On a family of counting distributions and recursions for related compound distributions

Abstract

This paper considers a family of counting distributions whose densities satisfy certain second order difference equations. Recursions for the evaluation of related compound distributions are developed in the case of severity distributions which are concentrated on the non-negative integers. From these a characterization of the considered counting distributions is obtained, and it is shown that most of these are compound Poisson distributions.     

Die Lebensversicherung mit exponentiell ansteigender Prämienreserve (Sparversicherung)

Abstract

Die gebräuchlichste Form der Lebensversicherung ist heute die Kapitalversicherung auf den Todes- und Erlebensfall. Bei ihr wird im Versicherungsfall ein bestimmtes Kapital fällig; als Gegenleistung sind hierfür vom Versicherungsnehmer laufend Prämien zu entrichten in Form von gleichen Jahresbeträgen oder auch gleichen unterjährigen Raten. Dieses Prinzip, einem gleichmässigen Versicherungsschutz einerseits gleichmässig fällig werdende Prämien gleicher Höhe andererseits gegenüberzustellen, wird durch die ausgleichend wirkende Funktion der Prämionreserve möglich, welche die bisher nicht benötigten Teile (Sparprämien) der eingezahlten Prämien jeweils reserviert für die sich zukünftig durch Tad oder Ablauf mehr und mehr häufenden Versicherungsfälle. Damit erfüllt die Prämionrosorve als Regulator eine wichtige versicherungstechnische Aufgabe. Dennoch bleibt sie dem Versicherungsnehmer im allgemeinen unbekannt, weil ihre jeweilige Hohe nur mit Hilfe von umfangreichen Tabellen nach mathematischen Formeln berechnet werden kann, so dass ihr verschwiegenes Dasein nicht selten zu Missverständnissen Anlass gibt.     

Prediction of outstanding payments in a Poisson cluster model

We consider a simple Poisson cluster model for the payment numbers and the corresponding total payments for insurance claims arriving in a given year. Due to the Poisson structure one can give reasonably explicit expressions for the prediction of the payment numbers and total payments in future periods given the past observations of the payment numbers. One can also derive reasonably explicit expressions for the corresponding prediction errors. In the (a, b) class of Panjer's claim size distributions, these expressions can be evaluated by simple recursive algorithms. We study the conditions under which the predictions are asymptotically linear as the number of past payments becomes large. We also demonstrate that, in other regimes, the prediction may be far from linear. For example, a staircase-like pattern may arise as well. We illustrate how the theory works on real-life data, also in comparison with the chain ladder method.     

Optimal hedging for fund and insurance managers with partially observable investment flows

All financial practitioners are working in incomplete markets full of unhedgeable risk factors. Making the situation worse, they are only equipped with imperfect information on the relevant processes. In addition to the market risk, fund and insurance managers have to be prepared for sudden and possibly contagious changes in the investment flows from their clients so that they can avoid the over- as well as under-hedging. In this work, the prices of securities, the occurrences of insured events and (possibly a network of) investment flows are used to infer their drifts and intensities by a stochastic filtering technique. We utilize the inferred information to provide the optimal hedging strategy based on the mean-variance (or quadratic) risk criterion. A BSDE approach allows a systematic derivation of the optimal strategy, which is shown to be implementable by a set of simple ODEs and standard Monte Carlo simulation. The presented framework may also be useful for manufacturers and energy firms to install an efficient overlay of dynamic hedging by financial derivatives to minimize the costs.     

高校学报编辑审稿工作中存在的问题及改进思路

审稿是编辑工作的中心环节,本文以高校学报责任编辑为主体,总结提出近年来高校学报编辑审稿过程中存在的一些问题及现象,分析问题原因,并提出相应的对策措施,以深化对高校学报编辑审稿问题的认识。     

马斯洛人性理论的再认识

马斯洛倾其毕生精力为人本主义心理学奠定的人性理论基础,内容十分丰富,涉及的问题十分庞杂,是对人性问题的十分广泛和比较深入的研究与探索。我国20世纪80年代开始关注、介绍、研究马斯洛的理论,一度出现"马斯洛热"。十七大把人的问题提到了一个新的理论和实践的发展高度,人的全面发展和社会的全面进步紧密结合在一起,在新的时代背景下,有必要对马斯洛的人性理论进行再认识,运用马克思主义立场、观点和方法,客观地、实事求是地评价马斯洛的人性论,对准确理解马斯洛人性理论的内涵,整体把握马斯洛人性理论的内容,充分估计马斯洛人性理论的理论意义和应用价值具有十分重要的意义。     

浅析刑事被告人质证权的确立及其宪法化

刑事被告人的质证权作为刑事被告人的一项重要的诉讼权利,是刑事程序正义的重要内容,也是被告人的一项基本人权,为保障刑事被告人的质证权真正落到实处并建立起良好的制度基础,对其理论基础的研究便凸现其重要性。     

CreditRisk+ Model with Dependent Risk Factors

The CreditRisk⁺ model is widely used in industry for computing the loss of a credit portfolio. The standard CreditRisk⁺ model assumes independence among a set of common risk factors, a simplified assumption that leads to computational ease. In this article, we propose to model the common risk factors by a class of multivariate extreme copulas as a generalization of bivariate Fréchet copulas. Further we present a conditional compound Poisson model to approximate the credit portfolio and provide a cost-efficient recursive algorithm to calculate the loss distribution. The new model is more flexible than the standard model, with computational advantages compared to other dependence models of risk factors.     

香港金融体系对大陆金融体系的重要性(英文)

本文由上海要建立国际化的金融中心开始,讨论了香港金融市场现在的优势,以及香港金融市场对中国金融体系改革的重要性,在本文的最后,作者给出了结论。     

Perceptions of climate change among members of the House of Peoples’ Representatives,Ethiopia

Climate change has become an issue which touches upon all spheres of life. To combat the problem, understanding the perceptions of all that have stake in it provides with stronger ground for decision-making. Ethiopia is one those countries that are or going to be severely affected by climate change, the solution of which partly depends on how its key decision-makers perceive the problem. In light of this a questionnaire survey was conducted on 195 volunteering members of the House of People’s Representatives in Ethiopia. The results of data analysis reveal that most identified rainfall variability, declining hydrology and increasing temperature as manifestations of climate change, and emission reduction and forest protection as its key solutions.     

矩阵式管理在人民银行财务管理中的效应分析

新经济形势下,人民银行在我国经济和社会发展中的作用更加明显,同时央行治理结构不断完善,对会计财务工作提出了新的要求,财务预算管理越来越成为央行维护金融稳定、实施货币政策、实现地位职能的重要保障.合理规划预算资金,提高资金的使用效益成为预算管理工作的重中之重.本文从人民银行预算管理的现状入手,分析当前预算管理模式存在的问...     

关于单位负责人作为本单位会计责任主体的思考

新修订的《会计法》已于今年7月1日正式实施了。为配合《会计法》的宣传落实，排解单位负责人的疑虚，试从单位负责人有哪些会计责任、为什么单位负责人是本单位会计责任主体、单位负责人应如何保证本单位会计工作和会计资料真实完整三方面谈谈个人的认识。     

Stochastic orders in dynamic reinsurance markets

We consider a dynamic reinsurance market, where the traded risk process is driven by a compound Poisson process and where claim amounts are unbounded. These markets are known to be incomplete, and there are typically infinitely many martingale measures. In this case, no-arbitrage pricing theory can typically only provide wide bounds on prices of reinsurance claims. Optimal martingale measures such as the minimal martingale measure and the minimal entropy martingale measure are determined, and some comparison results for prices under different martingale measures are provided. This leads to a simple stochastic ordering result for the optimal martingale measures. Moreover, these optimal martingale measures are compared with other martingale measures that have been suggested in the literature on dynamic reinsurance markets.Received: March 2004, Mathematics Subject Classification (2000): 62P05, 60J75, 60G44JEL Classification: G10     

XBRL格式财务报告对中国股市有效性的影响研究

上交所和深交所于2009年初正式要求上市公司披露XBRL格式的财务报告。采用XBRL格式的财务报告可以降低金融消费者的信息处理成本,提高信息传递效率,使股价能够更充分地反映上市公司的经营信息,从而提高股票市场的有效性。本文利用上证综合指数、上证A股指数、上证B股指数、深证综合指数、深证成份指数、深证A股指数以及深证B股指数等7个指数的相关数据,实证检验上交所和深交所实施XBRL的效果。结果表明,无论以何种股票指数作为中国股票市场的代理指标,采用XBRL格式财务报告均可以降低其对随机游走的偏离程度,即提高股市的有效性。     

储户预期与金融稳定

本文利用中国88家银行的面板数据及中国人民银行的储户问卷调查数据,研究储户对未来经济和收入感知的预期对金融稳定性的影响。研究发现,通过储户资产配置、货币政策预期与银行风险承担三个渠道储户预期水平上升有助于提高金融稳定性;机构储户对金融稳定性的边际影响高于居民储户;城市储户的预防动机需求会降低金融稳定性;从系统重要性银行角度看,储户预期对非系统重要性银行的影响更大,储户对房价信息与股市波动等信息的适应性学习会降低储户预期对金融稳定性的影响。