索赔次数为复合PNB过程的风险模型的进一步研究

研究索赔次数为复合PNB过程的风险模型下的破产概率,这种模型是经典风险模型的一个推广。针对此模型,利用积分的方法,给出破产时刻保险公司资本金的分布,接着推导出当初始资本金为0时的破产概率公式,进而给出最大累计损失的矩母函数,为进一步给出破产概率的显示表达式做好铺垫。     

破产概率限定下的最优资本结构模型

本文假设企业资产总额服从几何布朗运动，在破产概率限定的务件下得出了公司最优资本结构的计算公式．通过模拟，分析性质，揭示了企业最优资本结构与企业收益水平、风险程度、债务期限、破产概率之间的相互关系。     

中国巨灾保险机制建立的策略分析

通过巨灾保险机制减少和转移巨灾风险和损失,不仅能兼顾效率和公平,而且可多渠道筹集巨灾资金,逐步减轻政府负担。为建立中国巨灾保险机制,文章在详细分析巨灾保险机制三大策略(巨灾原保险市场、再保险市场及保险金融创新)后,提出大力促进原保险市场、适度发展再保险市场和谨慎实行保险金融创新的策略选择,并进一步提出必须重视巨灾风险机制建设、加快巨灾保险产品开发、鼓励公众参与巨灾保险和积极培育再保险市场主体等政策建议。     

基于多目标规划理论的财险公司定价决策模型

本文在多目标规划理论的基础上,通过设定斜率为负的保险需求函数,从经济学角度建立了财险公司的多目标最优定价决策模型。与统计模型和金融模型相比,经济学模型更加直观、易于理解。本文以公司的利润最大化和投资风险最小化为目标,研究投资决策和风险管理决策对定价决策的影响。研究发现,较高的价格对应着较为保守的投资策略和较低的破产概率。虽然多目标定价模型能避免单一目标所导致的发展困境,但目标权重的选择也非常重要,管理者需在最优权重的限制范围内,依据具体经营目标谨慎选择。     

货币冲击、房地产收益波动与最优货币政策选择

与传统资产定价模型中风险收益权衡关系相悖,我国房地产市场存在投资异象和波动长记忆性特征。文章利用泰勒规则(Taylor Rule)的利率缺口,在剔除市场预期之后测度了中国市场的货币政策冲击,并基于房地产投资回报的时序数据波动聚集性和时变性特征构建GARCH(1,1)-M模型,以此度量我国房地产市场投资收益的波动演变路径,解释了央行实施加息的货币政策后当期房价反而上涨的投资现象。文章还立足于房地产市场参与人的投资特征,从行为金融学的全新研究视角出发,建立包含行为资产定价的动态模型经济系统,研究资产价格波动与最优货币政策选择问题,求得相应闭型解,为实施关注资产价格波动的最优货币政策提供理论基础。     

基于随机占优的投资组合保险策略参数设计

固定比例组合保险(CPPI)策略是机构投资者广泛使用的一种动态资产配置策略.而如何设置策略中的参数是策略运作的重点和难点.本文在介绍了CPPI策略及参数设计的基本原理之后,通过比较不同参教设置下策略的绩效来确定参数.在评估策略绩效时,考虑到组合保险能对下侧风险进行保护同时又能获得向上潜在收益,对该策略的评价应当考虑收益的分布状况而不仅仅是收益的某些统计特征.本文引入随机占优理论,利用近十年来上证综指的数据信息,结合块自助法技术,对不同参数设置下CPPI策略的绩效以及策略之问的随机占优关系进行实证分析,从而通过占优策略确定最优的参数设置.     

投资模型因子的合理性评估

目前,业界对风险有几种不同的界定,防范风险的方法更是层出不穷,典型的有VaR、TVaR、ES等,通过之上方法,我们能够在现代投资组合中防范特定风险,但以上方法多研究投资组合避险,或多或少忽略了风险、收益、平均利润、概率等因素之间的关系,本文通过概率收益模型对市场预期收益,市场预期风险和概率之间关系进行了描述和计算,结合平均收益得到了四者之间的关系,辨别了市场方向概率与市场强度概率之间的关系,从侧面说明了投资模型收益率与市场强度概率之间的关系,同时推演了一种投资模型固定风险收益方法和一种仓住管理方法。     

“均值—方差”模型分析应用于最有效的证券组合的研究

证券及其它风险资产的投资首先需要解决的是两个核心问题：即预期收益与风险。那么如何测定组合投资的风险与收益和如何平衡这两项指标进行资产分配是市场投资者迫切需要解决的问题。文章应用马科维茨均值—方差模型进行最有效证券的研究,建立了资产优化配置的均值—方差模型。     

一类聚合风险模型及破产概率的研究

风险理论主要利用概率论知识,根据保险经营中的实际问题简化数学模型,给出保费的计算方法和包括破产概率﹑首次亏盈等方面的分析。风险模型是对风险理论定量、定性研究的重要方法,风险模型中一类重点问题是对破产概率问题研究,本文在经典风险模型的基础上,研究了一类理赔过程有延迟的聚合风险模型——整值自回归风险模型（简记为INARCR...     

中国居民消费风险与资产收益分析

消费资本资产定价模型（Consumption-based Capital Asset Pricing Model，简称CCAPM）表明，资产风险溢价由代表性经济人的相对风险规避系数与资产收益和消费增长率之间的协方差的乘积决定，这就是消费增长决定的资产收益形成机制。在消费资本资产定价模型中，一项资产的风险能够通过使用其收益与人均消费增长率的协方差进行测量，这表明预期资产收益率的系统风险能够用消费增长率风险来进行解释。由于各资产与人均消费增长率的协方差有所不同，因此各资产的收益会有所区别。     

Optimal reinsurance policies with two reinsurers in continuous time

An optimal reinsurance problem of an insurer is studied in a continuous-time model, where insurance risk is partly transferred to two reinsurers, one adopting the expected-value premium principle and another one using the variance premium principle. The insurer aims to select an optimal reinsurance arrangement to minimize the probability of ruin. To provide an easy-to-implement solution to the problem, (semi)-explicit expressions for the optimal reinsurance strategies as well as the minimal ruin probabilities are derived for several claims distributions. Numerical studies including a real-data example based on the Danish fire insurance losses are provided to illustrate the solution of the problem. Our empirical results based on the Danish data reveal that the heavy-right-tailedness of claims distributions has a significant impact on the optimal reinsurance strategies and has a quite pronounced impact on the residual risk described by the minimal ruin probability.     

On optimal reinsurance,dividend and reinvestment strategies

We investigate an optimal reinsurance and dividend problem of an insurance company with the presence of reinvestments, or retained earnings. We consider the general situation that the company needs to pay both fixed and proportional costs. The object of the company is to determine reinsurance, dividend and reinvestment strategies so as to maximize the difference between the expected discounted dividends minus the expected discounted reinvestment until the time of ruin. We focus on the excess-of-loss reinsurance strategy, which is shown to be optimal. The mixed classical-impulse control is then used to discuss the problem. Using inventory control theory, the value function and optimal strategy are derived.     

Optimal Controls for a Large Insurance Under a CEV Model: Based on the Legendre Transform-Dual Method

The purpose of this paper is to consider the optimal proportional reinsurance and investment strategies for an insurance company. The insurer’s surplus process is approximated by a Brownian motion with drift. The insurance company can purchase proportional reinsurance and invest the surplus in a financial market which includes one risk-free asset and one risky asset whose price is modeled by a CEV model. The primary problem is changed to the dual problem by implying Legendre transform. When the objective of the insurance company is to maximize the expected logarithmic utility from terminal wealth, the closed-form expressions for the optimal reinsurance-investment policy which is different to the Merton case to the primal optimal problem are obtained and numerical simulations are provided to demonstrate our results. Moreover, we find an interesting result that risk exposure is non-monotonic in the cost of reinsurance.

     

Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails

The strategy to maximize the long‐term growth rate of final wealth (maximum expected log strategy, maximum geometric mean strategy, Kelly criterion) is based on probability theoretic underpinnings and has asymptotic optimality properties. This article reviews the allocation of wealth in a two‐asset economy with one risky asset and a risk‐free asset. It is also shown that the optimal fraction to be invested in the risky asset (i) depends on the length of the basic return period and (ii) is lower for heavy‐tailed log returns than for light‐tailed log returns.     

The effect of ceded reinsurance on solvency of primary insurers

Primary insurance companies diversify their underwriting risk and thus improve their financial stability through buying reinsurance contracts. However, excessive use of reinsurance by an insurance company may signal the presence of financial difficulties. In fact, as research shows, a less solvent insurer tends to use more reinsurance because of its inability to raise needed capital in the financial market. Thus, regulators need to pay extra attention to insurers that overly use reinsurance since such behavior could signal an insurer's disproportionately high risk and its eventual probability of insolvency.     

Audit Probability versus Effectiveness: The Beckerian Approach Revisited

The Beckerian approach to tax compliance examines how a tax authority can maximize social welfare by trading‐off audit probability against the fine rate on undeclared tax. This paper offers an alternative examination of the privately optimal behavior of a tax authority tasked by government to maximize expected revenue. The tax authority is able to trade‐off audit probability against audit effectiveness, but takes the fine rate as fixed in the short run. I find that the tax authority's privately optimal audit strategy does not maximize voluntary compliance, and that voluntary compliance is nonmonotonic as a function of the tax authority's budget. Finally, the tax authority's privately optimal effective fine rate on undeclared tax does not exceed two at interior optima.     

Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle

This paper considers the optimal dividend problem with proportional reinsurance and capital injection for a large insurance portfolio. In particular, the reinsurance premium is assumed to be calculated via the variance principle instead of the expected value principle. Our objective is to maximize the expectation of the discounted dividend payments minus the discounted costs of capital injection. This optimization problem is studied in four cases depending on whether capital injection is allowed and whether there exist restrictions on dividend policies. In all cases, closed-form expressions for the value function and optimal dividend and reinsurance policies are obtained. From the results, we see that the optimal dividend distribution policy is of threshold type with a constant barrier, and that the optimal ceded proportion of risk exponentially decreases with the initial surplus and remains constant when the initial surplus exceeds the dividend barrier. Furthermore, we show that the optimization problem without capital injection is the limiting case of the one with capital injection when the proportional transaction cost goes to infinity.     

基于PPP模式的海洋灾害保险合作模式分析

基于我国灾害救助以政府为主、商业性模式开发不足，且海洋灾害风险管理实践发展相对落后的现实，以PPP模式为雏形的灾害保险不失为一种有益的尝试。针对海洋灾害保险存在的信息不对称与主体地位不对等问题，在引入再保险机构、构建新的不对称PPP参与模式基础上，运用灰博弈模型对各主体参与的动态博弈过程及稳定策略进行分析，利用原保险与再保险双维灰博弈矩阵，求得各参数情形下的稳定策略，并对各情形下的稳定策略实现路径进行具体解析，为海洋灾害保险合作模式的达成提供进一步的决策参考     

On the optimal design of insurance contracts with the restriction of equity risk

This paper focuses on the optimal design of insurance contracts with the restriction of equity risk by Arrow's optimal insurance model [2] and Zhou's optimal insurance model [4]. The insured aims to maximize his/her expected utility of terminal wealth, under the constraint that the insurer wishes to control his/her risk. We establish an optimal insurance model that restrains underwriting risk and investment risk simultaneously. We solve this problem and obtain the results which improve and extend the results given by Arrow [2] and Zhou [4].     

流动性约束下机构投资者的资产配置——以保险公司为例

流动性是机构投资者资产配置必须考虑的问题之一。本文以保险公司为例,研究流动性不足对保险公司最优资产配置策略和交易策略的影响。使用遗传算法的模拟结果表明,面对流动性不足,保险公司应采取现金流匹配的交易策略以最优化其资产,即首先采用现金支付索赔;当现金资产耗尽时,在变现股票资产以尽量减少大规模销售导致的股票价格临时性和永久性波动的同时,保险公司还应多样化其资产组合,保证能够实现完全交易以减少流动性不足的影响。