货币政策的非对称性:基于前景理论的解释

利用前景理论及其扩展研究不同货币政策下人们的行为选择及其变化,结果表明:不同的货币政策下,收入水平和边际利得的不同会促使人们相应地调整参考点和权重,使总价值函数处于不同的位置(税收和通胀也都对参考点和总价值具有重要的影响),使人们呈现出不同的风险偏好,并采取不同的应对措施,从而导致了货币政策的非对称性.  

论当代大学生公民教育的价值功能与实现路径

公民教育是现代民主性国家建构与发展的基本出路。大学生公民教育是实现中国特色社会主义现代化与大学生主体现代化的时代要求。大学生公民教育的培养路径创新既要坚持民主教育和实践教育的基本理念,也要勇于改革和创新教育的方式方法。  

正当税收立法程序的价值形态及功能

正当法律程序作为一项宪法性的法律原则,已得到世界各国的普遍认可。正当法律程序原则在立法程序中得到适用,其理念下的税收立法程序具有内在的独立价值,包括参与性、交涉性、公开性、效率性,具有保护纳税人权利、实现税收法治、构建和谐社会的功能。  

Principle of equivalent utility and universal variable life insurance pricing

In this paper we study the pricing problem for a class of universal variable life (UVL) insurance products, using the idea of principle of equivalent utility. As the main features of UVL products we allow the (death) benefit to depend on certain indices or assets that are not necessarily tradable (e.g., pension plans), and we also consider the “multiple decrement” cases in which various status of the insured are allowed and the benefit varies in accordance with the status. Following the general theory of indifference pricing, we formulate the pricing problem as stochastic control problems, and derive the corresponding HJB equations for the value functions. In the case of exponential utilities, we show that the prices can be expressed explicitly in terms of the global, bounded solutions of a class of semilinear parabolic PDEs with exponential growth. In the case of general insurance models where multiple decrements and random time benefit payments are all allowed, we show that the price should be determined by the solutions to a system of HJB equations, each component corresponds to the value function of an optimization problem with the particular status of the insurer.  

Optimal dividend control for a generalized risk model with investment incomes and debit interest

This paper investigates dividend optimization of an insurance corporation under a more realistic model, which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve and debit interest for negative reserve. Ruin occurs when the reserve drops below the critical value. The company controls the dividend pay-out dynamically with the objective to maximize the expected total discounted dividends until ruin. We show that the optimal strategy, is a band strategy and it is optimal to pay no dividends when the reserve is negative.  

Thou shalt buy and hold

An investor holding a stock needs to decide when to sell it over a given investment horizon. It is tempting to think that she should sell at the maximum price over the entire horizon, which is however impossible to achieve. A close yet realistic goal is to sell the stock at a time when the expected relative error between the selling price and the aforementioned maximum price is minimized. This problem is investigated for a Black–Scholes market. A stock ‘goodness index’ α, defined to be the ratio between the excess return rate and the squared volatility rate, is employed to measure the quality of the stock. It is shown that when the stock is good enough, or to be precise when α ≥ 1/2, the optimal strategy is to hold on to the stock, selling only at the end of the horizon. Moreover, the resulting expected relative error diminishes to zero when α goes to infinity. On the other hand, one should sell the stock immediately if α ≤ 0. These results justify the widely accepted financial wisdom that one should buy and hold a stock – if it is good, that is.  

The relationship between expected utility and higher moments for distributions captured by the Gram–Charlier class

In this letter we derive the closed form solution for expected utility in terms of higher moments of the distribution of wealth when expected utility takes the CARA form and the distribution of wealth is captured by the Gram–Charlier class of distributions. We derive the condition under which positive skewness can be associated with a decrease in expected utility.