Results 111 to 120 of about 1,679 (224)

Dynamic capital allocation in general insurance

Journal of Risk and Insurance, EarlyView.
Abstract This paper provides a model for allocating capital to different insurance lines with varying development periods for a value‐maximizing insurance company. In our model, the company makes capitalization and exposure decisions considering its capital level and its relevant loss history.
Qiheng Guo, Daniel Bauer, George H. Zanjani   +2 more
wiley   +1 more source

Quadrature rules for C1 quadratic spline finite elements on the Powell–Sabin 12-split

We present quadrature rules for the space of C1 quadratic splines on triangulations refined according to the Powell–Sabin (PS) 12-split. Focusing on a single triangle, we first provide a symmetric 4-node quadrature rule with positive weights, which is ...
Eddargani S., Speleers H., Lyche T., Manni C.   +3 more
core   +1 more source

Static analysis of laminated composite curved shells and panels of revolution with a posteriori shear and normal stress recovery using Generalized Differential Quadrature method

, 2012
The Generalized Differential Quadrature (GDQ) Method is applied to study laminated composite shells and panels of revolution. The mechanical model is based on the so called First-order Shear Deformation Theory (FSDT) deduced from the three-dimensional ...
TORNABENE, FRANCESCO, LIVERANI, ALFREDO, CALIGIANA, GIANNI   +2 more
core   +1 more source

Density‐Valued ARMA Models by Spline Mixtures

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

Improved finite integration method for partial differential equations

, 2016
Based on the recently developed finite integration method (FIM) for solving one-dimensional partial differential equations by using the trapezoidal rule for numerical quadrature, we improve in this paper the FIM with an alternative extended Simpson׳s ...
Chen, CS, Tian, ZL, Li, M, Wen, PH, Hon, YC   +4 more
core   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

The Optimal Mean–Variance Selling Problem With Finite Horizon

Mathematical Finance, EarlyView.
ABSTRACT The optimal mean–variance selling problem seeks to determine a dynamically optimal stopping time in the nonlinear problem sup0≤τ≤TE(Xτ)−cVar(Xτ)$\sup _{0 \le \tau \le T} \left[ \mathsf {E}\,\!(X_\tau) - c\, \mathsf {V}ar\,\!(X_\tau) \right]$, where X$X$ is a geometric Brownian motion with strictly positive drift, the supremum is taken over ...
Peter Johnson, Jesper Lund Pedersen, Goran Peskir   +2 more
wiley   +1 more source

A finite-volume method based on compact local integrated radial basis function approximations for second-order differential problems

, 2013
In this paper, compact local integrated radial basis function (IRBF) stencils reported in [Mai-Duy and Tran-Cong (2011) Journal of Computational Physics 230(12), 4772-4794] are introduced into the finite-volume / subregion - collocation formulation for ...
Hoang-Trieu, T.-T., Mai-Duy, N., N. Mai-Duy, C.-D. Tran, T. Tran-Cong, Tran-Cong, T., T.-T. Hoang-Trieu, Tran, C.-D.   +7 more
core   +1 more source

Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach

Mathematical Finance, EarlyView.
ABSTRACT Stochastic versions of recursive integrated climate‐economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving these models via deterministic grid‐based dynamic programming (e.g., value‐function iteration/projection ...
Aleksandar Arandjelović, Pavel V. Shevchenko, Tomoko Matsui, Daisuke Murakami, Tor A. Myrvoll   +4 more
wiley   +1 more source

Root Structural and Metabolic Plasticity Confers Tolerance to Salinity in Wild Barley Species Grown Under Waterlogging

Plant, Cell &Environment, EarlyView.
ABSTRACT Salinity combined with waterlogging is a major abiotic stress that severely limits crop growth and yield. We investigated species‐specific adaptations to salinity under constant waterlogging conditions in the wild halophytic barleys Hordeum marinum and H. glaucum, compared with the cultivated H. vulgare.
Stanislav Isayenkov, Ljudmilla Borisjuk, Simon Mayer, Alexander Hilo, Dominic Knoch, Tobias Meitzel, Bettina Hause, Yudelsy Antonia Tandron Moya, Hardy Rolletschek, Edgar Peiter, Volodymyr Radchuk   +10 more
wiley   +1 more source