索赔次数为复合Poisson-Geometric过程下的破产概率和最优投资和再保险策略

本文对索赔次数为复合Poisson-Geometric过程的风险模型,在保险公司的盈余可以投资于风险资产,以及索赔购买比例再保险的策略下,研究使得破产概率最小的最优投资和再保险策略.通过求解相应的Hamilton-Jacobi-Bellman方程,得到使得破产概率最小的最优投资和比例再保险策略,以及最小破产概率的显示表达式.     

通胀风险下的鲁棒最优投资组合与再保险问题研究（英文）

本文研究了一个保险公司带通胀风险的鲁棒最优投资组合与再保险问题,其中保险公司对模型不确定性是含糊厌恶的.我们假设保险公司不仅可以购买比例再保险,还可以在风险资产和无风险资产中进行投资.在模型不确定性框架中,本文的优化目标是使得保险公司的终端财富最小的情况下其幂效用达到最大.根据随机控制理论,获得了最优策略和值函数的显示表达式.     

在不允许卖空条件下的最优比例再保险投资

假设保险公司的盈余过程服从一个带扰动项的布朗运动,保险公司可以投资一个无风险资产和n个风险资产,还可以购买比例再保险,并且风险市场是不允许卖空的.本文在均值一方差优化准则下研究保险公司的最优投资一再保策略选择问题,利用LQ随机控制方法求解模型,得到了保险公司的最优组合投资策略的解析和保险公司投资的有效投资边界的解析表达...     

Vasicek利率与Heston模型下的最优投资和再保险

本文主要研究Vasicek随机利率模型下保险公司的最优投资与再保险问题.假设保险公司的盈余过程由带漂移的布朗运动来描述,保险公司通过购买比例再保险来转移索赔风险;同时,将财富投资于由一种无风险资产与一种风险资产组成的金融市场,其中,利率期限结构服从Vasicek利率模型,且风险资产价格过程满足Heston随机波动率模型.利用动态规划原理及变量替换的方法,得到了指数效用下最优投资与再保险策略的显示表达式,并给出数值例子分析了主要模型参数对最优策略的影响.     

基于Volterra Heston模型的最优投资和再保险问题

作为金融市场体系的重要组成部分,选择最优的投资和再保险策略对保险公司来说十分重要.本文研究了保险公司在均值-方差准则下的最优投资和再保险问题,假设保险公司通过购买比例再保险来分散自身风险,其盈余过程由近似经典Cramer-Lundberg模型的扩散过程刻画,此外,保险公司通过投资于无风险资产和风险资产来增加收入,其中风险资产价格服从Volterra Heston模型.由于Volterra Heston模型的非马尔可夫性和非半鞅性,经典的随机最优控制框架不再适用,本文通过构造一个辅助随机过程,得到了依赖于Riccati-Volterra方程解的最优投资和再保险策略及有效前沿,并对最优策略、有效前沿和波动率粗糙度、再保险因素之间的关系进行了数值分析,发现股票价格的波动率越粗糙,保险公司对股票市场和再保险的需求越大.     

基于最小最大鞅测度对保险公司最优投资再保险问题的研究

本文研究既拥有保险公司又拥有再保险公司的大型保险机构的最优管理问题.保险公司可以购买比例再保险,保险公司和再保险公司均可以购买无风险资产和风险资产,大型保险机构的目标是最大化两公司资产加权和的指数效用.通过求解最小最大鞅测度,本文给出了指数效用函数对应的最优策略的精确解.     

Ornstein-Uhlenbeck模型的最优再保险和投资

研究了均值-方差准则下保险公司的最优再保险和投资.保险公司的盈余满足CramerLundberg风险模型;为了减小风险,它可以采取再保险;同时为了增加财富,它可以进行投资.风险资产通过Ornstein-Uhlenbeck(O-U)模型来描述.研究目标是:求得最优再保险策略、最优投资策略及有效边界的显式解.应用It公式和线性-二次控制理论求解了该问题.通过文章研究不仅丰富和发展了策略选择问题,也对保险公司进行再保险和投资具有一定的指导意义.     

CEV模型下最大化HARA效用的最优再保险与投资策略

在风险资产价格服从CEV模型时,考虑保险公司为最大化双曲绝对风险厌恶(HARA)效用的最优投资与再保险问题.假定保险公司的索赔过程为带漂移的布朗运动,且保险公司通过购买比例再保险来转移索赔风险,运用随机控制理论和Legendre变换方法得到了最优策略的显示表达式.     

最优再保险及投资组合策略问题

为规避风险的巨大波动,保险公司会将承保的理赔进行分保,即再保险.假定再保险公司采用方差保费准则从保险公司收取保费.应用扩散逼近模型,刻画了保险公司有再保险控制下的资本盈余.另外,保险公司的盈余允许投资到利率、股票等金融市场.通过控制再保险及投资组合策略,研究了最小破产概率.应用动态规划方法(Hamilton-Jacobi-Bellman方程),对最小破产概率、最优再保险及投资组合策略给出了明晰解答,并给出了数值直观分析.     

最优再保险及投资组合策略问题北大核心

为规避风险的巨大波动,保险公司会将承保的理赔进行分保,即再保险.假定再保险公司采用方差保费准则从保险公司收取保费.应用扩散逼近模型,刻画了保险公司有再保险控制下的资本盈余.另外,保险公司的盈余允许投资到利率、股票等金融市场.通过控制再保险及投资组合策略,研究了最小破产概率.应用动态规划方法(Hamilton-Jacobi-Bellman方程),对最小破产概率、最优再保险及投资组合策略给出了明晰解答,并给出了数值直观分析.     

Limitations on the extendibility of the Radon-Nikodym Theorem

Given two locally compact spaces and a continuous map the Banach lattice is naturally a -module. Following the Bourbaki approach to integration we define generalized measures as -linear functionals . The construction of an -space and the concepts of absolute continuity and density still make sense. However we exhibit a counter-example to the natural generalization of the Radon-Nikodym Theorem in this context.

     

Almost everywhere convergence of inverse Fourier transforms

We show that if , then the inverse Fourier transform of converges almost everywhere. Here the partial integrals in the Fourier inversion formula come from dilates of a closed bounded neighbourhood of the origin which is star shaped with respect to 0. Our proof is based on a simple application of the Rademacher-Menshov Theorem. In the special case of spherical partial integrals, the theorem was proved by Carbery and Soria. We obtain some partial results when and . We also consider sequential convergence for general elements of .

     

Katznelson-Tzafriri type theorems for individual solutions of evolution equations

In this paper we present an extension of the Katznelson-Tzafriri Theorem to the asymptotic behavior of individual solutions of evolution equations . The obtained results do not require the uniform continuity of solutions as well as the well-posedness of the equations. The method of study is based on a recently developed approach to the spectral theory of functions that is direct and free of -semigroups.

     

Polynomials with coefficients from a finite set

In 1945 Duffin and Schaeffer proved that a power series that is bounded in a sector and has coefficients from a finite subset of is already a rational function. Their proof is relatively indirect. It is one purpose of this paper to give a shorter direct proof of this beautiful and surprising theorem.

This will allow us to give an easy proof of a recent result of two of the authors stating that a sequence of polynomials with coefficients from a finite subset of cannot tend to zero uniformly on an arc of the unit circle.

Another main result of this paper gives explicit estimates for the number and location of zeros of polynomials with bounded coefficients. Let be so large that

satisfies . We show that any polynomial in

and

has at least

zeros in any disk with center on the unit circle and radius .

     

Banach-Stone theorem for Banach lattice valued continuous functions

Let and be compact Hausdorff spaces, be a Banach lattice and be an AM space with unit. Let be a Riesz isomorphism such that if and only if for each . We prove that is homeomorphic to and is Riesz isomorphic to . This generalizes some known results.

     

A general theory of almost convex functions

Let be the standard -dimensional simplex and let . Then a function with domain a convex set in a real vector space is -almost convex iff for all and the inequality

holds. A detailed study of the properties of -almost convex functions is made. If contains at least one point that is not a vertex, then an extremal -almost convex function is constructed with the properties that it vanishes on the vertices of and if is any bounded -almost convex function with on the vertices of , then for all . In the special case , the barycenter of , very explicit formulas are given for and . These are of interest, as and are extremal in various geometric and analytic inequalities and theorems.

     

The Russo-Dye Theorem in a weakly closed -module

Suppose that is admissible. It is shown that the convex hull of unitary elements of a weakly closed -module contains the whole unit ball of if and only if and for any 0$">, 0$">.

     

Bounding the number of cycles of O.D.E.s in

Criteria are given under which the boundary of an oriented surface does not consist entirely of trajectories of the differential equation in . The special case of an annulus is further considered, and the criteria are used to deduce sufficient conditions for the differential equation to have at most one cycle. A bound on the number of cycles on surfaces of higher connectivity is given by similar conditions.

     

A special case of positivity (II)

In this note we prove the following special case of Serre's conjecture on Intersection Multiplicity: Let be a regular local ring and let , be two prime ideals such that , and dimension of . Then ; here denotes the Hilbert-Samuel multiplicity for any finitely generated module with respect to .

     

Free lines for homeomorphisms of the open annulus

Let be a homeomorphism of the open annulus isotopic to the identity and let be a lift of to the universal cover without fixed point. Then we show that admits a Brouwer line which is a lift of a properly imbedded line joining one end to the other in the annulus or admits a free essential simple closed curve.