We consider the optimal proportional reinsurance from an insurer’s point of view to maximize the expected utility and minimize the value at risk. Under the general premium principle, we prove the existence and uniqueness of the optimal strategies and Pareto optimal solution, and give the relationship between the optimal strategies. Furthermore, we study the optimization problem with the variance premium principle. When the total claim sizes are normally distributed, explicit expressions for the optimal strategies and Pareto optimal solution are obtained. Finally, some numerical examples are presented to show the impact of the major model parameters on the optimal results.

We consider an initial–boundary value problem that involves a partial differential equation with a functional term. The problem is motivated by a cell division model for size structured cell cohorts in which growth and division occur. Although much is known about the large time asymptotic behaviour of solutions to these problems for constant growth rates, general solution techniques are rare. We analyse the case where the growth rate is linear and the division rate is a monomial, and we develop a method to determine the general solution for a general class of initial data. The large time dynamics of solutions for this case are significantly different from the constant growth rate case. We show that solutions approach a time-dependent attracting solution that is periodic in the time variable.

This paper investigates the effect of heat transfer on the motion of a spherical bubble in the vicinity of a rigid boundary. The effects of heat transfer between the bubble and the surrounding fluid, and the resulting loss of energy from the bubble, can be incorporated into the simple spherical bubble model with the addition of a single extra ordinary differential equation. The numerical results show that for a bubble close to an infiniterigid boundary there are significant differences in both the radius and Kelvin impulse of the bubble when the heat transfer effects are included.

In this paper various wave motions in water of infinite depth containing vertical porous boundaries are determined when the water is of infinite extent on one or both sides. Initially surface tension is ignored and simple solutions for incident waves are obtained before going on to harder wave source and wave-maker solutions. A reduction method is developed to obtain solutions for two-sided boundaries from those for one-sided, which are obtained by standard techniques. The effect of surface tension that precludes simple solutions is also considered, although a present lack of information on dynamical edge behaviour for porous boundaries means that the formal mathematical solutions must be left in terms of arbitrary edge constants. In conclusion, some solutions are noted for finite depth.

We consider a free-surface flow due to a source submerged in a fluid of infinite depth. It is assumed that there is a stagnation point on the free surface just above the source. The free-surface condition is linearized around the rigid-lid solution, and the resulting equations are solved numerically by a series truncation method with a nonuniform distribution of collocation points. Solutions are presented for various values of the Froude number. It is shown that for sufficiently large values of the Froude number, there is a train of waves on the free surface. The wavelength of these waves decreases as the distance from the source increases.

A thin, partially insulating circular rug is placed on a uniform half space up through which a steady heat flow passes. The corresponding dual integral equations are solved using Tranter's method, finite Legendre transforms and Mellin-Bames contour integrals. An untabulated Bessel (or Stieltjes) transform similar to the discontinuous WeberSchafheitlin integral is evaluated, and a simple expression derived for the rug's surface temperature.

The aim of this paper is to find a concrete bound for the error involved when approximating the nth Hermite function (in the oscillating range) by an asymptotic formula due to D. Dominici. This bound is then used to study the accuracy of certain approximations to Hermite expansions and to Fourier transforms. A way of estimating an unknown probability density is proposed.

It is shown that barrier functions applied to the dual linear program can be modified to give multiplier estimates that converge to the solution of the primal problem. Newton's method is considered for implementing this approach and numerical results presented. It has been shown that there is a connection between these methods and Karmarkar's algorithm, but for the class of problems considered further improvements are still required before those methods become competitive with active set methods.

A second-order in time finite-difference scheme using a modified predictor–corrector method is proposed for the numerical solution of the generalized Burgers–Fisher equation. The method introduced, which, in contrast to the classical predictor–corrector method is direct and uses updated values for the evaluation of the components of the unknown vector, is also analysed for stability. Its efficiency is tested for a single-kink wave by comparing experimental results with others selected from the available literature. Moreover, comparisons with the classical method and relevant analogous modified methods are given. Finally, the behaviour and physical meaning of the two-kink wave arising from the collision of two single-kink waves are examined.

The error analysis of an algorithm for generating an approximation of degree n − 1 to an nth degree Bézier curve is presented. The algorithm is based on observations of the geometric properties of Bézier curves which allow the development of detailed error analysis. By combining subdivision with a degree reduction algorithm, a piecewise approximation can be generated, which is within some preset error tolerance of the original curve. The number of subdivisions required can be determined a priori and a piecewise approximation of degree m can be generated by iterating the scheme.

If a constrained minimization problem, under Lipschitz or uniformly continuous hypotheses on the functions, has a strict local minimum, then a small perturbation of the functions leads to a minimum of the perturbed problem, close to the unperturbed minimum. Conditions are given for the perturbed minimum point to be a Lipschitz function of a perturbation parameter. This is used to study convergence rate for a problem of continuous programming, when the variable is approximated by step-functions. Similar conclusions apply to computation of optimal control problems, approximating the control function by step-functions.

An initial-boundary value problem for a time-fractional diffusion equation is discretized in space, using continuous piecewise-linear finite elements on a domain with a re-entrant corner. Known error bounds for the case of a convex domain break down, because the associated Poisson equation is no longer $H^{2}$-regular. In particular, the method is no longer second-order accurate if quasi-uniform triangulations are used. We prove that a suitable local mesh refinement about the re-entrant corner restores second-order convergence. In this way, we generalize known results for the classical heat equation.

Geometric programming is now a well-established branch of optimization theory which has its origin in the analysis of posynomial programs. Geometric programming transforms a mathematical program with nonlinear objective function and nonlinear inequality constraints into a dual problem with nonlinear objective function and linear constraints. Although the dual problem is potentially simpler to solve, there are certain computational difficulties to be overcome. The gradient of the dual objective function is not defined for components whose values are zero. Moreover, certain dual variables may be constrained to be zero (geometric programming degeneracy).

To resolve these problems, a means to find a solution in the relative interior of a set of linear equalities and inequalities is developed. It is then applied to the analysis of dual geometric programs.

The interaction of a number of self-heating bodies depositing heat into a common finite heat bath and thereby influencing each other is a problem of great practical importance in many areas including storage and transport of self-heating materials, drums of chemicals, foodstuffs etc. Critical conditions for the complete assembly of interacting heat producers (thermons) are derived under various assumptions and modes of ignition are identified. These include cooperative modes as well as modes which are simply perturbations of ignition for single thermons.

This paper analyses the steady-state operation of a generalized bioreactor model that encompasses a continuous-flow bioreactor and an idealized continuous-flow membrane bioreactor as limiting cases. A biodegradation of organic materials is modelled using Contois growth kinetics. The bioreactor performance is analysed by finding the steady-state solutions of the model and determining their stability as a function of the dimensionless residence time. We show that an effective recycle parameter improves the performance of the bioreactor at moderate values of the dimensionless residence time. However, at sufficiently large values of the dimensionless residence time, the performance of the bioreactor is independent of the recycle ratio.

We propose a new Adomian decomposition method (ADM) using an integrating factor for the Emden–Fowler equation. With this method, we are able to solve certain Emden–Fowler equations for which the traditional ADM fails. Numerical results obtained from testing our linear and nonlinear models are far more reliable and efficient than those from existing methods. We also present a complete error analysis and a convergence criterion for this method. One drawback of the traditional ADM is that the interval of convergence of the Adomian truncated series is very small. Some techniques, such as Pade approximants, can enlarge this interval, but they are too complicated. Here, we use a continuation technique to extend our method to a larger interval.

By means of piecewise continuous vector functions, which are analogues of the classical Lyapunov functions and via the comparison method, sufficient conditions are found for conditional, stability of the zero solution of a system of impulsive differential-difference equations.

In this paper a control problem with a cost functional depending on the number of switchings and on the speed of alterations of control is considered. Necessary conditions for the existence of an optimal solution are given.

For diffusion problems, the boundary conditions are specified at two distinct points, yielding a two end-point boundary value problem which normally requires iterative techniques. For spherical geometry, it is possible to specify the boundary conditions at the same points, approximately, by using an optimization principle for arbitrary diffusivity. When the diffusivity obeys a power or an exponential law, a first integral exists and iteration can be avoided. For those two exact cases, it is shown that the general optimization result is extremely accurate when diffusivity increases rapidly with concentration.

The machinery of Lie theory (groups and algebras) is applied to the unsteady equations of motion of rotating fluid. A special-function type solution for the steady state is derived. It is then shown how the solution generates an infinite number of time-dependent solutions via three arbitrary functions of time. This algebraic structure also provides the mechanism to search for other solutions since its character is inferred from the basic equations.