Reinsurance or securitization: The case of natural catastrophe risk

We investigate the suitability of securitization as an alternative to reinsurance for the purpose of transferring natural catastrophe risk. We characterize the conditions under which one or the other form of risk transfer dominates using a setting in which reinsurers and traders in financial markets produce costly information about catastrophes. Such information is useful to insurers: along with the information produced by insurers themselves, it reduces insurers’ costly capital requirements. However, traders who seek to benefit from trading in financial markets may produce ‘too much’ information, thereby making risk transfer through securitization prohibitively costly.     

国外财务再保险会计对我国的启示

财务再保险作为一种非传统的风险转移方式,常被保险公司作为优化会计报表财务安排或金融工具。目前我国缺乏关于财务再保险的企业会计准则,会给一些滥用财务再保险的保险公司以可趁之机。因此,必须对我国财务再保险会计处理进行研究。本文在介绍国外财务再保险会计确认和会计处理的基础上,结合我国具体情况,对规范我国财务再保险的会计处理提出了政策建议。     

对偶效用下的保费原理与保险公司再保险需求

本文利用对偶效用理论下的保费原理，从理论上研究了保险公司的再保险需求问题，给出了一般原则下的再保险需求条件，针对比例再保险及停止损失再保险给予了具体的研究。作为应用例子，本文分别对损失服从两点分布、指数分布、Pareto分布进行了更细致的研究。     

具有奖励机制与再保险安排的最优保险合约设计

在保险合约中引入奖励机制可以使投保人动态参与到保险合约中,赋予了投保人在面对索赔事件时是否执行索赔的可选择权,改变了传统保险合约中投保人执行索赔的单一权利,但却增加了保险人潜在的流动性风险。保险合约中再保险的安排则可以对冲由于奖励机制产生的潜在流动性风险,进一步分散保险人的风险,有助于保险人稳健经营。基于此,通过建立具有红利奖励机制与再保险安排的最优保险合约设计模型,最终求解得到最优保险合约是具有最优免赔额形式的保险合约。利用算例研究方法进行建模,研究结果显示,最优保险合约中的最优免赔额与奖励机制中的红利奖励之间具有正向关系,保费、自留额与最优免赔额之间则存在着显著的负向关系。     

常数红利下带税收的最优投资与再保险策略

在常数边界分红策略及存在税收的情形下,对于扩散风险模型,保险公司将盈余投资于无风险资产与一种风险资产,且通过比例再保险来分散风险,通过求解HJB方程,得到了最大期望折现红利,最优投资与再保险策略的显示表达式。     

德国的再保险监管方式及其借鉴意义

近两年来，德国在对再保险业实行间接监管模式的基础上逐步引进了直接监管，形成了综合运用间接监管和直接监管的新的再保险监管模式。由于我国的再保险业及其监管相对落后，所以我国保险业应借鉴德国再保险业的先进经验，并结合当前保险市场发展的实际，尽快建立和健全再保险监管体系。     

保险公司再保险业务的监管资本套利动因研究

保险公司再保险业务也存在着跟银行相类似的监管资本套利情况。满足“最低资本要求”和“偿付金要求”、增强承保能力、平衡保险利润、粉饰财务报表、逃避税赋是保险公司监管资本套利的动因。为防止消极结果的出现,需要从明确风险转移的标准、规范再保险合同的形式和内容、建立合适的再保险信息披露体系三个方面来规范我国保险公司再保险业务的发展。     

国内外农业再保险中政府行为的比较

农业保险是一种准公共产品,美国、法国、日本及亚洲的一些农业保险发达的国家,都有一套行之有效的农业再保险运行模式。我国农业再保险的健康运作也同样需要政府政策的支持。政府要加快农业再保险的法律法规建设,建立农业再保险基金,成立农业再保险公司。     

Mutual fund flows and window-dressing

We use a sequential game to analyze an agency problem in the mutual fund industry where a representative fund manager considers window-dressing his portfolio holdings for the purpose of attracting fund flows from a representative investor. The manager is motivated to window-dress to improve the investor's perception of managerial skill which may positively affect fund flows in the next period. However, the investor may suspect window-dressing and thus downgrade perceived managerial skill. The model supports a Bayesian Nash equilibrium where the manager window-dresses only when receiving a low return in the first period and the investor withdraws funds only when observing low returns in both periods. Consequently, we show that window-dressing is a rational behavior even when fund outflows may result.     

Conflict for Mutual Gains?*

abstract This paper adopts Walton and McKersie's Behavioral Theory of Labor Negotiations to examine the outcomes of industrial relations negotiations to implement teamworking. Negotiations from 21 departments across two integrated steelworks are classified into four negotiation patterns, each producing different outcomes from teamworking for managers and employees. Managers secured lower manning and increased productivity in negotiations both in departments characterized throughout by cooperation and those characterized by conflict. However, mutual gains were secured only where union negotiators pursued conflict tactics during bargaining. In those departments where union negotiators adopted more conflictual bargaining tactics, more employees reported pay increases and greater satisfaction with teamworking agreements, compared with employees in more ‘cooperative’ departments. ‘Mixed’ bargaining approaches in other departments were less successful, particularly for union negotiators.     

对随机事件相互独立性的解析

通过实例说明两事件相互独立与互不相容的区分,以及对相互独立的理解。通常情况下,两事件的相互独立性受到样本空间的结构以及概率测度P的定义方式的影响和制约。     

投资基金业绩评价方法

本文介绍和评价了度量基金管理者获取信息质量的指标-信息率，以及基于多因素资本资产定价模型的共同基金业绩评价方法。     

Mutual excitation in Eurozone sovereign CDS

We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features observed in the data, in particular, the clustering of high default probabilities both in time (over days) and in space (across countries). The feedback between jump events and the intensity of these jumps is the key element of the model. We derive closed-form formulae for CDS prices, and estimate the model by matching theoretical prices to their empirical counterparts. We find evidence of self-excitation and asymmetric cross-excitation. Using impulse-response analysis, we assess the impact of shocks and a potential policy intervention not just on a single country under scrutiny but also, through the effect on cross-excitation risk which generates systemic sovereign risk, on other interconnected countries.     

Mutual funds relationships and performance analysis

The present paper aims at exploring the equity exposure of Italian equity mutual funds as they emerge from their portfolio holdings at the date of December 31st, 2010. The technique adopted in the analysis considers the construction of a bipartite network and the detection of the overlap of portfolios held by mutual funds. The relationship among stocks due to their presence in the same portfolios is analyzed, too. Methods typical of complex networks are then applied. The comparison with several performance measures allows to discuss features of active/passive style management for institutional portfolios.     

互感式传感器在智能控制中的应用

电感式传感器是利用电磁感应原理,通过线圈自感和互感的变化,实现非电量电测来进行工作的,它常用来测量位移、振动、压力、比重等物理参数。由于它具有结构简单、工作可靠、寿命长、使用范围广等特点,因此得到广泛的应用。     

关于相互促进的国内国际双循环思考

疫情下的世界经济复苏困难重重,民粹主义、反全球化逆流泛起,党中央此时提出的国内国际双循环决策具有重大的战略与历史意义。如何应对新挑战,需要搭建一个怎样的框架才能打通双循环？特别是在数字化大潮下如何作为？本文认为,应当在畅通要素循环的“一线”,聚焦高科技与高质量消费“两大制高点”的框架下,依托数字化大潮催生新发展动能、深化改革、扩大开放、推动共建共治共享,使数字经济沿着数据的藤蔓延伸至双循环的每一个节点,助力技术替代,攻克“卡脖子”的堵点,满足人民群众高质量消费需求,为新发展格局下的中国经济发展奠定坚实基础。     

中国基金多事之秋跨门槛

2004年可谓中国基金业的多事之秋.众所周知,由于诸多方面的原因,基金市场2004年的整体表现欠佳.但临近年末,基金业界人士却对前景越来越有信心,认为不少基金将给投资者带来惊喜.借由招商基金和中国最大的互联网及移动财经服务提供商--和讯网联合主办的招商基金2004年第四季度投资报告会及业绩巡展北京之行活动举行之际,记者采访了一些基金公司、证券业管理部门、证券分析人士等,他们在看好前景的同时,也对正在进行中的行业监管该如何更好地为行业和投资者服务提出了不少建议.     

企业与职业经理人的互信

近年来,职业经理人跳槽一再成为新闻媒体追逐的焦点.自吴士宏主动提出在2002年聘用协议届满后不再续约聘用协议,TCL董事会也接受了辞职请求后,吴士宏与TCL正式了结缘分.     

高校爱快递代取匹配互助

近年来,电子商务快速发展,在疫情特殊管理趋势下,校园快递取件实现避免密集人流,阻断传染途径具有重要意义.本文使用鱼骨图分析来发现取件流程存在的问题,针对发现的问题运用基础IE和anylogic行人流仿真对校园快递流程进行研究分析,利用质量屋寻找最佳需求并通过小程序来减小人流密度,提高取件效率,改善物流作业流程的标准化程度.