Valuing variable annuity guarantees on multiple assets

Guarantees embedded variable annuity contracts exhibit option-like payoff features and the pricing of such instruments naturally leads to risk neutral valuation techniques. This paper considers the pricing of two types of guarantees; namely, the Guaranteed Minimum Maturity Benefit and the Guaranteed Minimum Death Benefit riders written on several underlying assets whose dynamics are given by affine stochastic processes. Within the standard affine framework for the underlying mortality risk, stochastic volatility and correlation risk, we develop the key ingredients to perform the pricing of such guarantees. The model implies that the corresponding characteristic function for the state variables admits a closed form expression. We illustrate the methodology for two possible payoffs for the guarantees leading to prices that can be obtained through numerical integration. Using typical values for the parameters, an implementation of the model is provided and underlines the significant impact of the assets’ correlation structure on the guarantee prices.     

基于企业视角论伊春国有林权制度改革的效果

运用随机分析方法测算了伊春林管局16个森工企业从2005年到2007年的技术效率值,结果表明:在林改之前的2005年,试点森工企业的技术效率值低于非试点森工企业,2006年国有林权制度改革试点之后,试点森工企业的技术效率得到了显著提高,在2007年试点森工企业的技术效率值已超过非试点森工企业。采用DID模型对影响森工企业技术效率的因素进行分析的结果表明:国有林权制度改革对森工企业技术效率具有显著影响。研究的结论是:仅就企业效率而言,国有林权制度改革具有明显的积极意义。     

中国梦视阈下边疆大学生理想信念教育探究

边疆高校学生是边疆民族地区未来建设的生力军,将引导着边疆民族地区未来发展的方向,因而对大学生进行理想信念教育是边疆高校思想政治教育的核心内容。在中国梦语境下加强边疆高校学生理想信念教育要拓新大学生理想信念教育的内容,改进大学生理想信念教育的方式,优化大学生理想信念教育的环境。     

Information Technology, Organizational Transformation and Productivity Growth: An Examination of the Brynjolfsson–Hitt Proposition

This study investigates what happened to productivity growth during the Information Technology (IT) revolution in an IT-driven economy, Korea. To this end, we have decomposed the source of productivity growth into technological change, technical efficiency and scale economies using a stochastic frontier function and examined how the composition of productivity growth has changed with different phases of IT developments. We have used panel data that is comprised of 4022 firms from 1996 to 2000. We have found that Korean firms have been quick to embrace organizational restructuring to adapt to a new business environment brought about by IT, which seems to be the major source of the success of Korean firms. We have also found that: (i) there is no substantial difference in productivity gains between IT-producing firms and IT-using firms; (ii) productivity growth is more robust to business cycles in an IT-driven economy than in the traditional economy; and (iii) efficiency improvement attributed to organizational transformation plays a greater role in productivity growth as IT applications become more widespread.     

基于SFA的我国中东部经济发展效率差异性的实证分析

以10个省1999—2008年的面板数据为基础,运用基于超越对数的随机前沿生产函数模型,分析了中东部经济发展的技术效率、技术进步和全要素生产率,研究发现:中部的技术效率和技术进步要低于东部,中部对资本和劳动力投入的依存度较大,但中部的效率变化值很大,导致全要素生产率大于东部,中东部经济发展差异存在着减小的趋势。     

不同兼业类型农户的小麦技术效率研究——以河南省为例

农户兼业问题是在我国人地矛盾较尖锐、农村社会保障制度尚不健全的制约下形成的农户家庭内部分工的均衡形态,是我国农村经济社会转型时期的普遍现象。在今后相当长的一段时期内,农户兼业经营现象将长期存在,并将成为我国农业和农村发展的普遍趋势。近年来我国农户兼业现象进一步不断深化,且兼业农户的比重远远超过了纯农户。文章首先对河南省农户兼业整体情况进行阐述,并对不同兼业类型农户的小麦生产情况进行了对比分析;其次,运用随机前沿分析方法 (SFA),对样本农户数据小麦生产的技术效率进行分析研究,得出河南省2004~2011年间小麦生产的技术效率值较高,同时对不同兼业类型农户的技术效率均值进行对比分析,得出3种不同兼业类型农户的小麦技术效率存在一定的差异:I兼农户的技术效率高于纯农户和Ⅱ兼农户,其中Ⅱ兼农户的技术效率值最低;最后文章讨论分析了3种不同兼业类型农户小麦技术效率存在差异的现象。     

我国农业全要素生产率增长与空间溢出效应——基于31个省市区2000—2014年数据的实证分析

不断提升农业全要素生产率是新时代农业现代化的必然要求。建立超越对数生产函数模型,测算我国31个省市区2000—2014年的农业全要素生产率（TFP）,并采用动态SAR模型分析农业TFP的空间溢出效应,结果表明：我国农业TFP整体上不断增长,但近年来增速趋于下降;农业TFP存在显著的动态效应,表现出较强的发展惯性;农业TFP具有显著的正向空间溢出效应,相邻地区的农业TFP增长相互促进;劳动和资本投入不仅直接促进本地区的农业TFP增长,也间接促进邻近地区的农业TFP增长。为此,需要从加强农业投入、区域合作、政策支持等方面入手,充分利用农业TFP增长的空间溢出效应和动态效应,有效促进各地区农业TFP的持续快速增长。     

A Model for Positively Correlated Count Variables

An α-permanental random field is briefly speaking a model for a collection of non-negative integer valued random variables with positive associations. Though such models possess many appealing probabilistic properties, many statisticians seem unaware of α-permanental random fields and their potential applications. The purpose of this paper is to summarize useful probabilistic results, study stochastic constructions and simulation techniques, and discuss some examples of α-permanental random fields. This should provide a useful basis for discussing the statistical aspects in future work.     

发展边境贸易加快边境民族地区脱贫致富

发展边境贸易,促使边疆民族地区脱贫致富意义重大.发展边境贸易应加快基础设施建设;实行多种贸易方式并举的策略;在联合协作的基础上发展各具特色的省级经济;及时调整出口商品结构;做好商业情报的保密工作;建立适应边境贸易的经济体系.     

百色中越边境贸易发展成效及存在问题研究

近期以来,百色抓住中国-东盟自由贸易区建设的机遇,充分利用国家边境贸易优惠政策,不断加大边境基础设施建设,优化口岸通关环境,边境贸易发展迅速、规模逐年增大,进出口产业结构也不断得到调整和优化。但是因发展基础较差,起步较晚、政策措施缺位等诸多因素的影响,百色边境贸易发展还依然存在诸多问题。