Asymptotics of ruin probabilities for controlled risk processes in the small claims case

We consider a risk process with the possibility of investment into a risky asset. The aim of the paper is to obtain the asymptotic behaviour of the ruin probability under the optimal investment strategy in the small claims case. In addition we prove convergence of the optimal investment level as the initial capital tends to infinity.     

新林区企业网络营销现状及发展策略分析

网络时代的到来为新林区企业提供了机遇,也带来了挑战,由于互联网基础设施建设薄弱、传统观念的束缚、网络营销人才匮乏等原因制约着我国新林区企业网络营销的开展。本文结合新林区企业现状,针对以上问题,为新林区企业开展网络营销提出相应解决策略。     

On the Use of the Log CAR Measure in Event Studies

Cross-sectional averages of log returns have been used to measure shareholder wealth effects in several event studies. No adequate explanation of the implied portfolio strategy has ever been provided in the literature. We argue that the method is biased or does not portray a realistic portfolio strategy. It should therefore be used with caution in the event-study' literature.     

实物期权在种子期风险企业价值评估中的应用

本文从种子期风险企业价值评估的特点入手,分析了传统的净现值(NPV)法在其价值评估中的局限性,然后分析了种子期风险企业的实物期权特征,并在此基础上将净现值(NPV)法和实物期权相结合构建了种子期风险企业的价值评估模型,最后通过一个案例分析说明了该模型的应用过程。     

Pricing Options With Curved Boundaries1

This paper provides a general valuation method for the European options whose payoff is restricted by curved boundaries contractually set on the underlying asset price process when it follows the geometric Brownian motion. Our result is based on the generalization of the Levy formula on the Brownian motion by T. W. Anderson in sequential analysis. We give the explicit probability formula that the geometric Brownian motion reaches in an interval at the maturity date without hitting either the lower or the upper curved boundaries. Although the general pricing formulae for options with boundaries are expressed as infinite series in the general case, our numerical study suggests that the convergence of the series is rapid. Our results include the formulae for options with a lower boundary by Merton (1973), for path-dependent options by Goldman, Sossin, and Gatto (1979), and for some corporate securities as special cases.     

A semiparametric technique to estimate survival probabilities

The role of the so-called surplus processes in the assessment of probability of survival of a company is well-known in risk theory and applications thereof. However, the insurance models used in this regard ignore the fact that, in many situations, no relevant information is available for the assessment of survival after the company goes out of business. In this paper, we revisit the classical risk model in order to remedy this situation. Having stopped the deficit process, which is negative of the surplus process, at the time of ruin, under two different sampling schemes, we obtain inference procedure for ruin probabilities. As by products of our methodology, we also obtain procedures to assess the reliability of systems whose survival depends on a cumulative damage process, which is equivalent to the aggregate claim size process of the classical risk model.     

GPS大地高观测值替代几何水准可行性探讨

GPS是随着现代科学的发展而兴起的以卫星为基础的无线电导航定位技术。它具有定位精度高、操作简便等优点,在测量领域获得了越来越广泛的应用。GPS在高程控制测量方面的应用还存在着不尽如人意的地方,主要的原因是GPS高程控制测量只能得到大地高,而不是工程中所需要的正常高。实现大地高向正常高的转换是工程上应用GPS高程控制成果所必须要解决的问题,也是本文研究的主要内容。     

On mixing,compounding, and tail properties of a class of claim number distributions

The mathematical structure underlying a class of discrete claim count distributions is examined in detail. In particular, the mixed Poisson nature of the class is shown to hold fairly generally. Using some ideas involving complete monotonicity, a discussion is provided on the structure of other class members which are well suited for use in aggregate claims analysis. The ideas are then extended to the analysis of the corresponding discrete tail probabilities, which arise in a variety of contexts including the analysis of the stop-loss premium.     

碳达峰目标下中国煤炭价格预测研究

要想实现碳达峰目标,能源结构调整与产业转型升级是主要途径。煤炭作为主体能源,其价格变动既能反映煤炭供需状况,又能引导煤炭投资行为。相比其他情景,碳达峰情景下的煤炭价格预测更为困难,特别是确定合适的煤炭价格变动模型更为困难。使用2010年10月20日至2021年9月1日环渤海动力煤周价格指数,采用蒙特卡罗法对多个煤炭价格变动模型的拟合度进行检验,并根据检验结果预测2030年前中国煤炭价格变动情况。结果显示:几何布朗模型与均值回归模型均可体现中国煤炭价格的变动特征,两者在短期内的预测结果较为一致,但中长期的预测结果则呈现不同的变动情况。根据研究结论,提出了相关对策建议。     

The likelihood of the referendum paradox for a given referendum result

The referendum (or compound majority) paradox occurs when the majority of voters in the majority of districts supports an issue/candidate but the majority of voters across all districts opposes the same issue/candidate (or vice versa). We calculate the likelihood of this social choice anomaly for any (possibly large) odd number of districts and any (possibly large) odd number of voters per district. The likelihood of the paradox is close to 50% when the issue/candidate is divisive (voters across all districts are split almost 50%–50%). The paradox virtually disappears when the issue/candidate is supported/opposed by at least two-thirds of all voters.