构建公务员退出机制的国际视野及启示

国外一些国家建立起了比较完善的公务员退出机制,尽管各国具体做法不尽相同,但具有一些共同的特点。当前我国正在着力完善公务员退出机制,国外有关经验对我国具有重要的启发意义。     

First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications

In this paper, we propose to revisit Kendall’s identity (see, e.g. Kendall (1957)) related to the distribution of the first passage time for spectrally negative Lévy processes. We provide an alternative proof to Kendall’s identity for a given class of spectrally negative Lévy processes, namely compound Poisson processes with diffusion, through the application of Lagrange’s expansion theorem. This alternative proof naturally leads to an extension of this well-known identity by further examining the distribution of the number of jumps before the first passage time. In the process, we generalize some results of Gerber (1990 Gerber, H. U. (1990). When does the surplus reach a given target? Insurance: Mathematics and Economics 9, 115–119.  [Google Scholar]) to the class of compound Poisson processes perturbed by diffusion. We show that this main result is particularly relevant to further our understanding of some problems of interest in actuarial science. Among others, we propose to examine the finite-time ruin probability of a dual Poisson risk model with diffusion or equally the distribution of a busy period in a specific fluid flow model. In a second example, we make use of this result to price barrier options issued on an insurer’s stock price.     

朝权定价理论在风险投资退出决策中的应用

风险资本的退出是风险投资运作的最后一个环节,风险投资的成败在很大程度上取决于风险投资家能否成功地退出投资。理论上,风险投资周期由项目边际增加值和项目边际成本共同确定。实际上,风险资本退出还受到交易双方信息不对称、风险资本家管理能力等多种因素影响。如何建立风险资本退出决策机制,成为风险投资运作过程中的一个关键问题。文章基于期权理念,对期权理论在风险投资退出决策中的应用进行探讨。     

Internet auctions with a temporary buyout option

Using data on 17 industrial countries from 1982 to 2003 and controlling for a wide array of factors, this paper finds that higher exchange rate volatility increases the unemployment rate. The magnitude of the effect is small. The results are robust to variations in specification.     

国资控股企业实施股票期权激励的探讨

股票期权激励作为一种对公司经营者的长期激励模式被全球广泛应用。针对国有控股企业不同于非国有控股企业的治理特征,分析股票期权理论与现实的矛盾冲突,探讨如何实施股票期权激励,为相关部门及上市公司建立、完善及推广股票期权激励制度提供参考。     

不对称雇主学习、外部选择与雇员谈判力

本文在非合作博弈（策略式）单边不对称信息讨价还价框架下,按照外部约束（而不是威胁点）的思路来模型化外部雇主的竞争,以分析不对称雇主学习的程度对处于信息劣势的通用性雇员谈判力的决定作用。本文提出的框架弥补了已有文献的一些不足,同时为不对称雇主学习这一劳动经济学概念提供了一个讨价还价理论基础。     

卷烟制丝加料机新排潮系统的设计与应用

SJ4C加料机在生产的过程中,出口含水率波动较大不能满足工艺标偏准要求,冒泡现象频繁出现,水渍烟具有较大的质量风险隐患。经过对加料机加水系统、热风系统和排潮系统的分析,发现排潮系统能力不足是导致出口含水率波动大的原因。为此基于此,文章设计了新排潮系统,该系统排潮过滤筛结构采用旋转式圆筛代替原来的固定抽屉式半圆筛,筛网自动清洁装置采用刮板清扫和空压气管清吹相结合的方式,设计自动清洗程序,解决了排潮系统筛网容易糊网的难题,改进后出口含水率波动明显减少,杜绝了水渍烟的出现,每天可以减少10 kg不合格品,年节约资金12万元。     

Minimum return guarantees with fund switching rights—An optimal stopping problem

Recently, there is a growing trend to offer guaranteed products where the investor is allowed to shift her account/investment value between multiple funds. The switching right is granted a finite number of times per year, i.e. it is American style with multiple exercise possibilities. In consequence, the pricing and the risk management is based on the switching strategy which maximizes the value of the guarantee put-option. We analyze the optimal stopping problem in the case of one switching right within different model classes and compare the exact price with the lower price bound implied by the optimal deterministic switching time. We show that, within the class of log-price processes with independent increments, the stopping problem is solved by a deterministic stopping time if (and only if) the price process is in addition continuous. Thus, in a sense, the Black and Scholes model is the only (meaningful) pricing model where the lower price bound gives the exact price. It turns out that even moderate deviations from the Black and Scholes model assumptions give a lower price bound which is really below the exact price. This is illustrated by means of a stylized stochastic volatility model setup.     

Bifurcation analysis of Zellner's Marshallian Macroeconomic Model

The Marshallian Macroeconomic Model in Zellner and Israilevich (2005) provides a novel way to examine sectoral dynamics through the introduction of a dynamic entry/exit equation in addition to the usual demand and supply functions found in models of this class. In this paper we examine the possibility of cyclical behavior in the Marshallian Macroeconomic Model and investigate the existence of a Hopf bifurcation with respect to the parameter in the entry/exit equation.     

存款保险定价模型与中国模式选择

本文引进了存款保险定价的期权定价模型和预期损失模型,针对中国现阶段的商业银行经营状况,在预期损失模型的基础上,真实测算了存款保险费率,并建设性地从中国国情出发提出了存款保险费率的基本模式和基于混合方法的拓展模式。最后评价了本文所涉及的存款保险定价模型,并基于实务的角度提出了存款保险费率确定机制。