索赔离散到达的风险模型

讨论了索赔到达时间和索赔额均服从几何分布的风险模型 ,利用逐段决定马尔可夫骨架过程的广义生成算子去构造有关盈余过程的鞅 ,精确求解了模型的破产概率     

导弹飞行时安全系统保险失效时间的分布模型

根据安全系统在导弹飞行过程中受外界环境信息的冲击而解除保险这一物理过程,推断了安全系统的保险失效时间服从截尾Ｇａｍ ｍ ａ 分布模型,并讨论了在保险失效建模和评估等统计过程中非常有用的截尾Ｇａｍ ｍ ａ 分布的一些特性。     

备件需求过程的MAP数据拟合算法研究

为了将备件需求过程表示为马尔可夫到达过程(Markovian arrival process, MAP)形式,设计了备件需求到达流的MAP拟合算法.首先,采用EM算法将备件需求到达间隔时间拟合成Hyper-Erlang分布形式,然后利用MAP性质和Bayes公式推导出生成元矩阵的计算公式;随后设计了一个完整的数据拟合流程,并通过实例对算法的效果和效率与已有研究进行了对比.结果表明,该算法在确保拟合效果的同时,能够有效提升拟合效率.     

基于蒙特卡洛法的火灾情况下人员预期死亡风险评估

目前通用的火灾风险评估方法一般难以同时对火灾风险进行定量和动态的分析,单一地基于火灾的确定性规律来进行风险评估存在一定的不准确性。科学地预测人员火灾风险是选取合理的火灾安全设计方案的基础。对人员火灾风险评估方法进行研究,分析了火灾探测时间、预动作时间、疏散运动时间的不确定性及分布规律;通过蒙特卡洛模拟,从理论上解决了求整体安全疏散时间分布的问题。最后,通过整体安全疏散时间分布的统计学意义,建立了求解火灾发生时预期死亡人数的方法。     

火灾风险评价的随机过程模型

本文运用事故树分析法和随机过程的马尔克夫模型,建立了评价火灾风险的动态模型。运用该模型能计算某系统特定地点起火后火灾损失风险概率的时间分布,为消防设计和消防管理提供参考。     

混合排队规则的战术装备维修保障系统分析

首先将战术装备维修保障过程描述为M/M/c/k混合规则的排队过程,其损坏装备到达服从相互独立的泊松分布,维修时间服从相互独立的指数分布。同时考虑系统的到达率和维修率随系统中装备数量的变化,重要战损装备等待维修时的不耐烦性以及重要装备对一般装备的强占性优先权情况,结合战术装备维修保障系统的结构和规模,建立战术装备维修保障M/M/3/12排队模型。列出模型的平衡方程,采用矩阵的分析方法得到重要装备和一般装备的稳态分布表达式,并以队长为指标进行了系统性能的计算。     

略论军人补充保险的设计

军人保险作为弥补军人职业风险及其连带风险的重要经济手段,需要随社会发展不断进行改革和深化。为补偿军人职业特殊风险,确保军人生活待遇,完善军人保险体系,提高军人保险运行效益,建立和发展由军人人寿保险、多层次军人医疗补充保险、军人职业年金和其他补充保险组成的军人补充保险体系十分必要。同时,还应遵循军人补充保险设计的基本原则,注重研究和解决军人补充保险实施中的相关问题。     

具有随机寿命的二维期权定价

由于期权合约在到期日之前可能被终止及标的资产的价格可能会因重大信息的到达而发生跳跃 ,文中在假设合约被终止的风险与重大信息导致的价格跳跃风险皆为非系统的风险情况下 ,应用无套利资本资产定价及Feynman kac公式 ,首先研究了标的资产服从连续扩散过程和跳—扩散过程具有随机寿命的交换期权定价 ,得到相应的定价公式 ;然后 ,研究了标的资产服从跳—扩散过程及利率随机变化具有随机寿命的期权定价 ,得到相应的定价公式     

面向试验过程的发射场地面设备风险分析方法

针对现有风险分析方法无法较好地描述风险在系统运行过程中的分布情况,提出了面向试验过程的风险分析方法。该方法能够对系统进行全面的描述,并可以给出系统的风险事件分布。在风险识别阶段使用风险分布图和风险事件分析表,使分析人员更容易掌握系统风险分布的全局和细节,最大限度避免风险事件遗漏;在风险管理阶段使用风险分布图,将风险事件与试验过程或作业环节相联系,可以使管理人员和作业人员直观了解系统中风险存在的位置和形式,更有利于风险的控制。该方法使风险分析更接近于试验任务过程实际,更容易为工程技术人员所掌握。     

浅析军人保险基金运营效益的提高

为提高军人保险基金运营效益,应当构建新型的军人保险基金运营模式,适当拓展军人保险基金运营范围,强化军人保险基金运营风险监管,科学评估军人保险基金运营效益。     

On competitive analysis for polling systems

Polling systems have been widely studied, however most of these studies focus on polling systems with renewal processes for arrivals and random variables for service times. There is a need driven by practical applications to study polling systems with arbitrary arrivals (not restricted to time-varying or in batches) and revealed service time upon a job's arrival. To address that need, our work considers a polling system with generic setting and for the first time provides the worst-case analysis for online scheduling policies in this system. We provide conditions for the existence of constant competitive ratios, and competitive lower bounds for general scheduling policies in polling systems. Our work also bridges the queueing and scheduling communities by proving the competitive ratios for several well-studied policies in the queueing literature, such as cyclic policies with exhaustive, gated or l-limited service disciplines for polling systems.     

线性相依风险下的超额赔款再保险

本文从保险人的角度研究对两类相依风险的超额赔款再保险的最优自留额问题。考虑指数效用函数的货币期望效用原则和自留累积损失的调节系数原则，得到关于这两个问题的最优解的方程。     

Workload distribution of discrete‐time parallel queues with two servers

We study discrete‐time, parallel queues with two identical servers. Customers arrive randomly at the system and join the queue with the shortest workload that is defined as the total service time required for the server to complete all the customers in the queue. The arrivals are assumed to follow a geometric distribution and the service times are assumed to have a general distribution. It is a no‐jockeying queue. The two‐dimensional state space is truncated into a banded array. The resulting modified queue is studied using the method of probability generating function (pgf) The workload distribution in steady state is obtained in form of pgf. A special case where the service time is a deterministic constant is further investigated. Numerical examples are illustrated. © 2000 John Wiley & Sons, Inc. Naval Research Logistics 47: 440–454, 2000     

A heterogeneous arrival and service queueing loss model

Consider a single-server exponential queueing loss system in which the arrival and service rates alternate between the paris (γ₁, γ₁), and (γ₂, μ₂), spending an exponential amount of time with rate cμ_i in (γ_i, μ_i), i = 1.2. It is shown that if all arrivals finding the server busy are lost, then the percentage of arrivals lost is a decreasing function of c. This is in line with a general conjecture of Ross to the effect that the “more nonstationary” a Poisson arrival process is, the greater the average customer delay (in infinite capacity models) or the greater the precentage of lost customers (in finite capacity models). We also study the limiting cases when c approaches 0 or infinity.     

An approximation for the waiting time distribution in single server queues

Single server queues with general interarrival and service times are approximated by queues with two-point (Bernoulli) interarrival times and exponential service times. The parameters are chosen such that the first four moments of the difference of the service times and interarrival times in the approximating system equal those of the original system. The aptness of the approximation is discussed and some examples are presented comparing the exact and approximate waiting time distributions. A more complicated approximation is presented using the dual system (exponential arrivals, Bernoulli service) for those cases where the original approximation cannot be used.     

基于火灾风险评估的商场保险费率厘定研究

结合火灾公众责任保险的推广,从火灾风险评估和火灾保险费率厘定两个方面入手,通过专家打分,采用层次分析法对火灾风险进行半定量评估,得到了商场建筑火灾风险评估的指标体系。然后,提出基于神经网络的火灾保险与保险费率的对应机理,得到指标权重与费率对应关系,进而通过某商场投保实例验证此方法的可行性和合理性。     

Stochastic control of queueing systems

Suppose that the state of a queueing system is described by a Markov process { Y_t, t ≥ 0}, and the profit from operating it up to a time t is given by the function f(Y_t). We operate the system up to a time T, where the random variable T is a stopping time for the process Yt. Optimal stochastic control is achieved by choosing the stopping time T that maximizes Ef(Y_T) over a given class of stopping times. In this paper a theory of stochastic control is developed for a single server queue with Poisson arrivals and general service times.     

火灾风险与保险调控初探

分析了国外保险与消防之间的相互关系和合作经验,简述了我国保险和消防存在合作的相互需要,探讨了运用保险调控火灾风险的措施。     

Note: On the two‐machine no‐idle flowshop problem

In this short note we study a two‐machine flowshop scheduling problem with the additional no‐idle feasibility constraint and the total completion time criterion function. We show that one of the few papers which deal with this special problem contains incorrect claims and suggest a way how these claims can be rectified. © 2000 John Wiley & Sons, Inc. Naval Research Logistics 47:353–358, 2000