Boore-Joyner-Fumal empirical formula. Results show that consideration of the directivity effect is vital in modeling the seismic attenuation relationship.

关键词： Bayesian inference Boore-Joyner-Fumal attenuation relationship directivity peak ground acceleration seismic attenuation model

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

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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

Numerical analysis of wave hazards in a harbor

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Science China Earth Sciences 2012年第9期55卷 1554-1564页

作者： JING HuiMin ZHANG Huai yuen David A SHI YaoLin College of Mechanical Engineering and Mechanics Ningbo UniversityNingbo 315211China Key Laboratory of Computational Geodynamics Chinese Academy of SciencesBeijing 100049China Department of Geology and Geophysics University of MinnesotaTwin CitiesMN 55455-0219USA Minnesota Supercomputing Institute University of MinnesotaMinneapolisMN 55455USA

Resonance may occur when the periods of incoming waves are close to the eigen-periods of harbor *** amplified waves by resonance in harbor will induce serious wave hazards to harbor structures and vehicles in *** traditional theoretical approaches,the eigen-periods of harbor basin with regular shapes can be *** our study,we proposed a numerical model to simulate the behavior characteristics of the harbor waves.A finite difference numerical model based on the shallow water equations(SWE) is developed to simulate incoming tsunami and tidal *** analyzing the time series data of water surface wave amplitude variations at selected synthetic observation locations,we estimate the wave height and arrival time in coastal ***,we use frequency spectrum analysis to investigate the natural frequencies from the data recorded at the synthetic observation stations.

关键词： numerical simulation harbor wave hazard frequency spectrum analysis