查看更多>>摘要：The Liu-type estimator has been consistently demonstrated to be an attractive shrinkage method to reduce the effect of multicollinearity problem. It is known that multicollinear-ity affects the variance of the maximum likelihood estimator negatively in gamma regression model. Therefore, an almost unbiased Liu-type estimator together with a modified version of it is proposed to overcome the multicollinearity problem. The performance of the new estimators is investigated both theoretically and numerically via a Monte Carlo simulation experiment and a real data illustration. Based on the results, it is observed that the proposed estimators can bring significant improvement relative to other competitor estimators. (c) 2021 Elsevier B.V. All rights reserved.
查看更多>>摘要：We survey some polynomials {P-n} arising from convergence acceleration, and numerical integration, that satisfy "biorthogonality" conditions such as integral(b)(a) P-n (x) phi(j) (x) w (x) dx = 0, for appropriate functions {phi(j)} and weights w. One example is phi(j) (x) = (log x)(j) , 0 <= j <= n - 1 on [a, b] = [0, 1]. We discuss identities, asymptotics, positive quadratures, and zero distributions. We also list some open questions. (c) 2021 Elsevier B.V. All rights reserved.
查看更多>>摘要：This foreword to the Virtual Special Issue dedicated to Luc Wuytack contains some historical information related to the founding of Journal CAM as well as to Luc's memory. It also serves as a preface to the collection of articles that have been selected to exemplify the field to which Luc devoted his career and around which the development of the journal CAM started. (c) 2021 Elsevier B.V. All rights reserved.
查看更多>>摘要：Suppose that a system is affected by a sequence of shocks that occur randomly over time, and delta(1), delta(2), eta(1) and eta(2) are critical levels such that 0 < delta(1) < delta(2) and 0 < eta(1) < eta(2). In this paper, a new mixed delta-shock model is introduced for which the system fails with a probability, say theta(1), when the time between two consecutive shocks is lying in [delta(1), delta(2)], and the system fails with a probability, say theta(2), when the magnitude of a shock is lying in [eta(1), eta(2)]. The system fails with probability 1, as soon as the interarrival time between two successive shocks is less than delta(1) or a shock with magnitude greater than eta(2) occurs. The corresponding survival function is derived under two scenarios of independence and dependence between the interarrival times and the magnitude of shocks. The first and second moments are also derived. To illustrate the behavior of the system's lifetime, a simulation study is also conducted. (c) 2021 Elsevier B.V. All rights reserved.
查看更多>>摘要：A time-consistent evaluation is a dynamic pricing method according to which a risk that will be almost surely cheaper than another one at a future date should already be cheaper today. Common actuarial pricing approaches are usually not time-consistent. Pelsser and Ghalehjooghi (2016) derived time-consistent valuation principles from time inconsistent ones. The aim of this paper is twofold. Firstly, we propose a model for credit insurance portfolios taking into account the contagion risk via self-exciting jump processes. Secondly, we extend the approach of Pelsser and Ghalehjooghi to credit insurance in this framework. Starting from classical time-inconsistent actuarial pricing methods, we derive partial integro-differential equations (PIDE) for their time consistent counterparts. We discuss numerical methods for solving these PIDEs and their results. We draw two conclusions from these results. On the one hand, we show that time-consistent evaluations tend to give higher prices, compared to time-inconsistent evaluations. On the other hand, our results show that the time-consistency of evaluations allows to better take into account the risk of contagion in credit insurance, if such a risk exists. Finally, we propose a method to calibrate our model and use it in practice. (c) 2021 Elsevier B.V. All rights reserved.
查看更多>>摘要：The pattern (k(1), k(2), ... , k(l)) is defined to have at least k(1) consecutive 1's followed by at least k(2) consecutive 2's, ... , followed by at least k(l) consecutive l's. By iteratively applying the method that was developed previously to decouple the combinatorial complexity involved in studying complicated patterns in random sequences, the distribution of pattern (k(1), k(2), ... , k(l)) is derived for arbitrary e. Numerical examples are provided to illustrate the results. (c) 2021 Elsevier B.V. All rights reserved.
查看更多>>摘要：Following the philosophy of the block Kaczmarz methods, we propose a randomized block Kaczmarz method with the blocks determined by the k-means clustering (RBK(k)). It can be considered as an efficient variant of the relaxed greedy randomized Kaczmarz algorithm by using a practical probability criterion for selecting the working block submatrix per iteration. The new algorithm is proved to be convergent when the linear system is consistent. A practical variant of the new method is also given. Some numerical examples are given to verify the effectiveness of the proposed methods. (c) 2021 Elsevier B.V. All rights reserved.
Rashidi, SaeedeHejazi, S. RezaMohammadizadeh, Fatemeh
30页
查看更多>>摘要：The topic of the present paper concentrates on a systematic investigation of Lie group analysis of non-linear time-fractional Black-Scholes equation including numerical approximations. Lie point symmetries of the equation are found via Riemann-Liouville derivative with four different volatility models. Also the invariant solutions as a kind of exact solutions are constructed by a useful explained method. Conservation laws for the intended equation are derived by using a modified version of Noether's theorem. A numerical simulation by Chebyshev pseudo-spectral (CPS) method is computed for the equation. Approximate solutions together with their absolute errors are found and the graphs of solutions are plotted by the action of order of derivative alpha. (C) 2021 Elsevier B.V. All rights reserved.
Bortoloti, M. A. A.Fernandes, T. A.Ferreira, O. P.
15页
查看更多>>摘要：We propose a new globalization strategy of the damped Newton method for finding singularities of a vector field on Riemannian manifolds. We establish its global convergence with a superlinear rate. In particular, this globalization generalizes the known damped Newton's method for general retraction. The global convergence analysis presented here does not require any hypothesis regarding a singularity of the vector field. We applied the proposed method to solve the truncated singular value problem on the product of two Stiefel manifolds, the dextrous hand grasping problem and an academic problem on the cone of symmetric positive definite matrices, the Rayleigh quotient and a problem of finding zeros of a non-conservative vector field on the sphere. Numerical experiments are presented, showing that the proposed algorithm is more robust than the known damped Newton's method. Published by Elsevier B.V.
查看更多>>摘要：Domain Decomposition Methods are a set of strategies to realize simulations splitting the whole domain into smaller parts, analyzing each one of them separately on dif-ferent processors and exchanging information between subdomains. The mixed domain decomposition approach depends on a specific parameter called search direction, which allows communicating subdomains. Previously studies suggest some approximations for this sensitive parameter, but in the great majority, only the short-range contributions are taken into account. In the present work, a new expression for the search direction called two-scale impedance is implemented in 3 different simple structures composed of beams, which present local buckling and post-buckling, generating geometrical nonlinearities on their behaviors. The aim is to test the efficiency of this new expression in structures with this kind of nonlinearities, catching the advantages and disadvantages that the use of the two-scale impedance may lead, all this in order to project its real applicability at an industrial level. (c) 2021 Elsevier B.V. All rights reserved.
NSTL
Elsevier