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A concern-based approach to generating formal requirements specifications
Ying JIN, Jing ZHANG, Weiping HAO, Pengfei MA, Yan ZHANG, Haiyan ZHAO, Hong MEI
Front Comput Sci Chin. 2010, 4 (2): 162-172.
https://doi.org/10.1007/s11704-010-0151-y
Document driven requirements analysis, as proposed by Prof. David Parnas, which has had some success in practice, focuses on creating concise and complete formal requirements documents to serve as references for formal verification, software design, implementation, testing, inspection, and so on. However, at present large number of requirements documents are still written in natural languages. Therefore, generating formal requirements specification from informal textual requirements description has become a big challenge. In this paper, a concern-based approach to generating formal requirements specification from textual requirements document is proposed, which applies separation of concerns during requirements analysis and utilizes concerns and their relationships to bridge the gap between textual requirements statements and formal requirements documentation. A tool suite has been developed for supporting our approach, and a case study has been performed to illustrate the process of our approach. Results indicate that our approach facilitates guiding the process of formal requirements documentation with concerns and their relationships.
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A class of life insurance reserve model and risk analysis in a stochastic interest rate environment
Niannian JIA, Changqing JIA, Wei QIU
Front Comput Sci Chin. 2010, 4 (2): 204-211.
https://doi.org/10.1007/s11704-010-0512-6
Actuarial theory in a stochastic interest rate environment is an active research area in life insurance; business and life insurance reserves are one of the key contents in actuarial theory. In this study, an interest force accumulation function model with a Gauss process and a Poisson process is proposed as the basis for the reserve model. With the proposed model, the net premium reserve model, which is based on the semi-continuous variable payment life insurance policy, is approximated. Based on this reserve model, the future loss variance model is proposed and the risk, which is caused by drawing on the reserve, is analyzed and evaluated. Subsequently, assuming a uniform distribution of death (UDD) the reserve and future loss variance models are also provided. Finally, a numerical example is presented for illustration and verification purposes. Using the numerical calculation, the relationships between reserve, future loss variance and model parameters are analyzed. The conclusions are a good fit to real life insurance practices.
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Corporate financial distress diagnosis model and application in credit rating for listing firms in China
Ling ZHANG, Edward I.ALTMAN, Jerome YEN
Front Comput Sci Chin. 2010, 4 (2): 220-236.
https://doi.org/10.1007/s11704-010-0505-5
With the enforcement of the removal system for distressed firms and the new Bankruptcy Law in China’s securities market in June 2007, the development of the bankruptcy process for firms in China is expected to create a huge impact. Therefore, identification of potential corporate distress and offering early warnings to investors, analysts, and regulators has become important. There are very distinct differences, in accounting procedures and quality of financial documents, between firms in China and those in the western world. Therefore, it may not be practical to directly apply those models or methodologies developed elsewhere to support identification of such potential distressed situations. Moreover, localized models are commonly superior to ones imported from other environments. Based on the Z-score, we have developed a model called ZChina score to support identification of potential distress firms in China. Our four-variable model is similar to the Z”-score four-variable version, Emerging Market Scoring Model, developed in 1995. We found that our model was robust with a high accuracy. Our model has forecasting range of up to three years with 80 percent accuracy for those firms categorized as special treatment (ST); ST indicates that they are problematic firms. Applications of our model to determine a Chinese firm’s Credit Rating Equivalent are also demonstrated.
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Evaluation of mutual funds using multi-dimensional information
Xiujuan ZHAO, Jianmin SHI
Front Comput Sci Chin. 2010, 4 (2): 237-253.
https://doi.org/10.1007/s11704-010-0503-7
To make better use of mutual fund information for decision-making we propose a coned-context, data envelopment analysis (DEA) model with expected shortfall (ES) modeled under an asymmetric Laplace distribution in order to measure risk when evaluating performance of mutual funds. Unlike traditional models, this model not only measures the attractiveness of mutual funds relative to the performance of other funds, but also takes the decision makers’ preferences and expert knowledge/judgment into full consideration. The model avoids unsatisfying and impractical outcomes that sometimes occur with traditional measures and it also provides more management information for decision-making. Determining input and output variables is obviously very important in DEA evaluation. Using statistical tests and theoretical analysis, we demonstrate that ES under an asymmetric Laplace distribution is reliable and we therefore propose the model as a major risk measure for mutual funds. At the same time, we consider a fund’s performance over different time horizons (e.g., one, three and five years) in order to determine the persistence of fund performance. Using the coned-context DEA model with ES value under an asymmetric Laplace distribution, we also present the results of an empirical study of mutual funds in China, which provides significant insights into management of mutual funds. This analysis suggests that the coned context measure will help investors to select the best fund and fund managers in order to identify the funds with the most potential.
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Partially funded public pension, human capital and endogenous growth
Zaigui YANG
Front Comput Sci Chin. 2010, 4 (2): 271-279.
https://doi.org/10.1007/s11704-010-0510-8
Employing an endogenous growth model with human capital, this paper investigates China’s partially funded public pension system. We examine the effects of the firm’s contribution rate and individual’s contribution rate on the per capita income growth rate, population growth rate, saving rate, education expense ratio and net wealth transfer ratio. Raising the firm’s contribution rate increases the per capita income growth rate, saving rate, net wealth transfer ratio and education expense ratio, whereas it decreases the population growth rate. Raising the individual’s contribution rate decreases the per capita income growth rate, saving rate and education expense ratio, whereas it increases the population growth rate, but has no effect on the net wealth transfer ratio. Integrating the important essential policies and the current economic goals of China and balancing the large difference between the effects of the two contribution rates on the endogenous variables raising the individual’s contribution rate by a large margin and the firm’s contribution rate by a little has more advantages than disadvantages. The real contribution rates can be raised as long as the government verifies the number of employees and payroll in practice.
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Knowledge discovery through directed probabilistic topic models: a survey
Ali DAUD, Juanzi LI, Lizhu ZHOU, Faqir MUHAMMAD
Front Comput Sci Chin. 2010, 4 (2): 280-301.
https://doi.org/10.1007/s11704-009-0062-y
Graphical models have become the basic framework for topic based probabilistic modeling. Especially models with latent variables have proved to be effective in capturing hidden structures in the data. In this paper, we survey an important subclass Directed Probabilistic Topic Models (DPTMs) with soft clustering abilities and their applications for knowledge discovery in text corpora. From an unsupervised learning perspective, “topics are semantically related probabilistic clusters of words in text corpora; and the process for finding these topics is called topic modeling”. In topic modeling, a document consists of different hidden topics and the topic probabilities provide an explicit representation of a document to smooth data from the semantic level. It has been an active area of research during the last decade. Many models have been proposed for handling the problems of modeling text corpora with different characteristics, for applications such as document classification, hidden association finding, expert finding, community discovery and temporal trend analysis. We give basic concepts, advantages and disadvantages in a chronological order, existing models classification into different categories, their parameter estimation and inference making algorithms with models performance evaluation measures. We also discuss their applications, open challenges and future directions in this dynamic area of research.
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ID-based authenticated group key agreement from bilinear maps
Xixiang LV, Hui LI
Front Comput Sci Chin. 2010, 4 (2): 302-307.
https://doi.org/10.1007/s11704-009-0063-x
Authenticated group key agreement (GKA) is an important cryptographic mechanism underlying many collaborative and distributed applications. Recently, identity (ID)-based authenticated GKA has been increasingly researched because of the authentication and simplicity of the ID-based cryptosystem. However, there are two disadvantages with this kind of mechanism: 1) the private key escrow is inherent and 2) the Private Key Generator (PKG) must send client private keys over secure channels, making private key’s distribution difficult. The two disadvantages, particularly secure channels, may be unacceptable for secure group communications application. Fortunately, we can avoid both of them. In this paper, with bilinear maps on ECC, we present a new authenticated group key agreement protocol that does not require secure channels. The basic idea is the usual way of circumventing escrow: double key and double encryption (verification). The secret key of a user is generated by a key generation center (KGC) and the user collaboratively. Each of them has “half” of the secret information about the secret key of the user, and there is no secret key distribution problem. In addition, the computation cost of the protocol is very low because the main computation is binary addition.
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14 articles
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