隨著科技日新月異的發展，智慧型手機本身通訊與運算能力也隨著軟體和硬體的改善而不斷地增強，其便利性與高機動性的特色使得越來越多人持有智慧型手機，最後成為人們生活中不可或缺的部份。總觀來說，持有與使用率的上升，不知不覺的形成一種共享經濟與無所不在的行動運算網絡。 基於普及性與相對優秀的運算效能，我們設計與實作出Gnafuy，一個基於行動裝置下的分散式運算框架，希望借用世界上所有閒置行動運算裝置的資源來實行無所不在的運算。 我們發展出一套應用程式介面(API)供開發者依照自己的需求來撰寫自己的分散式運算程式，藉由遵循Gnafuy所制定的應用程式介面，開發者可只專注在演算法本身的開發，而不需要在意其演算法如何被分配到手機上以及待處理資料的分配情形。本篇文章還討論了Gnafuy所採用的分散式運算的程式模型，以及我們如何藉由一個手機應用程式將任務部署至自願者的智慧型手機中，我們發展出一套伺服器端的機制來增加訊息傳遞的成功率，以及偵測計算後回傳結果是否正確，排除被惡意程式污染的客戶端結果。

責任準備金的風險管理是人壽保險公司營運的重要課題之一，其牽涉到保單現金流量的數階動差及分佈之估計，為此我們必須清楚的設定隨機脫退和隨機利率模型，並將保單之重要特性—利率敏感性現金流量納入考慮，否則將誤導保險公司過度規避利率風險及高估其破產的危險性。 本文採用蒙地卡羅模擬法進行責任準備金的模擬，在模擬模型中考慮三個風險因子：死亡率風險、利率風險和解約率風險。透過死亡率的變異數估計死亡率風險對責任準備金的影響；透過隨機利率模型估計隨機利率對責任準備金的影響；於解約率模型中考慮利率與解約率的關係，估計解約率對責任準備金的影響；當中並將隨機利率模型與解約率模型的參數風險納入考慮。最後，將五個險種的現金流量加權平均，以建構保險商品組合，而具有最小的最大分散（maximum dispersion）的保險商品組合即為最佳商品組合，所謂責任準備金的最大分散即責任準備金之第95個百分位數與其平均數之差距。 由模擬結果發現，保險公司應密切注意其責任準備金之利率風險管理，但這並不表示保險公司可忽視解約率風險對責任準備金的影響，而過度規避利率風險，此模擬結果幫助保險公司評估其業務之風險。 / One of the major topics in insurance companies’ operations is the risk management of the reserves. Sound risk management of reserves involves the estimation of the moments and distribution of cash flows associated with sold policies. To estimate the moments or the distribution of future cash flows, one must model stochastic decrements and stochastic discount rates explicitly. Besides, one must consider an important feature of insurance policies: future cash flows may be interest-rate-sensitive. Ignorance of such characteristic may mislead the insurer to over-hedge the interest rate risk and jeopardize the solvency of insurers. In this paper we use Monte Carlo simulation to estimate reserve. We identify three risk factors embedded in life insurers’ reserves in our simulation model: mortality risk, interest rate risk, and lapse rate risk. We use the mortality risk to decide the reserve from the variances of mortality rates. We choose a term structure to decide the reserve from the interest rate risk. Furthermore, we incorporate lapse rate risk into the decision of reserve by recognizing the relationship between lapse rates and interest rates. We also estimate the parameter risk associated with the parameter estimation errors in the term structure model and the lapse rate model. Finally, we construct insurance portfolios by summing weighted cash flow of five insurance policies. According to the minimum maximum dispersion, we intend to find the optimal portfolio and identify that the maximum dispersion of the distribution of terminal reserve is the difference between reserve’s 95th percentile and mean. We find that the maximum dispersion generated from mortality risk is insignificant while maximum dispersion from interest rate risk is substantial. This result is consistent with the observation that life insurers suffer more from the interest rate risk than from the mortality rate risk. The marginal contribution of lapse rate risk to the maximum dispersion, surprisingly, is negative. One possible reason is that the duration of the reserve decreases if policies lapse and lower duration means less interest rate related risk. This seemingly surprising result implies that we would overestimate the maximum dispersion if we neglect the lapse rate risk. We also find that the parameter risks of the interest rate model and the lapse rate model are significant. Our findings suggest that life insurers should pay close attention to interest rate risk management. However, be careful not to neglect the effect of lapse rate and over-manage the interest rate risk. In addition, insurers should be aware of the significance of parameter estimation risks in pricing models. The results of portfolios show that the maximum dispersion is deeply affected by the considered risk and the diversification effect. Our results can help life insurers to access the riskiness of their business.

本篇論文以裴氏網(Petri-Net)描述系統，提出一啟發式的演算法則 ， 將此裴氏網分割為數個子系統，以便建構為分散式系統中獨立運作的 伺服器。吾人設計一系列的模擬實驗，以測試此演算法的績效。而後，本 篇論文列出影響分割的變數及各變數間的關係，並分析本演算法之特性。 而根據模擬實驗的結果分析，吾人對分散式環境之應用系統發展提出建議 。 / In this thesis, we use the Petri-Net to model a system, and we propose a heuristic algorithm to partition the Petri-Net into several autonomous servers. We then conduct a series of simula- tion experiments to test the performance of the algorithm and to identify the variables which influence the partition of the Petri-Net. Some factors influencing the properties of a partition are identified and their inter-relationships are shown. Based upon the simulation, we provide some suggestions for the develop- ment of the application in the distributed system environment.

分散式系統具有資源共享及運算更有效率等優點，使得分散式系統的應用越來越廣泛，有關分散式系統的研究也越受重視。一些存在分散式系統中的不正常現象，如：死結(deadlock)，饑餓(stravation)，及臨界競賽(critical race)往往會抵消掉資源共享的好處並且容易產生通訊(communication)的錯誤，另外，保證一分散系統中行程(process)均能正確的執行終止(termination)也是一項值得研究的重要課題。 　　本篇論文將就分散系統中的死結、饑餓、臨界競賽及中止等問題之過去的文獻提出討論，並分別比較優、缺點，最後列出一些尚未解決及值得深入研究的問題。 / There are some addvantages of distributed systems, such as resources sharing and computing efficiency. Thus, the applications of distributed systems are more prevalent. The research of distributed systems had got great worth. Some undesired or abcdrmal behaviors such as deadlock, starvation, and critical race exist in distributed systems, which often offset the advantages of resources sharing and are prone to communication errors. It is very important to guarantee the processes of a distributed system which can terminate finitely. 　　In this thesis, we'll have thorough discussions and comparisons of those four properties through literature survey and then point out some unsolved problems at last.

在單一價格法則之下，國際ETF的市場價格應該與NAV或標的資產價格一致。由於ETF具備申購贖回機制，其溢價現象將較國家型封閉型基金來得低。本文以32檔國際iShares檢視國際ETF的績效與國際投資分散效果，資料期間為1996年至2006年10月20日之日資料，並在考量區域因素的影響之下，將樣本區分為全球型、已開發市場型、以及新興市場型ETF。 本實證結果顯示，如同國家型封閉基金常出現的溢折價現象，國際iShares存在價格差異現象，尤其於新興市場型iShares更為明顯而且波動較大。然而，此價格差異現象僅是暫時的，而且主要由本國資訊所影響。此外，價格均衡的調整時間與3天期的結算清算時間一致。因此，ETF的申購贖回機制有助於提升價格調整的效率性，亦即長期而言，iShares遵循單一價格法則，而且於美國市場交易的投資人可由該投資工具達到國際投資組合分散效果，尤以全球型或複合型的iShares為最。 / In the law of one price, the share price of international ETFs should be the same as the domestic stock price and NAV respectively. Especially, with specific mechanism of creation and redemption process for ETFs, price deviation would be mitigated effectively comparing with similar product of closed-end country funds. This paper examines international ETFs’ performance and international diversification effect through 32 international iShares which are the most popular international ETFs in the world, and we use daily data with sample period from inception to 2006/10/20. Consider the regional impact on the price deviation, we also categorize the sample to three types as global, developed, and emerging market ETFs. In this paper, price deviations exist and are larger and more volatile for emerging market iShares, which is consistent with previous studies. However, the price deviations occur temporarily and are primarily driven by domestic information for all types of international iShares. We also find that the time of equilibrium adjusting process is consistent with three-day settlement period. Though incompletely perfect, the existence of the creation or redemption process along with the high transparency of iShares management appears to enhance price efficiency. Therefore, in the long-run, iShares price follow the law of one price, and US investors may obtain international diversification benefits through the instrument. Especially, the benefits will be larger for global or hybrid iShares comparing with country-specific iShares or emerging market iShares.

目前，隨著資料急速地增加，大規模可擴充性的高度分散式資料庫服務已逐漸成為一種趨勢。在資料如此分散的環境下，如何讓資料的查詢更有效率，建立一個好的索引扮演著相當重要的角色，加上越來越多的資料庫程式應用像是生物、圖像、音樂和視訊等等，皆是處理高維度的資料，而在這些應用程式中，經常需要做相似資料的查詢，但是在高維度的資料且分散式的資料做相似資料的查詢，需耗費大量的時間與運算成本。 基於在高度分散式的環境下，針對高維度的資料有效地做KNN的查詢。我們提出一個利用reference point[2,13]的作法RP-CAN( Reference Point-Content Addressable Network )來改善查詢的效率。RP-CAN 主要是結合CAN [14] 的路由協定和使用reference point建立索引的方式來幫助在高度分散式環境下有效率的對高維的資料做查詢處理。 最後會實作出我們所提出的RP-CAN索引並與RT-CAN[1]做比較。我們發現我們所提出的RP-CAN索引在高維度資料作KNN的查詢時比RT-CAN索引來的有效率。 / There has been an increasing interest in deploying a storage system in a highly distributed environment because of the rapid increasing data. And many database applications such as time series, biological and multimedia database, handle high-dimensional data. In these systems, k nearest-neighbors query is one of the most frequent queries but costly operation that is to find objects in the high-dimensional database that are similar to a given query object. As in conventional DBMS, indexes can indeed improve query performance but cannot deploy directly in highly distributed systems because the environment has become more complex. To efficiently support k nearest-neighbors query, a high-dimensional indexing strategy, is developed for the highly distributed environment. In this paper, we propose an efficient indexing strategy, RP-CAN( Reference Point-Content Addressable Network ), to improve the performance of the k nearest-neighbors query in a highly distributed environment. In the end of this paper, we designed an experiment to demonstrate that the performance of RP-CAN is better than RT-CAN in high dimensional space. Thus, our RP-CAN index could efficiently handle the high dimensional data.

No description available.

本文研究目的是在探討跨國的投資者在面對國際投資日益開放的同時，是否充分的利用國際上的資產市場以分散投資者所面對的風險。本文參考Brandt, Cochrane, and Santa-Clara（2006），建立一種衡量國際間風險分散程度的風險分散指數，並以台灣為本國基準，取台灣前三大貿易夥伴：美國、日本、中國為外國基準，以分析此四國的國際風險分散指數，衡量的標的為各國資產市場中的主要股票交易市場指數報酬率，以分析各國風險分散的情形。此外我們亦嘗試解釋國際間風險分散的情形並解釋我們所計算出的結果，並進行一些模型參數的演算，以分析在面對其他總體變化時將會遇到的情形。經由本文的實證研究發現，對於台灣而言，在國際間的風險分散程度是偏高的，亦即，面對此四國的資產市場，台灣投資者的投資配置符合風險分散的趨勢，當匯率波動愈小時，國際風險分散程度亦將愈高，大致上與Brandt et al.(2006)之以美國為本國基準所得之國際風險分散程度結果相似。 / This thesis tries to discuss if risks are shared internationally by the international asset markets. This study refers to the Brandt, Cochrane, and Santa-Clara (2006) which built an international risk sharing index to measure the degree of international risk sharing. We set up a international risk sharing indices between Taiwan and its important trading partners, US, Japan and China by the asset returns composed by the main stock indices in each country. Furthermore, we try to explain the empirical results and to show how the degree of international risk sharing will different with the changes of the macro-variables. Our empirical analyses find that the degree of the international risk sharing for Taiwan using asset-based method is better than we think. In addition, the empirical results of this thesis are similar to Brandt et al. (2006) that if the volatility of exchange rates declines, the degree of the international risk sharing will be better.

為了進一步支援無線網路上的服務品質(QoS)，IEEE 802.11e通訊協定目前正在制訂中。其提供兩種媒介存取方式，一為基礎的進階分散存取(EDCA)，另一種是建構在進階分散存取下的混合控制存取(HCCA)。802.11e中，藉由不同的訊框間隔(IFS)與競爭視窗(CW)相關參數的設定以區隔不同的存取等級(AC)。為了在802.11e網路下進一步的發展有效的服務品質管理機制，我們提出了一個數學模型以分析在進階分散存取網路下所使用的頻寬與媒體存取層所延遲的時間。在這個模型下，每個站台可以支援多個不同等級的資料流(聲音/影音與資料)。透過這個數學模型，允入控制與資源管理可以很容易實現，也可以支援不同應用程式的不同需求。 / For supporting Quality of Service (QoS) for wireless networks, the IEEE 802.11 Task Group E currently defines enhancements to the IEEE 802.11 MAC, called 802.11e. The IEEE 802.11e provides two mechanisms for the support of applications with QoS requirements, namely, Enhanced Distributed Channel Access (EDCA) and HCF Controlled Channel Access (HCCA). EDCA mechanism defines four access categories (ACs) that provide support for the delivery of traffic with user priorities. Different AC uses various Inter-Frame Space (IFS) and Contention Window (CW) parameters. In order to further develop efficient QoS management for the IEEE 802.11e networks, we propose an analytical model to evaluate throughput and MAC delay of the basic access method of the IEEE 802.11e - EDCA. Our Markov chains consider the situation of different multimedia (voice/video and data) traffic flows in a mobile station. This is improved from previous work, and closer to real usage scenarios. The correctness of our analysis has been validated via simulation results. Throughout our model, call admission control (CAC) and resource management can be easily applied, and thus QoS for hybrid requirements is supported.

Kyoto University (京都大学) / 0048 / 新制・課程博士 / 博士(工学) / 甲第13802号 / 工博第2906号 / 新制||工||1429(附属図書館) / 26018 / UT51-2008-C718 / 京都大学大学院工学研究科都市環境工学専攻 / (主査)教授 大西 有三, 教授 松岡 俊文, 准教授 西山 哲 / 学位規則第4条第1項該当