期权视角下的社会养老保障政策评估

人口老龄化是一个全世界各主要经济体目前正在经历（如日本）或即将面临（如中国和美国）的主要社会经济难题.因此,如何选择有效的社会养老保障政策是当前经济学研究关注的热点之一.     

Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments

In this paper, we provide a novel representation of delta-hedged option returns in a stochastic volatility environment. The representation of delta-hedged option returns provided in this paper consists of two terms: volatility risk premium and parameter estimation risk. In an empirical analysis, we examine delta-hedged option returns based on the result of a historical simulation with the USD-JPY currency option market data from October 2003 to June 2010. We find that the delta-hedged option returns for OTM put options are strongly affected by parameter estimation risk as well as the volatility risk premium, especially in the post-Lehman shock period.     

On the Target Option and Realization of Economic Benefit Auditing

经济效益审计在国外已经实行多年,而我国尚处在起步阶段。多年来,我国的审计工作一直停留在合法性、合理性层面上,开展经济效益审计,既是审计工作发展的必然趋势,也是与国际惯例接轨的需要。本文从经济效益审计的目标选择与实现等方面入手,对经济效益审计目标的选择与实现做了重点阐述,并结合现状对未来的经济效益审计工作提出了几点可行性的意见与建议。     

避税的经济分析及反避税政策选择

理性的纳税人不仅通过少报收入来进行逃税,而且可以进行减少逃税风险的投资。因此建议一是提高查获率和罚款的比例;二是适当降低税率。     

地方政府促进科技金融发展政策问题研究

李克强总理在达沃斯论坛上提出了“大众创业、万众创新”的概念,由此可见科技创新的重要性,科技创新是企业生存发展的动力。目前,虽然我国政府和企业都非常重视科技,但整体创新能力不强。另外,金融的概念也未能发挥真正作用,未能服务于现代科技型企业的创新和生产活动。究其原因除了历史原因外,科技金融创新体系激励机制的缺失也是重要原因。这就要求地方政府强化政府职能,运用多种手段,鼓励和支持科技金融行业发展。     

Understanding the Shift in Demand for Cash Value Life Insurance

Ownership of cash value life insurance in the United States has fallen in recent decades. Changes in age cohorts, family composition, and tax laws may have contributed to this decline. We identify factors that influence the demand for cash value life insurance and test whether they alone can explain the sharp decline in ownership. Demographic and tax code changes do not explain the decrease in permanent insurance. There is a consistent downward trend in demand from 1992 to 2010—particularly among middle‐age and younger households. The fewer households who own cash value policies are on average wealthier and more financially sophisticated, suggesting that permanent life insurance is increasingly being used as a tax shield rather than as a hedge against a loss in human capital.     

The Effect of the Real Option to Transfer on the Value of Guaranteed Minimum Death Benefits

Variable annuity contracts frequently have many options and option‐like features embedded in the contracts. Some are obvious, such as guaranteed minimum death benefits (GMDBs), while others are less obviously option‐like. In this article, we consider the effect of the real option to transfer funds between fixed and variable accounts. If a GMDB rider is considered in isolation, it is sometimes in the policyholder's interest to transfer to the fixed fund if the fixed fund earns less than the variable fund in a risk‐neutral world. On the other hand, the option to transfer will not be used if the entire annuity and rider are considered together.     

支持海峡西岸经济区建设的税收政策选择

海峡西岸经济区的建设已经更加紧密地与全国的区域发展布局、与东部加快发展、中西部的开发、与促进祖国统一大业联系在一起。随着改革开放的逐步深入以及闽台经贸合作的日益加深．原有税收优惠政策显得过于分散,没有形成促进区域协调发展的态势,无法满足海峡西岸经济区建设的需要。     

Seasonality in the Option Market

This study examines call and put option returns from 1983 to 1985 for the presence of a January seasonal effect, a monthly effect, and a day-of-the-week effect. Results in dicate the presence of seasonality in call returns, with returns significantly higher in early January and significantly lower on Mondays. Put returns generally exhibit less seasonality, although out-of-the-money put options are significantly lower in January and in-the-money put options are significantly lower in early January. These results are generally consistent with stock return patterns.     

Guarantees in With-Profit and Unitized With-Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option

The purpose of the article is to apply contingent claim theory to the valuation of the type of participating life insurance policies commonly sold in the UK. The article extends the techniques developed by Haberman, Ballotta, and Wang (2003) to allow for the default option. The default option is a feature of the design of these policies, which recognizes that the insurance company's liability is limited by the market value of the reference portfolio of assets underlying the policies that have been sold. The valuation approach is based on the classical contingent claim pricing “machinery,” underpinned by Monte Carlo techniques for the computation of fair values. The article addresses in particular the issue of a fair contract design for a complex type of participating policy and analyzes in detail the feasible set of policy design parameters that would lead to a fair contract and the trade‐offs between these parameters.     

Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

The authors offer a new perspective to the field of guaranteed minimum death benefit contracts, especially for simple return premium and rising floor guarantees. A particular feature of these contracts is a guaranteed capital upon the insured's death. A complete methodology based on the generalized Fourier transform is proposed to investigate the impacts of jumps and stochastic interest rates. This paper thus extends Milevsky and Posner (2001). If jumps alone are considered, similar results are obtained, but, when stochastic interest rates are introduced, the fair costs of the guarantee feature are found to be substantially higher in this more general economy.     

The Life and Death of the Canadian Contingent Gains and Losses Accounting Standards Project*

In April 1994, the Canadian Accounting Standards Board formally approved a new accounting standard for contingent gains and losses. The new standard would have increased the frequency of recording contingent losses, enabled the accrual of some contingent gains, and enhanced disclosures for all contingencies. The changes would primarily have been achieved by requiring management, and their legal advisers, to make predictions, estimates, and disclosures that the existing accounting standard enabled them to avoid. Over two years later, and following numerous changes to the implementation date, the board ultimately decided not to release the new standard, and in July 1999, formally abandoned the contingencies project. This study provides a telling of the standard's genesis, development, and ultimate demise, which should prove instructive to those parties with an interest and a stake in accounting standard setting.     

Volatility Information Trading in the Option Market

This paper investigates informed trading on stock volatility in the option market. We construct non-market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future realized volatility of underlying stocks. We also find that the impact of volatility demand on option prices is positive. More importantly, the price impact increases by 40% as informational asymmetry about stock volatility intensifies in the days leading up to earnings announcements and diminishes to its normal level soon after the volatility uncertainty is resolved.     

再谈对外商投资企业股权转让收益所得税相关政策的理解--兼与杨力、李伟、李蕴商榷

《涉外税务》2005年第1期刊载的西南财经大学财税学院李伟、李蕴的文章《也谈外商投资企业股权投资收益所得税的有关规定》(以下简称李文),就《涉外税务》2003年第2期刊载的德勤华永会计师事务所大连分所杨力撰写的《外商投资企业股权投资税收筹划之辨析》(以下简称杨文)中股权     

终身寿险退保的利率敏感性分析——基于保单保障水平的测算

市场利率变化对于不分红终身寿险产品退保的影响很大,终身寿险保单不能够通过选择较长的缴费期来缓解市场利率变化引起的退保压力,调整预定利率能缓解退保压力;适当的分红政策能够大大缓解市场利率变化对分红型终身寿险退保的影响,但是经营效益差,分红水平低于市场预期的寿险公司产品可能会遭遇到更大的退保压力。     

Pricing the Option to Surrender in Incomplete Markets

New international accounting standards require insurers to reflect the value of embedded options and guarantees in their products. Pricing techniques based on the Black and Scholes paradigm are often used; however, the hypotheses underneath this model are rarely met. We propose a framework that encompasses the most known sources of incompleteness. We show that the surrender option, joined with a wide range of claims embedded in insurance contracts, can be priced through our tool, and deliver hedging portfolios to mitigate the risk arising from their positions. We provide extensive empirical analysis to highlight the effect of incompleteness on the fair value of the option.     

居家还是住机构——临终老人的照料成本和死亡质量比较

我国将逐步进入深度老龄化和高龄化阶段,老年临终照料成本也将快速增长,如何在提升临终照料服务质量的同时降低照料成本成为重要的政策议题。本文利用2002—2014年中国老年健康影响因素跟踪调查(CLHLS)中的死亡人口跟踪调查数据,借助两部分模型、样本选择模型、工具变量和倾向得分匹配方法,首次对住机构老人和居家老人的临终照料直接成本和总成本进行深入比较,并借助Mlogit回归模型和倾向得分匹配方法,研究居住安排与照料成本对死亡质量的影响。研究发现,住机构老人和居家老人在支付的直接成本、总成本、死亡质量方面都没有显著差异,我国临终老人照料成本的增加显著降低了死亡质量。因此,完善养老服务体系应根据老人照料需求强度和特征精准施策。为提高老人临终前的生存质量和死亡质量,我国应开展临终照料供给侧结构性改革,大力发展机构照料,并提高临终照料的专业性。     

The Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees

This article analyzes the numerical impact of different surplus distribution mechanisms on the risk exposure of a life insurance company selling with profit life insurance policies with a cliquet‐style interest rate guarantee. Three representative companies are considered, each using a different type of surplus distribution: a mechanism, where the guaranteed interest rate also applies to surplus that has been credited in the past, a slightly less restrictive type in which a guaranteed rate of interest of 0 percent applies to past surplus, and a third mechanism that allows for the company to use former surplus in order to compensate for underperformance in “bad” years. Although at the outset all contracts offer the same guaranteed benefit at maturity, a distribution mechanism of the third type yields preferable results with respect to the considered risk measure. In particular, throughout the analysis, our representative company 3 faces ceteris paribus a significantly lower shortfall risk than the other two companies. Offering “strong” guarantees puts companies at a significant competitive disadvantage relative to insurers providing only the third type of surplus distribution mechanism.