This paper surveys models and statistical properties of random systems of hard particles. Such systems appear frequently in materials science, biology and elsewhere. In mathematical-statistical investigations, simulat...This paper surveys models and statistical properties of random systems of hard particles. Such systems appear frequently in materials science, biology and elsewhere. In mathematical-statistical investigations, simulations of such structures play an important role. In these simulations various methods and models are applied, namely the RSA model, sedimentation and collective rearrangement algorithms, molecular dynamics, and Monte Carlo methods such as the Metropolis-Hastings algorithm. The statistical description of real and simulated particle systems uses ideas of the mathematical theories of random sets and point processes. This leads to characteristics such as volume fraction or porosity, covariance, contact distribution functions, specific connectivity number from the random set approach and intensity, pair correlation function and mark correlation functions from the point process approach. Some of them can be determined stereologically using planar sections, while others can only be obtained using three-dimensional data and 3D image analysis. They are valuable tools for fitting models to empirical data and, consequently, for understanding various materials, biological structures, porous media and other practically important spatial structures.展开更多
Banking institutions all over the world face significant challenge due to the cumulative loss due to defaults of borrowers of different types of loans. The cumulative default loss built up over a period of time could ...Banking institutions all over the world face significant challenge due to the cumulative loss due to defaults of borrowers of different types of loans. The cumulative default loss built up over a period of time could wipe out the capital cushion of the banks. The aim of this paper is to help the banks to forecast the cumulative loss and its volatility. Defaulting amounts are random and defaults occur at random instants of time. A non Markovian time dependent random point process is used to model the cumulative loss. The expected loss and volatility are evaluated analytically. They are functions of probability of default, probability of loss amount, recovery rate and time. Probability of default being the important contributor is evaluated using Hidden Markov modeling. Numerical results obtained validate the model.展开更多
文摘This paper surveys models and statistical properties of random systems of hard particles. Such systems appear frequently in materials science, biology and elsewhere. In mathematical-statistical investigations, simulations of such structures play an important role. In these simulations various methods and models are applied, namely the RSA model, sedimentation and collective rearrangement algorithms, molecular dynamics, and Monte Carlo methods such as the Metropolis-Hastings algorithm. The statistical description of real and simulated particle systems uses ideas of the mathematical theories of random sets and point processes. This leads to characteristics such as volume fraction or porosity, covariance, contact distribution functions, specific connectivity number from the random set approach and intensity, pair correlation function and mark correlation functions from the point process approach. Some of them can be determined stereologically using planar sections, while others can only be obtained using three-dimensional data and 3D image analysis. They are valuable tools for fitting models to empirical data and, consequently, for understanding various materials, biological structures, porous media and other practically important spatial structures.
文摘Banking institutions all over the world face significant challenge due to the cumulative loss due to defaults of borrowers of different types of loans. The cumulative default loss built up over a period of time could wipe out the capital cushion of the banks. The aim of this paper is to help the banks to forecast the cumulative loss and its volatility. Defaulting amounts are random and defaults occur at random instants of time. A non Markovian time dependent random point process is used to model the cumulative loss. The expected loss and volatility are evaluated analytically. They are functions of probability of default, probability of loss amount, recovery rate and time. Probability of default being the important contributor is evaluated using Hidden Markov modeling. Numerical results obtained validate the model.
