Peng et al.in[Phys.Rev.Research,2020,2(3):033089,11 pp.]formulated one-way fluxes for a general chemical reaction far from equilibrium,with arbitrary complex mechanisms,multiple intermediates,and internal kinetic cycl...Peng et al.in[Phys.Rev.Research,2020,2(3):033089,11 pp.]formulated one-way fluxes for a general chemical reaction far from equilibrium,with arbitrary complex mechanisms,multiple intermediates,and internal kinetic cycles.They defined the limit of the ratio of mesoscopic one-way fluxes and the volume of the tank reactor when the volume tends to infinity as macroscopic one-way fluxes,but a rigorous proof of existence of the limit is still awaiting.In this article,we fill this gap under a mild hypothesis:the Markov chain associated with the chemical master equation has finite states and any two columns in the stoichiometric matrices are not identical.In fact,an explicit expression of the limit is obtained.展开更多
在普通双触发巨灾看跌期权支付结构中融入基于在险价值(value at risk,VaR)的风险比率,以体现保险公司累积巨灾赔付损失对巨灾期权行权收益的影响和保险公司的风险承受水平。首先,在金融与巨灾乘积概率空间下推导出融合风险比率巨灾看...在普通双触发巨灾看跌期权支付结构中融入基于在险价值(value at risk,VaR)的风险比率,以体现保险公司累积巨灾赔付损失对巨灾期权行权收益的影响和保险公司的风险承受水平。首先,在金融与巨灾乘积概率空间下推导出融合风险比率巨灾看跌期权的定价公式;其次,基于超阈值模型(peak over threshold,POT)模型拟合我国台风的巨灾损失分布以体现巨灾损失的厚尾性特征;最后,利用蒙特卡罗模拟方法对影响巨灾看跌期权的相关因素进行敏感性分析,并与普通巨灾期权进行比较。展开更多
基金partially supported by NSFC(Nos.11701265,11961033).
文摘Peng et al.in[Phys.Rev.Research,2020,2(3):033089,11 pp.]formulated one-way fluxes for a general chemical reaction far from equilibrium,with arbitrary complex mechanisms,multiple intermediates,and internal kinetic cycles.They defined the limit of the ratio of mesoscopic one-way fluxes and the volume of the tank reactor when the volume tends to infinity as macroscopic one-way fluxes,but a rigorous proof of existence of the limit is still awaiting.In this article,we fill this gap under a mild hypothesis:the Markov chain associated with the chemical master equation has finite states and any two columns in the stoichiometric matrices are not identical.In fact,an explicit expression of the limit is obtained.
文摘在普通双触发巨灾看跌期权支付结构中融入基于在险价值(value at risk,VaR)的风险比率,以体现保险公司累积巨灾赔付损失对巨灾期权行权收益的影响和保险公司的风险承受水平。首先,在金融与巨灾乘积概率空间下推导出融合风险比率巨灾看跌期权的定价公式;其次,基于超阈值模型(peak over threshold,POT)模型拟合我国台风的巨灾损失分布以体现巨灾损失的厚尾性特征;最后,利用蒙特卡罗模拟方法对影响巨灾看跌期权的相关因素进行敏感性分析,并与普通巨灾期权进行比较。
