Ruin Problems for Phase-Type(2) Risk Processes

In this paper we consider a risk process in which claim inter-arrival times have a phase-type(2) distribution, a distribution with a density satisfying a second order linear differential equation. We consider some ruin related problems. In particular, we consider the compound geometric representation of the infinite time survival probability, as well as the (defective) distributions of the surplus immediately prior to ruin and of the deficit at ruin. We also consider explicit solutions for the infinite time ruin probability in the case where the individual claim amount distribution is phase-type.     

What kind of marketing distribution mix can maximize revenues: The wholesaler travel agencies' perspective?

This study attempts to identify the variety of marketing channel efficiencies for marketing activities and sets up an optimal marketing distribution mix when using different distribution channels for wholesaler travel agencies. This research examines 12 large-scale travel agencies in Taiwan and offers seven direct and indirect distribution channels in order to establish an optimal marketing distribution mix and identifies the different forms of distribution involved. We also implement the analytic hierarchy process (AHP) to prioritize the seven main marketing distribution channels of travel agency: websites, cable TV, radios, professional magazines, retailer travel agencies, strategic alliances, and newspapers. Five criteria are categorized as a distribution channel selection: overall cost of the channel, target audience respondent rate, impression rates, transactional capabilities, and gross profit of the channel. The results show that Taiwan's wholesaler travel agencies adopt the retailer travel agency as their highest priority of channel selection, while travel agency websites hold it as their second priority. Transactional capabilities, gross profit of the channel, and overall cost of the channel are the top three favorable choices among the five criteria considered. This study proposes an innovative hierarchy model of marketing distribution mix to a wholesaler travel agency practitioner when making decisions in order to effectively exploit the different distribution mix, to maximize performances and revenues, and to overcome the traditional experience based on the shortcomings of the selection.     

Continuity Estimates for Ruin Probabilities

A method of continuity analysis of ruin probabilities with respect to variation of parameters governing risk processes is proposed. It is based on the representation of the ruin probability as the stationary probability of a reversed process. We apply Kartashov's technique designed for continuity analysis of stationary distributions of general Markov chains in order to obtain desired continuity estimates. The method is illustrated by the Sparre Andersen and Markov modulated risk models.     

汇市干预的理论与实证分析——来自日本的经验

本文以颇具代表性的日本货币当局外汇干预的模式为参照系,对当今世界资金规模最大、金融领域最前沿的外汇市场从理论和实践的角度进行论证,旨在为未来我国人民币国际化后所必将产生的外汇干预等相关问题提供具有实际意义的建议与理念。     

On the emergence of scale-free production networks

We propose a simple dynamical model for the formation of production networks among monopolistically competitive firms. The model subsumes the standard general equilibrium approach à la Arrow–Debreu but displays a wide set of potential dynamic behaviors. It robustly reproduces key stylized facts of firms׳ demographics. Our main result is that competition between intermediate good producers generically leads to the emergence of scale-free production networks.     

Strategic timing of earnings announcements?

Using firm‐specific regressions, I show that earnings response coefficient differ across firms. However, there is no evidence of differential earnings response coefficient to a certain earnings announcement time. By switching to a different announcement time from its preferred time, a firm does not gain a softer market reaction. I compare research results from a firm‐specific method and from a pooled time‐series and cross‐sectional method and demonstrate that they differ significantly due to large heterogeneity across firms. I suggest that researchers should adopt a firm‐specific approach to avoid misleading results and to achieve improved estimations.     

论证券投资基金的收益及其分配

证券投资基金的收益主要包括利息收入，股利收入和资本利得。在甸证券市场发育不完善的现阶段，出于会计谨慎性原则的考虑，证券投资基金的收益不应包括股票股利和未实现的资本利得。在收益分配方面，管理层对证券投资基金收益分配政策的限制过程多过死，不利于投资基金业的健康发展，基金持有人大会在基金收益分配政策的制定上应当享有更多的决定权。     

Building up a B2B e-commerce strategic alliance model under an uncertain environment for Taiwan's travel agencies

E-travel agencies adopt B2B strategic alliances in order to strengthen their competitive advantages in the e-commerce travel market and because they are an effective tool to gain wider sustainable gains. External environmental and internal organizational factors impacting the success of strategic alliances model are themselves a crucial issue. This study uses multiple methods to collect data from multiple sources and uses qualitative and quantitative surveys. A two-stage research design is adopted to explore the present strategic alliances between Taiwan's wholesaler e-travel agencies and retailer sub-agencies. The results provide an in-depth understanding into the B2B e-commerce strategic alliance model. According to this research, Taiwanese e-travel agencies consider three external environment uncertainties, five internal organization motivations, five partner selection criteria, and two performance measurements of alliance strategies. Finally, the paper proposes an optimal B2B e-commerce strategic alliance model that matches the essential development needs of B2B e-commerce and overcomes the environmental uncertainties.     

我国金融发展对居民收入分配影响的实证研究

我国金融发展对城乡居民收入分配影响的实证研究结果表明:金融发展规模是城乡居民收入差距的格兰杰原因;金融发展效率与城乡居民收入差距具有双向的格兰杰因果关系.金融发展规模的扩张扩大了城乡居民收入差距,金融发展效率的提升则缩小了城乡居民收入差距.     

Optimal dividend policy and growth option

We analyse the interaction between the dividend policy and the decision on investment in a growth opportunity of a liquidity constrained firm. This leads us to study a mixed singular control/optimal stopping problem for a diffusion that we solve quasi-explicitly by establishing a connection with an optimal stopping problem. We characterize situations where it is optimal to postpone the distribution of dividends in order to invest at a subsequent date in the growth opportunity. We show that uncertainty and liquidity shocks have an ambiguous effect on the investment decision.