湖北省油菜保险纯费率比较研究——基于不同单产分布下的实证研究

在农作物保险费率厘定当中,期望损失是影响纯费率准确性的关键因素,因此在不同的产量分布下会出现不同的纯费率,本文使用四种参数方法与一种非参数方法,共五种分布对湖北省78个县市①的油菜单产保险纯费率进行厘定,发现不同分布下厘定的费率明显不同,并采取定性与定量相结合的方法对五种分布拟合的效果做出评价。     

基于神经网络模型的智能产业板块股价探究

针对金融波动性和市场风险,基于A股市场上70余只智能板块的股票近10年的四因子数据,从神经网络模型入手实证分析,利用随机梯度算法对收盘价预测,比较预测值与实际值的模型误差及损失函数,进行因子选取、算法改进及指标择优。结果表明,神经网络模型参数在批次为2、迭代次数为4 150时,MSE(均方误差)、MAPE(平均绝对百分比误差)、MAE(平均绝对误差)分别为60.191 1、30.732 6、4.803 2,收盘价的拟合效果最佳,该参数下的神经网络模型可用于探究股票市场价格趋势,为投资者、金融机构提供一定参考依据。     

Lognormal Approximation of Complex Path-Dependent Pension Scheme Payoffs

Abstract

This paper analyzes an explicit return smoothing mechanism which has recently been introduced as part of a new type of pension savings contract that has been offered by Danish life insurers. We establish the payoff function implied by the return smoothing mechanism and show that its probabilistic properties are accurately approximated by a suitably adapted lognormal distribution. The quality of the lognormal approximation is explored via a range of simulation-based numerical experiments, and we point to several other potential practical applications of the paper's theoretical results.     

A multivariate Lévy process model with linear correlation

In this paper, we develop a multivariate risk-neutral Lévy process model and discuss its applicability in the context of the volatility smile of multiple assets. Our formulation is based upon a linear combination of independent univariate Lévy processes and can easily be calibrated to a set of one-dimensional marginal distributions and a given linear correlation matrix. We derive conditions for our formulation and the associated calibration procedure to be well-defined and provide some examples associated with particular Lévy processes permitting a closed-form characteristic function. Numerical results of the option premiums on three currencies are presented to illustrate the effectiveness of our formulation with different linear correlation structures.     

Valuación de opciones de tipo de cambio asumiendo distribuciones α-estables

This paper aims to present the valuation of options using the Black-Scholes method assuming α-stable distributions as an alternative option valuation in the Mexican market. The use of α-stable distributions for modelling financial series allows to overcome the classical valuation main weakness which assumes normality, by capturing the presence of heavy tails and asymmetry in financial time series. One of the main results is the price differential between the two models and the effect of alpha and beta parameters on prices; to show the difference valuation is made of a call option and a put option for the peso-dollar exchange rate. Likewise, basic sensitivity measurements of options (delta, gamma, and rho) were made and the effect of the stability parameter (α) was made on the implied volatility of options assuming the α-stable price as the market price.     

Compound Mixed Poisson Distributions II

Market cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process: a large claim or a high number of claims may accelerate cycle transitions. To take this into account, a semi-Markovian risk model is proposed and analyzed. A refined Erlangization method is developed to compute the finite-time ruin probability of a reinsurance company. Numerical applications and comparisons to results obtained from simulation methods are given. The impact of dependency between claim amounts and phase changes is studied.     

On the severity of ruin in a Markov-modulated risk model

We consider a Markov-modulated risk model in which the claim inter-arrivals, amounts and premiums are influenced by an external Markovian environment process. A system of Laplace transforms of the probabilities of the severity of ruin, given the initial environment state, is established from a system of integro-differential equations derived by Snoussi [The severity of ruin in Markov-modulated risk models Schweiz Aktuarver. Mitt., 2002, 1, 31–43]. In the two-state model, explicit formulas for probabilities of the severity of ruin are derived, when the initial reserve is zero or when both claim amount distributions are from the rational family. Numerical illustrations are also given.     

A. Palmström

Abstract

1. Mr R. Frisch has recently ¹ Ragnar Frisch: Sur les semi-invariants et moments employés dans l'étude des distributions statistiques, Oslo, 1926 (Det Norske VidenskabsAkademis Skrifter, II N:o 3), p. 26. established the interesting identity     

Seasonal mortality for fractional ages in short term life insurance

Abstract

Fernández-Durán, and Gregorio-Domínguez, Seasonal Mortality for Fractional Ages in Life Insurance. Scandinavian Actuarial Journal. A uniform distribution of deaths between integral ages is a widely used assumption for estimating future-lifetimes; however, this assumption does not necessarily reflect the true distribution of deaths throughout the year. We propose the use of a seasonal mortality assumption for estimating the distribution of future-lifetimes between integral ages: this assumption accounts for the number of deaths that occurs in given months of the year, including the excess mortality that is observed in winter months. The impact of this seasonal mortality assumption on short-term life insurance premium calculations is then examined by applying the proposed assumption to Mexican mortality data.     

基于LABVIEW的水泵测试系统的建立

通过Labview开发水泵测试系统平台,使水泵的流量、扬程等水利性能参数及配套电机的电量性能参数采集实现图形化,并通过曲线拟合方式绘制出曲线,依据标准计算判定水泵的性能指标。