Indifference Pricing of a GLWB Option in Variable Annuities

We investigate the valuation problem of variable annuities with guaranteed lifelong/lifetime withdrawal benefit (GLWB) options, which give the policyholder the right to withdraw a specified amount as long as he or she lives, regardless of the performance of the investment. We assume the static approach that the policyholder’s withdrawal rate is a constant throughout the life of the contract. We apply the principle of equivalent utility to find the indifference price for a variable annuity with a GLWB contract with an equity-indexed death benefit. Using an exponential utility function, Hamilton-Jacobi-Bellman (HJB) type partial differential equations (PDEs) are derived for the pricing functions. We first assume the mortality is deterministic, and the pricing PDE is solved numerically using a finite difference method. The effects of various parameters are investigated, including the age at inception of the policyholder, withdrawal rate, risk-free rate, and volatility of the underlying asset. We also consider a roll-up option and analyze the effect of delaying the start of the withdrawals. Another pricing PDE is derived with a stochastic mortality, when the force of mortality is modeled with a stochastic differential equation. A finite difference method is used again to solve the pricing PDE numerically, and the sensitivities of the GLWB contracts with respect to the withdrawal rate and the risk-free rate are explored.     

基于知识产权的组织间关系网络的演化特征

分析了基于知识产权的组织间关系网络的基本内涵和构成要素,将基于知识产权的组织间关系网络的生命周期划分为5个阶段——创立阶段、成长阶段、成熟阶段、衰退阶段和解散阶段,具体论述了各阶段的组织间关系网络的演化特征。以对450家企业的深度访谈和问卷调查为基础,通过描述性统计分析、因子分析以及多元方差分析来实证研究目标一致性、信息沟通以及信任等关系属性在各阶段的传递规律。研究结果表明,基于知识产权的组织间关系属性的顶峰阶段并非都出现在关系生命周期的成熟阶段。     

Value at risk forecasting for volatility index

Forecasts of values at risk (VaRs) are made for volatility indices such as the VIX for the US S&P 500 index, the VKOSPI for the KOSPI (Korea Stock Price Index) and the OVX (oil volatility index) for crude oil funds, which is the first in the literature. In the forecasts, dominant features of the volatility indices are addressed: long memory, conditional heteroscedasticity, asymmetry and fat-tails. An out-of-sample comparison of the VaR forecasts is made in terms of violation probabilities, showing better performance of the proposed method than several competing methods which consider the features differently from ours. The proposed method is composed of heterogeneous autoregressive model for the mean, GARCH model for the volatility and skew-t distribution for the error.     

Net Equity and Debt Flows to Emerging Market and Developing Economies in the Post-Crisis Era

We investigate the determinants of net equity and debt flows into 60 emerging and developing countries during 1986–2012, with a special focus on the period following the onset of the global financial crisis (GFC). Our results controlling for endogeneity show that net equity flows to emerging markets were mostly influenced by global risk factors, while net debt flows were affected by country-specific factors. We further distinguish the factors that were more pronounced in determining net portfolio flows to emerging markets since the GFC. The US real interest rate had significant spillover effects on net equity flows after the GFC. An increase in country’s domestic credit attracted net debt inflows before the GFC, while it was associated with net equity outflows after the GFC. We also find that capital controls moderated net debt flows since the GFC.     

浅谈深基坑支护工程的监理控制

城市建设的发展和城市中心区域的再开发,使深基坑工程应用愈加广泛。因深基坑工程具有技术难度大、复杂性、风险性的特点,特别是深基坑支护工程常出现技术、安全、质量方面的问题,故必须强化监理职能。现仅以抚顺某集团公司总医院内科大楼为例,从基坑支护方案的审查、施工过程的监理控制以及对施工过程中出现问题的分析、处理,论述了在支护工程中监理控制工作的重要作用。     

保险公司诉讼与诉讼预期相关性研究

近年来我国保险诉讼案件增势不减,有的历经一审、二审,有的还要再审。从媒体披露的结果看,保险公司无论作为原告还是被告,似乎都是胜少败多。本文通过对北京某人寿保险股份有限公司2005年～2008年诉讼、诉讼预期数据的实证调研,探讨保险公司诉讼预期是否实现及实现程度,在此基础上提出更理性、更具可操作性的建议。     

Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market

One of the most widely used option valuation models among practitioners is the ad hoc Black–Scholes (AHBS) model. The main contribution of this study is methodological. We carefully consider two rollover strategies (nearest‐to‐next strategy and next‐to‐next) used in the AHBS model to investigate their effect on pricing errors. We suggest a new rollover strategy, next‐to‐next strategy, and demonstrate that our rollover strategy produces more consistent estimates between in‐sample market and model option prices. Probably even more important is that our new rollover strategy makes more accurate out‐of‐sample forecasts for 1‐day or 1‐week ahead prices. Prior literature has documented some anomalies associated with the use of AHBS model, for example, an overfitting problem. A secondary contribution is that our new rollover strategy does not suffer from this overfitting critique. Third, this study uses the mean square error for out‐of‐sample pricing and price changes to determine how the options investors are influenced by moneyness. The results indicate that underpricing (or overpricing) by the AHBS model for the near‐the‐money category is more likely to be maintained for the next several trading days but that such a phenomenon is disappeared for the deep out‐of‐the‐money category. Finally, we suggest the ratio of the number of option contracts to differences in strike prices available for trading between the current day and the previous day(s) as a good categorizing factor for options, such as moneyness. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark     

移动动态安防系统

随着个人私有电子设备日益完善，大量隐私信息存储于这些电子设备中，非法的越权访问导致了这类隐私信息的大量流失，本系统实现了远程监控、监督由于时间和空间阻隔而不能实时操控的电子设备的运行状况。     

我国医药零售企业国际比较与对策研究

随着我国加入WTO及世界经济一体化 ,我国在医药流通领域的管制将于 2 0 0 5年放开。以我国医药零售业的代表企业———深圳一致药业股份有限公司、上海华氏大药房有限公司为例同世界巨头———CVS和Walgreen在企业的发展历史、赢利模式、绩效评价指标分析等方面做横向比较 ,找出我国医药零售企业和世界巨头的差距 ,在此基础上才能从产业组织结构优化的角度制定出相应的措施