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1.
Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model
In this paper, we consider the problem of optimal investment by an insurer. The wealth of the insurer is described by a Cramér–Lundberg process. The insurer invests in a market consisting of a bank account and m risky assets. The mean returns and volatilities of the risky assets depend linearly on economic factors that are formulated as the solutions of linear stochastic differential equations. Moreover, the insurer preferences are exponential. With this setting, a Hamilton–Jacobi–Bellman equation that is derived via a dynamic programming approach has an explicit solution found by solving the matrix Riccati equation. Hence, the optimal strategy can be constructed explicitly. Finally, we present some numerical results related to the value function and the ruin probability using the optimal strategy. 相似文献
2.
This paper investigates the impact of ramping rate restrictions imposed on hydro operations to protect aquatic ecosystems. The optimal ramping decision is specified as an optimal control problem which results in a Hamilton Jacobi Bellman (HJB) equation. Electricity prices are modelled as a regime switching stochastic process. The optimal control is determined by solving the HJB equation numerically using a fully implicit finite difference approach with semi-Lagrangian time stepping. The paper focuses on the effect of ramping restrictions on a hydro plant׳s value and optimal operations, and provides an analysis of which factors cause ramping restrictions to have a greater or lesser impact on profitability. It is shown that hydro plant value is negatively affected by ramping restrictions, but the extent of the impact depends on key parameters which determine the desirability of frequent changes in water release rates. Interestingly for the case considered, value is not sensitive to ramping restrictions over a large range of restrictions. The results point to the importance of accurately modelling electricity prices in gauging the trade offs involved in imposing restrictions on hydro operators which may hinder their ability to respond to volatile electricity prices and meet peak demands. 相似文献
3.
In this paper, we consider the optimal proportional reinsurance strategy in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. Under the criterion of maximizing the expected exponential utility with the variance premium principle, we adopt a nonstandard approach to examining the existence and uniqueness of the optimal reinsurance strategy. Using the technique of stochastic control theory, closed-form expressions for the optimal strategy and the value function are derived for the compound Poisson risk model as well as for the Brownian motion risk model. From the numerical examples, we see that the optimal results for the compound Poisson risk model are very different from those for the diffusion model. The former depends not only on the safety loading, time, and the interest rate, but also on the claim size distributions and the claim number processes, while the latter depends only on the safety loading, time, and the interest rate. 相似文献
4.
在辛体系下利用精细积分对矩形波导纵向排列介质层PBG结构进行了分析,并对滤波器进行了优化设计.采用棱单元对波导的横截面进行离散,然后导向哈密顿体系,运用基于黎卡提微分方程的精细积分求出一段介质层和一段空气层的出口刚度阵,再利用区段合并以对问题求解.在此基础上采用序列线性规划法对模型进行求解,得到了滤波性能最优的设计参数.算例表明本文方法具有精确、高效的优点. 相似文献
5.
James Bradfield 《Journal of Economics and Business》1982,34(4):303-315
Dynamic programming is used to describe a specialist's choice of bid and asked prices given uncertainty about both limit and market orders. The role of limit orders is emphasized. Optimal quotes depend on the composition of limit orders, the size of the specialist's position, and the time of day. The optimal bid-ask spread, however, depends only on the composition of the book. The capitalized value of the specialist's franchise is studied. Long-run probability distributions for bid and ask prices are obtained, which show that the variances of these prices increase as the end of the day approaches. 相似文献
6.
Robert G. Cooper 《Industrial Marketing Management》1985,14(3):179-193
The strategy an industrial firm elects for its product development program is increasingly viewed as a critical element of the firm's total corporate strategy. New product development and technology bear an integral relationship to an industrial company's strategic direction by helping to define the range of its possibilities [13]. This article reports the results of an empirical study whose purpose was to identify the major types of innovation strategies that firms pursue—strategy scenarios. A second purpose was to assess which strategies yield the best results. 相似文献
7.
Selecting Winning New Product Projects: Using the NewProd System 总被引:1,自引:0,他引:1
Robert G. Cooper 《Journal of Product Innovation Management》1985,2(1):34-44
Separating probable winners from probable losers is the goal of the new product screening task, and Professor Robert G. Cooper has developed a model that does this with remarkable success. In this article, he reviews various approaches to new product screening and then presents the basics of the NewProd model. NewProd now has a history of use in industry that seems to be fulfilling its original research promise. Professor Cooper shows how managers can build their own screening models and outlines how such models can contribute in an important way to better new product selection decisions. Over the years, Professor Cooper has conducted a series of major research projects that have aimed at improvements in the new product process. Their hallmark has been managerial relevance and a sound theoretical foundation. This article, the third that Professor Cooper has published in JPIM , is in the same tradition. 相似文献
8.
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer is of CRRA form. By solving the corresponding Hamilton–Jacobi–Bellman equation, we identify the value function and the corresponding optimal strategy. We also analyze the asymptotic behavior of the value function for large initial reserves. Finally, we provide some numerical examples to illustrate the results and analyze the sensitivity of the parameters. 相似文献
9.
We study an optimal investment–reinsurance problem for an insurer who faces dynamic risk constraint in a Markovian regime-switching environment. The goal of the insurer is to maximize the expected utility of terminal wealth. Here the dynamic risk constraint is described by the maximal conditional Value at Risk over different economic states. The rationale is to provide a prudent investment–reinsurance strategy by taking into account the worst case scenario over different economic states. Using the dynamic programming approach, we obtain an analytical solution of the problem when the insurance business is modeled by either the classical Cramer–Lundberg model or its diffusion approximation. We document some important qualitative behaviors of the optimal investment–reinsurance strategies and investigate the impacts of switching regimes and risk constraint on the optimal strategies. 相似文献
10.
心理健康问题得到当今社会的极大关注,旅游有助于改善人们的心理健康,学界也进行了相关探讨。采用汉密尔顿焦虑量表(HAMA)与汉密尔顿抑郁量表(HAMD)对89例游客的焦虑状态和72例游客的抑郁状态在旅游前后进行测评,并运用SPSS 20.0进行检验和比对,研究旅游对于改善人们焦虑、抑郁情绪的影响。研究结果显示:1.游后焦虑情绪较游前有显著降低,而抑郁情绪改善不明显;2.景观类型选择对游客焦虑改善存在显著差异;3.旅游时间长短与游客焦虑存在负相关关系。 相似文献