A teoria da ruína aplicada em um modelo de empresa financeira com risco de crédito

In this work we study a new risk model for a firm which is sensitive to its credit quality, proposed by Yang(2003): Are obtained recursive equations for finite time ruin probability and distribution of ruin time and Volterra type integral equation systems for ultimate ruin probability, severity of ruin and distribution of surplus before and after ruin

Teoria da Ruína em um Modelo de Markov com dois Estados

In this work, we present a risk theory application in the following scenario: In each period of time we have a change in the capital of the ensurance company and the outcome of a two-state Markov chain stabilishs if the company pays a benece it heat to one of its policyholders or it receives a Hightimes c > 0 paid by someone buying a new policy. At the end we will determine once again by the recursive equation for expectation the time ruin for this company

Análise exergoeconômica de ciclo de refrigeração por compressão de vapor

Pós-graduação em Engenharia Mecânica - FEG

An Ensemble Kushner-Stratonovich-Poisson Filter for Recursive Estimation in Nonlinear Dynamical Systems

We propose a Monte Carlo filter for recursive estimation of diffusive processes that modulate the instantaneous rates of Poisson measurements. A key aspect is the additive update, through a gain-like correction term, empirically approximated from the innovation integral in the time-discretized Kushner-Stratonovich equation. The additive filter-update scheme eliminates the problem of particle collapse encountered in many conventional particle filters. Through a few numerical demonstrations, the versatility of the proposed filter is brought forth.

Calculating the equation of state parameters and predicting the spinodal curve of isotactic polypropylene/poly(ethylene-co-octene) blend by molecular dynamics simulations combined with Sanchez-Lacombe lattice fluid theory

Molecular dynamics simulations are adopted to calculate the equation of state characteristic parameters P*, rho*, and T* of isotactic polypropylene (iPP) and poly(ethylene-co-octene) (PEOC), which can be further used in the Sanchez-Lacombe lattice fluid theory (SLLFT) to describe the respective physical properties. The calculated T* is a function of the temperature, which was also found in the literature. To solve this problem, we propose a Boltzmann fitting of the data and obtain T* at the high-temperature limit. With these characteristic parameters, the pressure-volume-temperature (PVT) data of iPP and PEOC are predicted by the SLLFT equation of state. To justify the correctness of our results, we also obtain the PVT data for iPP and PEOC by experiments. Good agreement is found between the two sets of data. By integrating the Euler-Lagrange equation and the Cahn-Hilliard relation, we predict the density profiles and the surface tensions for iPP and PEOC, respectively. Furthermore, a recursive method is proposed to obtain the characteristic interaction energy parameter between iPP and PEOC. This method, which does not require fitting to the experimental phase equilibrium data, suggests an alternative way to predict the phase diagrams that are not easily obtained in experiments.

Global attractivity in a recursive sequence

In this paper, we Study the invariant intervals, the globally attractivity of the two equilibrium points, and the oscillatory behavior of tile solutions of the difference equation x(n =) ax(n-1) - bx(n-2)/c + x(n-2), n = 1,2,......, where a, b. c > 0. (C) 2003 Elsevier Inc. All rights reserved.

Global asymptotic stability in a rational recursive sequence

In this paper, we study the global stability of the difference equation x(n) = a + bx(n-1) + cx(n-1)(2)/d - x(n-2), n = 1,2,....., where a, b greater than or equal to 0 and c, d > 0. We show that one nonnegative equilibrium point of the equation is a global attractor with a basin that is determined by the parameters, and every positive Solution of the equation in the basin exponentially converges to the attractor. (C) 2003 Elsevier Inc. All rights reserved.

On the recursive sequence Xn = axn-1+bxn-2/c+dxn-1xn-2

In this Paper, we study the invariant intervals, the global attractivity of the equilibrium points, and the asymptotic behavior of the solutions of the difference equation x(n) = ax(n-1) + bx(n-2) / c + dx(n-1)x(n-2), n =1, 2, ..., where a greater than or equal to 0, b, c, d > 0. (C) 2004 Elsevier Inc. All rights reserved.

Representing "Recursive" Default Logic in Modal Logic

The "recursive" definition of Default Logic is shown to be representable in a monotonic Modal Quantificational Logic whose modal laws are stronger than S5. Specifically, it is proven that a set of sentences of First Order Logic is a fixed-point of the "recursive" fixed-point equation of Default Logic with an initial set of axioms and defaults if and only if the meaning of the fixed-point is logically equivalent to a particular modal functor of the meanings of that initial set of sentences and of the sentences in those defaults. This is important because the modal representation allows the use of powerful automatic deduction systems for Modal Logic and because unlike the original "recursive" definition of Default Logic, it is easily generalized to the case where quantified variables may be shared across the scope of the components of the defaults.

A Recursive Income Model for Canadians : The Direct and Indirect Effects of Family Background (Working Paper 28)

This paper presents the results of a multi-equation income model which has been estimated for Canadian men and women which incorporates the effects of a number of important family background variables, including mother’s and father’s education, parents’ immigration status, their age at immigration, place of birth, language development, and learning background. Not only education, but also the individual’s tested literacy and numeracy levels are treated as intermediate outcomes which are affected by background and which, in turn, affect income. Many of the background variables are found to have important indirect effects on income which would be missed by more conventional approaches. We also find some interesting gender aspects with respect to the influences of parents’ educations on their children’s outcomes. Various policy implications of the findings are discussed.

Detailed analysis of a conservative difference approximation for the time fractional diffusion equation

Diffusion equations that use time fractional derivatives are attractive because they describe a wealth of problems involving non-Markovian Random walks. The time fractional diffusion equation (TFDE) is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order α ∈ (0, 1). Developing numerical methods for solving fractional partial differential equations is a new research field and the theoretical analysis of the numerical methods associated with them is not fully developed. In this paper an explicit conservative difference approximation (ECDA) for TFDE is proposed. We give a detailed analysis for this ECDA and generate discrete models of random walk suitable for simulating random variables whose spatial probability density evolves in time according to this fractional diffusion equation. The stability and convergence of the ECDA for TFDE in a bounded domain are discussed. Finally, some numerical examples are presented to show the application of the present technique.

Exploring first-year academic achievement through structural equation modelling

The purpose of this research was to develop and test a multicausal model of the individual characteristics associated with academic success in first-year Australian university students. This model comprised the constructs of: previous academic performance, achievement motivation, self-regulatory learning strategies, and personality traits, with end-of-semester grades the dependent variable of interest. The study involved the distribution of a questionnaire, which assessed motivation, self-regulatory learning strategies and personality traits, to 1193 students at the start of their first year at university. Students' academic records were accessed at the end of their first year of study to ascertain their first and second semester grades. This study established that previous high academic performance, use of self-regulatory learning strategies, and being introverted and agreeable, were indicators of academic success in the first semester of university study. Achievement motivation and the personality trait of conscientiousness were indirectly related to first semester grades, through the influence they had on the students' use of self-regulatory learning strategies. First semester grades were predictive of second semester grades. This research provides valuable information for both educators and students about the factors intrinsic to the individual that are associated with successful performance in the first year at university.