Tail Asymptotics of Deflated Risks

Random deflated risk models have been considered in recent literatures. In this paper, we investigate second-order tail behavior of the deflated risk X=RS under the assumptions of second-order regular variation on the survival functions of the risk R and the deflator S. Our findings are applied to approximation of Value at Risk, estimation of small tail probability under random deflation and tail asymptotics of aggregated deflated riskComment: 2

A probabilistic model checking approach to analysing reliability, availability, and maintainability of a single satellite system

Satellites now form a core component for space based systems such as GPS and GLONAS which provide location and timing information for a variety of uses. Such satellites are designed to operate in-orbit and have lifetimes of 10 years or more. Reliability, availability and maintainability (RAM) analysis of these systems has been indispensable in the design phase of satellites in order to achieve minimum failures or to increase mean time between failures (MTBF) and thus to plan maintainability strategies, optimise reliability and maximise availability. In this paper, we present formal modelling of a single satellite and logical specification of its reliability, availability and maintainability properties. The probabilistic model checker PRISM has been used to perform automated quantitative analyses of these properties

Chiral Condensates in Quark and nuclear Matter

We present a novel treatment for calculating the in-medium quark condensates. The advantage of this approach is that one does not need to make further assumptions on the derivatives of model parameters with respect to the quark current mass. The normally accepted model-independent result in nuclear matter is naturally reproduced. The change of the quark condensate induced by interactions depends on the incompressibility of nuclear matter. When it is greater than 260 MeV, the density at which the condensate vanishes is higher than that from the linear extrapolation. For the chiral condensate in quark matter, a similar model-independent linear behavior is found at lower densities, which means that the decreasing speed of the condensate in quark matter is merely half of that in nuclear matter if the pion-nucleon sigma commutator is six times the average current mass of u and d quarks. The modification due to QCD-like interactions is found to slow the decreasing speed of the condensate, compared with the linear extrapolation.Comment: 12 pages, 7 figures, revtex4 styl

Tail asymptotic expansions for L-statistics

We derive higher-order expansions of L-statistics of independent risks X (1), aEuro broken vertical bar,X (n) under conditions on the underlying distribution function F. The new results are applied to derive the asymptotic expansions of ratios of two kinds of risk measures, stop-loss premium and excess return on capital, respectively. Several examples and a Monte Carlo simulation study show the efficiency of our novel asymptotic expansions

Modeling of censored bivariate extremal events

In this paper we consider the estimation of the coefficient of tail dependence and of small tail probability under a bivariate randomly censoring mechanism. A new class of generalized moment estimators of the coefficient of tail dependence and the estimator of small tail probability are proposed, respectively. Under the bivariate Hall-type conditions, the asymptotic distributions of these estimators are established. Monte Carlo simulations are performed and the new estimators are applied to an insurance data-set