arXiv subjects

Yongjie Wang

Publications and source records attributed to Yongjie Wang.

46 records · Page 3Linked to original sources

arXiv2020

Hedging longevity risk in defined contribution pension schemes

Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which decides to hedge the longevity risk using a mortality-linked security, typically a longevity bond. The pension scheme invests in the risky assets available in the market, including the longevity bond, by using the contributions from a representative scheme member to ensure a minimum guarantee such that the member is able to purchase a lifetime annuity upon retirement. We transform this constrained optimal investment problem into an unconstrained problem by replicating a self-financing portfolio of future contributions from the member and the minimum guarantee provided by the scheme. We solve the resulting optimisation problem using the dynamic programming principle and through a series of numerical studies reveal that the longevity risk has an important impact on the performance of investment strategies. Our results provide mathematical evidence supporting the use of mortality-linked securities for efficient hedging of the longevity risk.

q-fin.RM↗

arXiv2020

Sharing of longevity basis risk in pension schemes with income-drawdown guarantees

This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the investment risk based on a pre-decided risk-sharing rule. The objective is to maximise both sides' utilities by controlling the manager's investment in risky assets and members' benefit withdrawals. We use stochastic affine class models to describe the force of mortality of the members' population and consider a longevity bond whose coupon payment is linked to a survival index. In our framework, we also investigate the longevity basis risk, which arises when the members' and the longevity bond's reference populations show different mortality behaviours. By applying the dynamic programming principle to solve the corresponding HJB equations, we derive optimal solutions for the single- and sub-population cases. Our numerical results show that by sharing the risk, both manager and members increase their utility. Moreover, even in the presence of longevity basis risk, we demonstrate that the longevity bond acts as an effective hedging instrument.

q-fin.RM↗

arXiv2019

Removing Stripes, Scratches, and Curtaining with Non-Recoverable Compressed Sensing

Highly-directional image artifacts such as ion mill curtaining, mechanical scratches, or image striping from beam instability degrade the interpretability of micrographs. These unwanted, aperiodic features extend the image along a primary direction and occupy a small wedge of information in Fourier space. Deleting this wedge of data replaces stripes, scratches, or curtaining, with more complex streaking and blurring artifacts-known within the tomography community as missing wedge artifacts. Here, we overcome this problem by recovering the missing region using total variation minimization, which leverages image sparsity based reconstruction techniques-colloquially referred to as compressed sensing-to reliably restore images corrupted by stripe like features. Our approach removes beam instability, ion mill curtaining, mechanical scratches, or any stripe features and remains robust at low signal-to-noise. The success of this approach is achieved by exploiting compressed sensings inability to recover directional structures that are highly localized and missing in Fourier Space.

cs.CV↗

arXiv2018

ResumeNet: A Learning-based Framework for Automatic Resume Quality Assessment

Recruitment of appropriate people for certain positions is critical for any companies or organizations. Manually screening to select appropriate candidates from large amounts of resumes can be exhausted and time-consuming. However, there is no public tool that can be directly used for automatic resume quality assessment (RQA). This motivates us to develop a method for automatic RQA. Since there is also no public dataset for model training and evaluation, we build a dataset for RQA by collecting around 10K resumes, which are provided by a private resume management company. By investigating the dataset, we identify some factors or features that could be useful to discriminate good resumes from bad ones, e.g., the consistency between different parts of a resume. Then a neural-network model is designed to predict the quality of each resume, where some text processing techniques are incorporated. To deal with the label deficiency issue in the dataset, we propose several variants of the model by either utilizing the pair/triplet-based loss, or introducing some semi-supervised learning technique to make use of the abundant unlabeled data. Both the presented baseline model and its variants are general and easy to implement. Various popular criteria including the receiver operating characteristic (ROC) curve, F-measure and ranking-based average precision (AP) are adopted for model evaluation. We compare the different variants with our baseline model. Since there is no public algorithm for RQA, we further compare our results with those obtained from a website that can score a resume. Experimental results in terms of different criteria demonstrate the effectiveness of the proposed method. We foresee that our approach would transform the way of future human resources management.

cs.IR↗

arXiv2018

Howe Duality for Quantum Queer Superalgebras

We establish a new Howe duality between a pair of quantum queer superalgebras $(\mathrm{U}_{q^{-1}}(\mathfrak{q}_n), \mathrm{U}_q(\mathfrak{q}_m))$. The key ingredient is the construction of a non-commutative analogue $\mathcal{A}_q(\mathfrak{q}_n,\mathfrak{q}_m)$ of the symmetric superalgebra $S(\mathbb{C}^{mn|mn})$ with the use of quantum coordinate queer superalgebra. It turns out that this superalgebra is equipped with a $\mathrm{U}_{q^{-1}}(\mathfrak{q}_n)\otimes\mathrm{U}_q(\mathfrak{q}_m)$-supermodule structure that admits a multiplicity-free decomposition. We also show that the $(\mathrm{U}_{q^{-1}}(\mathfrak{q}_n),\mathrm{U}_q(\mathfrak{q}_m))$-Howe duality implies the Sergeev-Olshanski duality.

math.RT↗

arXiv2018

Second homology of generalized periplectic Lie superalgebras

Let $(R,{}^-)$ be an arbitrary unital associative superalgebra with superinvolution over a commutative ring $\Bbbk$ with $2$ invertible. The second homology of the generalized periplectic Lie superalgebra $\mathfrak{p}_m(R,{}^-)$ for $m\geqslant3$ has been completely determined via an explicit construction of its universal central extension. In particular, this second homology could be identified with the first $\mathbb{Z}/2\mathbb{Z}$-graded dihedral homology of $R$ with certain superinvolution whenever $m\geqslant 5$.

math.RA↗

arXiv2017

MoS2 Heterostructure with Tunable Phase Stability: Strain Induced Interlayer Covalent Bond Formation

Due to the distinguished properties offered by different structural phases of monolayer MoS2, phase engineering design are urgently required for achieving switchable structural phase. Strain engineering is widely accepted as a clean and flexible method, however, cannot be achieved in engineering monolayer MoS2 phase transition because the critical biaxial strain required (~15%) is much larger than measured elastic limit (~11%). In this study, employing density functional theoretical calculations, it has been found out that with the forming of heterostructure between MoS2 with buckled 2D materials such as silicence, germanene and stanene, only a small strain can trigger the phase transition. As being suggested by the constructed phase stability diagram, biaxial deformation as low as 3% in MoS2/silicene and MoS2/stanene sandwich structure, would be sufficient to induce the structural phase transition in MoS2 lattice. This strain falls well within experimental elastic limit, thus would be feasible to realize in experiment. The origin of such behavior can be understood as strain induced interlayer covalent bond formation, which finally make MoS2 lattice more sensitive to external strain. This theoretical work provides one realistic route for achieving flexible phase stabilities in experimental design.

cond-mat.mtrl-sci↗

arXiv2016

Robust Reactive Power Optimization and Voltage Control Method for Active Distribution Networks via Dual Time-scale Coordination

In distribution networks, there are slow controlling devices and fast controlling devices for Volt-VAR regulation. These slow controlling devices, such as capacitors or voltage regulators, cannot be operated frequently and should be scheduled tens of minutes ahead (Hereafter named as slow control). Since of the uncertainties in predicting the load and distributed generation, the voltage violations cannot be eliminated by fast controlling devices with improper schedule of the slow controlling devices. In this paper we propose dual time-scale coordination for the Volt-VAR control scheme, corresponding to slow and fast control. In the case of slow control, a robust voltage and reactive power optimization model is developed. This guarantees that subsequent fast controls can maintain the system's voltage security if the uncertain parameters vary within predefined limits. This nonconvex optimization problem is relaxed to a mix integer second order conic problem, and the dual form of its sub-problem is also derived. Then a column-and-constraint generation algorithm was used to solve the robust convexified model. A conventional deterministic optimization model can be used to determine the fast control mechanism. Numerical tests were conducted on a real distribution feeder in China, a balanced IEEE 69-bus and unbalanced 123-bus benchmark distribution networks. The simulation results show that solving the deterministic model is not always feasible and voltage violation may occur. The robust model was shown to be effective with respect to all possible scenarios in the uncertainty set, with little compromise in terms of network losses.

eess.SY↗

arXiv2016

Central extensions of generalized orthosymplectic Lie superalgebras

The key ingredient of this paper is the universal central extension of the generalized orthosymplectic Lie superalgebra $\mathfrak{osp}_{m|2n}(R,{}^-)$ coordinatized by a unital associative superalgebra $(R,{}^-)$ with superinvolution. Such a universal central extension will be constructed via a Steinberg orthosymplectic Lie superalgebra coordinated by $(R,{}^-)$. The research on the universal central extension of $\mathfrak{osp}_{m|2n}(R,{}^-)$ will yield an identification between the second homology group of the generalized orthosymplectic Lie superalgebra $\mathfrak{osp}_{m|2n}(R,{}^-)$ and the first $\mathbb{Z}/2\mathbb{Z}$-graded skew-dihedral homology group of $(R,{}^-)$ for $(m,n)\neq(2,1),(1,1)$. The universal central extensions of $\mathfrak{osp}_{2|2}(R,{}^-)$ and $\mathfrak{osp}_{1|2}(R,{}^-)$ will also be treated separately.

math.RA↗

arXiv2014

A family of representations of the affine Lie superalgebra $\widehat{\mathfrak{gl}_{m|n}}(\mathbb{C})$

In this paper, we used the free fields of Wakimoto to construct a class of irreducible representations for the general linear Lie superalgebra $\mathfrak{gl}_{m|n}(\mathbb{C})$. The structures of the representations over the general linear Lie superalgebra and the special linear Lie superalgebra are studied in this paper. Then we extend the construction to the affine Kac-Moody Lie superalgebra $\widehat{\mathfrak{gl}_{m|n}}(\mathbb{C})$ on the tensor product of a polynomial algebra and an exterior algebra with infinitely many variables involving one parameter $μ$, and we also obtain the necessary and sufficient condition for the representations to be irreducible. In fact, the representation is irreducible if and only if the parameter $μ$ is nonzero.

math.RT↗