Optimal constrained investment in the Cramer-Lundberg model

We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk-free asset and in a risky asset, governed by the Black-Scholes equation. There is a constraint that the insurance company can only invest in the risky asset at a limited leveraging level; more precisely, when purchasing, the ratio of the investment amount in the risky asset to the surplus level is no more than a; and when short-selling, the proportion of the proceeds from the short-selling to the surplus level is no more than b. The objective is to find an optimal investment policy that minimizes the probability of ruin. The minimal ruin probability as a function of the initial surplus is characterized by a classical solution to the corresponding Hamilton-Jacobi-Bellman (HJB) equation. We study the optimal control policy and its properties. The interrelation between the parameters of the model plays a crucial role in the qualitative behavior of the optimal policy. For example, for some ratios between a and b, quite unusual and at first ostensibly counterintuitive policies may appear, like short-selling a stock with a higher rate of return to earn lower interest, or borrowing at a higher rate to invest in a stock with lower rate of return. This is in sharp contrast with the unrestricted case, first studied in Hipp and Plum, or with the case of no short-selling and no borrowing studied in Azcue and Muler.     

食物消费结构升级对农业碳排放的动态影响机制研究

[目的]探寻主要食物消费结构与农业碳排放之间的动态关联机制。[方法]基于1990—2015年面板数据,通过VAR模型进行研究。[结果]结果显示食物消费结构升级与农业碳排放确实有着一定的关联性,且存在一定的滞后性,但其影响程度和方向因食物种类而异。[结论](1)从影响方向看,农业碳排放对肉禽类、奶类等动物性食物消费和粮食、蔬菜、食用植物油等植物性食物消费变动的冲击响应方向基本相反,这主要是由动物性食物和植物性食物的替代性导致;农业碳排放对食物消费变化冲击的响应方向呈正负交替变化,且随着时间的推移而趋于平缓,主要是由于农产品供求的收敛型"蛛网"变动特点引起。(2)从响应时间看,农业碳排放变动对植物性食物消费冲击响应更为迅速,主要是由于动物类食物调整生产周期明显长于植物类食物产品;以植物性食物消费代替动物性食物消费的方式在短期内(3～4年以内)确实可以一定程度上降低碳排放,但是长期看来效果并不明显;所有食物消费变动对农业碳排放的冲击效应在8～9期以后均逐渐消失,说明食物消费结构的变动对农业碳排放的影响持久,农业碳减排任务不可能在短期内一蹴而就,而需要长期而持续的努力。(3)从影响程度看,方差分解结果表明,对农业碳排放变动的影响贡献最大的是其自身,说明农业碳排放基数庞大,减排工作任务艰巨,尽管肉禽类食物消费导致的碳排放量比重较大,但研究期间农业碳排放变动的并不是主要由这类食物消费的变化导致,而是由植物性食物消费变化导致。研究结果为在满足居民食物消费需求的前提下降低农业碳排放、发展低碳农业提供一定的依据。     

气候变化背景下哈萨克斯坦气候生产潜力时空特征分析

[目的]研究全球气候变化背景下气候生产潜力的时空分布特征,对于合理利用农业气候资源,促进农业生产力的提高具有重要意义。[方法]选择1901—2000年哈萨克斯坦24个代表气象站点的月平均气温和降水资料,采用Thortwaite Memorial、Miami模型估算气候生产潜力,并运用气候倾向率、M-K检验以及ArcGIS空间插值等方法对气候生产潜力时空分布特征进行分析。[结果](1)1901—2000年哈萨克斯坦气候生产潜力总体表现为增长趋势,不同时段气候生产潜力差异明显,相对于其他研究时段(T1,T3),T2(1936—1970年)时段气候生产潜力及增长速率最大,并且水热匹配状况最好;(2)哈萨克斯坦气候生产潜力空间分布地域性明显。YP(降水生产潜力)和Y E(蒸散生产潜力)总体表现为自东南向西北递减的趋势,YT(气温生产潜力)表现为自西南向东北递减的趋势,气候生产潜力高值区主要位于天山北麓及东部山区的河谷地带,低值区位于西部和南部荒漠区;(3)气候生产潜力对降水更为敏感,当气温保持不变,降水量增加(减少)10%、20%,YE将增加(减少)9.6%、19.94%。[结论]哈萨克斯坦东部气候生产潜力大于西部,天山北麓及河谷地区气候生产潜力大于平原地区,哈萨克斯坦气候生产潜力主要受降水量的制约,未来“暖干型”变化将会使研究区气候生产潜力下降。为提高农业生产潜力,必须加强对农业基础设施的建设和提高水资源的调配能力。     

Understanding the impacts of ‘Grain for Green’ land management practice on land greening dynamics over the Loess Plateau of China

Land greening in China is regarded as contributing a great deal to greening of the Earth. The phenomenon is mainly attributed to climate change, arising atmospheric CO₂ and ‘Grain for Green’ (GFG) land management policies. However, limited knowledge is known how much land greening is from contributions of the GFG practice. Therefore, the study took the typical region of the GFG practice, the Loess Plateau, as the study area, and used 1982–2015 satellite-observed GIMMS3g normalized difference vegetation index (NDVI) data, ERA-Interim climatic variables (precipitation, temperature and solar radiation) and atmospheric CO₂ concentration data with the help of a developed TPRC-based NDVI model to derive GFG-induced NDVI after 1999. Furthermore, this study tracked the spatial-temporal dynamics of GFG-induced NDVI and assessed contributions of the GFG practice to regional vegetation changes. Results showed that satellite-observed NDVI and TPRC-based NDVI both exhibited an increasing spatial pattern from the northwestern to southeastern Loess Plateau, but their greening trends were separately 0.0022 and 0.0009 per year in 1982–2015 (p < 0.05). Note that the satellite-observed greening trend was much steeper with a slope of 0.0056 per year after 2006 (p < 0.05). The subsequent analyses documented that GFG-induced land greening were largely responsible for the steep trend. In space, evident greening patterns began to be observed in the central Loess Plateau from 2006 to 2008, afterwards expanded towards eastern and southwestern Loess Plateau. In 2011–2015, the increase magnitude of GFG-induced land greening in the Loess Plateau averagely accounted for 8.5 % in comparison to estimated TPRC-based NDVI, but in six natural zones were various, ranging from 3.2%–15.7%. In some regions of central Loess Plateau, GFG-induced NDVI contributed even more than 20 % to vegetation increase. This study highlights that land use management contributes more to land greening dynamics over the Loess Plateau compared to climate change and arising atmospheric CO₂ concentration. These findings likely provide some valuable information for curbing or enhancing specific-location vegetation changes in future regional land management and planning.     

"特朗普税改政策"的溢出效应及中国的应对策略

特朗普税改使美国成为税收洼地,各国为争夺国际资本竞相效仿降税,加剧了全球税收竞争,为世界经济复苏增加了更多的不确定性.因此,有必要通过构建利润转移视角的税收竞争模型,揭示特朗普税改对全球经济产生溢出效应的作用机制及赤字约束问题,并运用一般均衡模型(CGE)模拟特朗普税改对世界经济溢出效应的长短期影响.特朗普税改是以邻为壑的经济政策,但长期内对中国等世界主要经济体的负面影响不断减弱,并会对出口产生一定的正面影响.因此,我国应构建国际税务交互管理体制,强化企业税收激励的法制保障,完善税改冲击的应急运行机制.     

基于结构方程模型的集聚农户共生认知及影响因素分析:以重庆市为例

研究目的:探讨对集聚农户共生、集聚区土地利用率提高的影响因素,为提升农户共生的认知水平、优化农户共生关系及促进资源的节约集约利用提供有效路径及理论指导。研究方法:参与式农户调查,结构方程模型。研究结果:(1)户主自身特征、农户家庭特征、集聚共生效益特征及外部环境与政策特征这4类外源潜变量对农户共生认知产生重要影响且影响程度大小不同,其中,集聚共生效益特征的影响最为显著,外部环境与政策特征、户主自身特征和农户家庭特征的影响依次减弱;(2)是否为干部、对原集聚模式的满意度、是否促进农户生产生活条件和政府对集聚区的补贴力度分别对这4类外源潜变量具有较好的解释能力。研究结论:显化农户共生效益、增强"精英"农户及村干部的正向引导、提升农户成员受教育水平、培养农户"共生共荣"理念等是深化农户共生关系,促进和谐乡村人居环境建设的重要路径。     

Price transmission,asymmetric adjustment and threshold effects in the cotton supply chain: a case study for Vidarbha,India

This study examines price transmission asymmetries in Vidarbha's (India) cotton supply chain from 2002 to 2012. The analysis takes account of thresholds in price adjustments toward their long‐run equilibrium. The first stage considers the price dynamics between international and Indian domestic cotton prices. The second stage considers price transmission from domestic to farm gate cotton prices in Vidarbha. Results from the first stage indicate that Indian and international cotton markets are well‐integrated. In contrast, the second stage reveals significant threshold‐type nonlinearities as well as asymmetries in price transmission between domestic and farm gate prices. The short‐run dynamics suggest that the pass‐through from domestic to farm gate prices is larger when domestic prices decrease than when they increase. Moreover, back of the envelope calculations suggest that the loss in revenue for a typical farmer from a decrease in domestic price is larger than the gains from an increase in domestic price of the same magnitude. The implication is that traders benefit from price fluctuations at the expense of farmers. Evidence from fieldwork in Vidarbha suggest that asymmetries revealed in this analysis may be linked to trader's market power and inadequate market information among farmers.     

Information technology developments of logistics service providers in Hungary

The objective of this research is to examine the role of sector-specific information technology (IT) developments and their significance in terms of the revenue and earnings before tax of Logistics Service Providers (LSPs), as well as the impact of these developments on the flexibility and integration of LSPs. A survey questionnaire was conducted with 284 LSPs participants. The data provided by the 51 responding enterprises provided a representative sample for the analysis of the sample population and the drawing of general and relevant conclusions related to basic population. It can be concluded that their revenue, earnings before tax and degree of integration into the supply chain depend on the sector-specific IT developments carried out by the given enterprise. IT investments will remain important in the future and the introduction and leveraging the best technologies may yield competitive advantages and higher financial rewards for LSPs.     

Current account dynamics and capital mobility in the newly industrialized countries

This paper examines the current account dynamics in a group of ten newly industrialized countries (NICs) during the period 1980–2012 using a panel error-correction model. The model is also used to empirically test whether the degree of capital mobility is positively related to financial openness. The Chin-Ito (2006, 2008) financial openness index is used to classify the countries into different groups, and we place the countries in one group that are similar to each other in terms of their financial openness. Furthermore, to evaluate the extent of capital mobility over the different period from 1980 to 2012, the total period under study is divided into three sub-periods. The estimation results indicate that there exist long-run equilibrium relationships between domestic saving, investment, and current account in all groups regardless of their degree of financial openness. We find that more openness in terms of the capital account is associated with a higher degree of capital mobility in the case of NICs. The empirical result also indicates that the degree of capital mobility is higher in the first and third sub-period.