Interplay of insurance and financial risks in a discrete-time model with strongly regular variation

Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting from investments. Its wealth process is described in a standard discrete-time model in which, during each period, the insurance risk is quantified as a real-valued random variable $X$ equal to the total amount of claims less premiums, and the financial risk as a positive random variable $Y$ equal to the reciprocal of the stochastic accumulation factor. This risk model builds an efficient platform for investigating the interplay of the two kinds of risk. We focus on the ruin probability and the tail probability of the aggregate risk amount. Assuming that every convex combination of the distributions of $X$ and $Y$ is of strongly regular variation, we derive some precise asymptotic formulas for these probabilities with both finite and infinite time horizons, all in the form of linear combinations of the tail probabilities of $X$ and $Y$. Our treatment is unified in the sense that no dominating relationship between $X$ and $Y$ is required.Comment: Published at http://dx.doi.org/10.3150/14-BEJ625 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Growth and yield of red raspberries cultivated under open field condition vs. high tunnel or rain shelter in the northern canadian climate

La culture sous abris avec des infrastructures de type grands tunnels est une nouvelle technologie permettant d’améliorer la production de framboises rouges sous des climats nordiques. L’objectif principal de ce projet de doctorat était d'étudier les performances de ces technologies (grands tunnels vs. abris parapluie de type Voen, en comparaison à la culture en plein champ) et leur effets sur le microclimat, la photosynthèse, la croissance des plantes et le rendement en fruits pour les deux types de framboisiers non-remontants et remontants (Rubus idaeus, L.). Puisque les pratiques culturales doivent être adaptées aux différents environnements de culture, la taille d'été (pour le cultivar non-remontant), l’optimisation de la densité des tiges (pour le cultivar remontant) et l’utilisation de bâches réfléchissantes (pour les deux types des framboisiers) ont été étudiées sous grands tunnels, abris Voen vs. en plein champ. Les plants cultivés sous grands tunnels produisent en moyenne 1,2 et 1,5 fois le rendement en fruits commercialisables que ceux cultivés sous abri Voen pour le cv. non-remontant ‘Jeanne d'Orléans’ et le cv. remontant ‘Polka’, respectivement. Comparativement aux framboisiers cultivés aux champs, le rendement en fruits des plants sous grands tunnels était plus du double pour le cv. ‘Jeanne d’Orléans’ et près du triple pour le cv. ‘Polka’. L’utilisation de bâches réfléchissantes a entrainé un gain significatif sur le rendement en fruits de 12% pour le cv. ‘Jeanne d’Orléans’ et de 17% pour le cv. ‘Polka’. La taille des premières ou deuxièmes pousses a significativement amélioré le rendement en fruits du cv. ‘Jeanne d'Orléans’ de 26% en moyenne par rapport aux framboisiers non taillés. Des augmentations significatives du rendement en fruits de 43% et 71% du cv. ‘Polka’ ont été mesurées avec l’accroissement de la densité à 4 et 6 tiges par pot respectivement, comparativement à deux tiges par pot. Au cours de la période de fructification du cv. ‘Jeanne d'Orléans’, les bâches réfléchissantes ont augmenté significativement la densité de flux photonique photosynthétique (DFPP) réfléchie à la canopée inférieure de 80% en plein champ et de 60% sous grands tunnels, comparativement à seulement 14% sous abri Voen. Durant la saison de fructification du cv. ‘Polka’, un effet positif de bâches sur la lumière réfléchie (jusqu’à 42%) a été mesuré seulement en plein champ. Dans tous les cas, les bâches réfléchissantes n’ont présenté aucun effet significatif sur la DFPP incidente foliaire totale et la photosynthèse. Pour le cv. ‘Jeanne d'Orléans’, la DFPP incidente sur la feuille a été atténuée d’environ 46% sous le deux types de revêtement par rapport au plein champ. Par conséquent, la photosynthèse a été réduite en moyenne de 43% sous grands tunnels et de 17% sous abris Voen. Des effets similaires ont été mesurés pour la DFPP incidente et la photosynthèse avec le cv. Polka. En dépit du taux de photosynthèse des feuilles individuelles systématiquement inférieur à ceux mesurés pour les plants cultivés aux champs, la photosynthèse de la plante entière sous grands tunnels était de 51% supérieure à celle observée au champ pour le cv. ‘Jeanne d’Orléans’, et 46% plus élevée pour le cv. ‘Polka’. Ces résultats s’expliquent par une plus grande (près du double) surface foliaire pour les plants cultivés sous tunnels, qui a compensé pour le plus faible taux de photosynthèse par unité de surface foliaire. Les températures supra-optimales des feuilles mesurées sous grands tunnels (6.6°C plus élevé en moyenne que dans le champ), ainsi que l’atténuation de la DFPP incidente (env. 43%) par les revêtements de tunnels ont contribué à réduire le taux de photosynthèse par unité de surface foliaire. La photosynthèse de la canopée entière était étroitement corrélée avec le rendement en fruits pour les deux types de framboisiers rouges cultivés sous grands tunnels ou en plein champ.Protected culture such as high tunnels is a new technology to improve red raspberry crop production under Northern climates as found in Quebec, Canada. The main objective of this Ph.D. research was to assess the performance of high tunnels vs. Voen shelters, a novel umbrella-shaped cover structure, in comparison to open field cultivation, in terms of microclimate, photosynthetic performance, plant growth, and fruit yield for both floricane- and primocane-fruiting types of red raspberries (Rubus idaeus, L.). As cultural management practices need to be tailored to the different modified growing environments, relevant practices like summer pruning (for floricane-fruiting cultivar), cane density optimization (for primocane-fruiting cultivar) and reflective mulch (for both fruiting types) were tested under high tunnel and Voen shelter vs. open field. Plants grown under high tunnel produced on average 1.2 and 1.5 times more marketable fruit yield than under Voen shelter for floricane-fruiting cv. ‘Jeanne d’Orléans’ and primocane-fruiting cv. ‘Polka’, respectively. Compared to plants grown in open field, the fruit yield of high tunnel-grown plants was more than double for cv. ‘Jeanne d’Orléans’ and almost three times higher for cv. ‘Polka’. The use of reflective mulch had a significant positive effect on fruit yield, namely 12% for cv. ‘Jeanne d’Orléans’ and 17% for cv. ‘Polka’. Pruning the first or second flush of stems from the rhizome significantly improved fruit yield of cv. ‘Jeanne d’Orléans’ by 26% on average compared to unpruned plants. As cane density increased, the fruit yield of cv. ‘Polka’ increased significantly, namely by 43% and 71% for a cane density of 4 and 6 canes per pot, respectively, as compared to the standard lower cane density of 2 canes per pot. During the fruiting period of cv. ‘Jeanne d’Orléans’, reflective ground cover significantly increased the photosynthetic photon flux density (PPFD) reflected to the lower canopy by 80% in open field and 60% under high tunnel, compared to only 14% under Voen shelter. During the fruiting season of cv. ‘Polka’, a positive reflective mulch effect on the reflected light (up to 42%) was only found in open field. In all cases, ground cover had no significant effect on the total leaf PPFD and photosynthesis under any growing conditions. For cv. ‘Jeanne d’Orléans’, the leaf PPFD was attenuated by approx. 46% under both types of protective covering compared to open field. Correspondingly, photosynthesis was on average reduced by 43% under high tunnel and by 17% under Voen shelter. Cultivar ‘Polka’ plants shared a similar growing condition effects on leaf PPFD and photosynthesis. Despite the fact that lower individual leaf photosynthetic rates were consistently measured in tunnel-grown plants, once leaf-level photosynthesis was scaled up to the whole canopy, the photosynthetic production of tunnel-grown plants was found to be 51% higher than that observed in open field for cv. ‘Jeanne d’Orléans’, and 46% higher for cv. ‘Polka’. This was explained by the greater (nearly twice) leaf area of tunnel-grown plants, which compensated for their lower photosynthetic rate per unit leaf area, the latter being caused by the supra-optimal leaf temperatures found under high tunnel (6.6°C higher on average than in open field) as well as the attenuation of the leaf PPFD (approx. 43%) by the tunnel coverings. Whole-canopy photosynthesis was positively correlated with fruit yield for both fruiting types of red raspberry, whether cultivated under high tunnel or in open field

Network Pharmacology and Traditional Chinese Medicine

Gynaecology & obstetric

Rough sets approach to symbolic value partition

AbstractIn data mining, searching for simple representations of knowledge is a very important issue. Attribute reduction, continuous attribute discretization and symbolic value partition are three preprocessing techniques which are used in this regard. This paper investigates the symbolic value partition technique, which divides each attribute domain of a data table into a family for disjoint subsets, and constructs a new data table with fewer attributes and smaller attribute domains. Specifically, we investigates the optimal symbolic value partition (OSVP) problem of supervised data, where the optimal metric is defined by the cardinality sum of new attribute domains. We propose the concept of partition reducts for this problem. An optimal partition reduct is the solution to the OSVP-problem. We develop a greedy algorithm to search for a suboptimal partition reduct, and analyze major properties of the proposed algorithm. Empirical studies on various datasets from the UCI library show that our algorithm effectively reduces the size of attribute domains. Furthermore, it assists in computing smaller rule sets with better coverage compared with the attribute reduction approach

Asymptotic Ruin Probabilities of the Renewal Model with Constant Interest Force and Regular Variation

Klüppelberg and Stadtmüller (1998, Scand. Actuar. J., no. 1, 49{58) obtained a simple asymptotic formula for the ruin probability of the classical model with constant interest force and regularly varying tailed claims. This short note extends their result to the renewal model. The proof is based on a result of Resnick and Willekens (1991, Comm. Statist. Stochastic Models 7, no. 4, 511{525)

The Finite Time Ruin Probability of the Compound Poisson Model with Constant Interest Force

In this paper we establish a simple asymptotic formula with respect to large initial surplus for thefinite time ruin probability of the compound Poisson model with constant interest force and subexponential claims. The formula is consistent with known results for the ultimate ruin probability and, in particular, it is uniform for all time horizons when the claim size distribution is regularly varying tailed

Finite and Infinite Time Ruin Probabilities in the Presence of Stochastic Returns on Investments

This paper investigates the finite and infinite time ruin probabilities in a discrete time stochastic economic environment. Under the assumption that the insurance risk - the total net loss within one time period - is extended-regularly-varying or rapidly varying tailed, various precise estimates for the ruin probabilities are derived. In particular, some estimates obtained are uniform with respect to the time horizon, hence apply for the case of infinite time ruin