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.     

带干扰的多险种Cox风险模型的破产概率

考虑到保险公司在实际经营中收益所具有的不确定性和风险经营的多元化,建立了一个更现实的风险模型即带干扰的多险种Cox风险模型.运用鞅论得到了该模型最终破产概率的上界,并对Lundberg不等式作了推广.     

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.     

模型不确定性及违约风险下的最优投资问题

该文研究了一个同时具有模型不确定性和违约风险的随机最优投资组合问题.假设在金融市场中包含三种资产:银行账户(无风险资产),股票资产及可违约债券.考虑一个保险公司把保费盈余投资在这三种资产上来最大化其效用函数.把模型的不确定性因素考虑进去,此时问题转化为一个在金融市场与保险公司之间的零和微分博弈问题.首先考虑了跳扩散风险模型而后又考虑了扩散逼近模型.在这两个模型中通过动态规划准则导出了Hamilton-JacobiBellman-Isaacs(HJBI)方程,从而求出了最优投资策略,并给出了验证定理.     

线性红利界下带干扰风险模型的破产概率

考虑到保险公司在实际经营中收益所具有的不确定性和分红策略,建立一类具有线性红利界和带随机扰动的双复合Poisson风险模型,利用鞅方法给出模型关于破产概率的一个定理及上界.     

保险公司的最优投资策略选择

保险公司传统的投资模型只允许保险公司在保费收取与赔付之间的时滞范围内投资,即投资期间不收取保费也不允许任何赔付发生。本文研究的模型克服了传统模型的不足,投资期间可以收取保费也可以接受索赔。模型在保证保险公司实现目标收益的条件下,使得公司面临的风险最小。另外在模型中引进一个安全投资比例,即保险公司以此比例的财富用于风险投资是相对安全的。通过求解模型,得到保险公司的最优投资策略和风险最小情况下用于投资的财富的比率,并讨论了保费、索赔对投资的影响;另外还得到保险公司投资组合的有效边界,并讨论了有效边界的动态性质;最后用实际数据对保险公司如何选择安全投资比例、如何分配投资资金进行了模拟。     

一类延迟更新风险模型的破产概率

本文考虑了一类特殊的延迟更新风险模型发生第一次索赔的时间服从指数分布的延迟更新风险模型.在这样的条件下,利用Gerber- Shiu贴现罚函数推导出了保险公司的破产概率.     

指数保费准则下的最优投资和比例再保险

该文研究了保险公司的最优投资和比例再保险问题,其中假定保险公司的盈余过程为一个带扩散扰动的经典风险过程.假定再保险的保费按照指数保费原理来计算,这使得所研究的随机控制问题成为非线性的.该文同时考虑了最大化终端财富指数效用和最大化调节系数两类问题,并给出了最优值函数和相应的最优策略的解析表达.此外,该文还分析了再保险公司的风险厌恶和保险公司的不确定性参数对最优策略的影响.     

基于注资-阀值分红的随机微分投资-再保博弈

为了更好地反映模型风险对保险公司金融策略的影响,考虑了存在模型风险时,保险公司的最优投资-再保-注资-阀值分红策略问题.在分红与注资总量的贴现值之差的期望最大化的准则下,使用零和随机微分博弈理论建立了保险公司的随机微分博弈模型,通过求解HJBI方程得到了最优投资-再保-注资-阀值分红策略的显式解.最后在有模型风险和无模型风险两种不同情形下,通过数值算例分析了保险公司金融策略之间的差异,为保险资金的管理提供了重要的决策指导.     

汇率风险和方差保费准则下最优投资和再保险策略

假定保险公司和再保险公司都采取方差保费准则收取保费,保险公司不但可以投资本国无风险资产和风险资产,还可以投资国外的风险资产.首先我们用一几何布朗运动来刻画汇率风险,同时为了控制保险风险,假定保险公司将承担的保险业务分保给再保险公司.接着利用随机动态规划原理研究了两种情形下的最优投资和再保险问题,一种是索赔服从扩散近似模型;另一种是经典风险模型,分别得到了这两种情形下的最优投资和再保险策略,并发现汇率风险对保险公司的投资策略有很大的影响,但对再保险策略没有影响.最后对相关参数进行了敏感性分析.     

最佳投资策略下投资额函数的渐近性质

本文考虑一个经典风险模型,且允许保险公司投资股票市场,通过选择适当的投资策略使破产概率达到最小,并求出当分布函数F(x)是正则变化函数时,投资额函数A(x)的近似表达式.     

Optimal management and inflation protection for defined contribution pension plans

Due to the increasing risk of inflation and diminishing pension benefits, insurance companies have started selling inflation-linked products. Selling such products the insurance company takes over some or all of the inflation risk from their customers. On the other side financial derivatives which are linked to inflation such as inflation linked bonds are traded on financial markets and appear to be of increasing popularity. The insurance company can use these products to hedge its own inflation risk. In this article we study how to optimally manage a pension fund taking positions in a money market account, a stock and an inflation linked bond, while financing investments through a continuous stochastic income stream such as the plan member’s contributions. We use the martingale method in order to compute an analytic expression for the optimal strategy and express it in terms of observable market variables.     

含不动产项目的保险公司再保险-投资策略

站在保险公司管理者的角度, 考虑存在不动产项目投资机会时保险公司的再保险--投资策略问题. 假定保险公司可以投资于不动产项目、风险证券和无风险证券, 并通过比例再保险控制风险, 目标是最小化保险公司破产概率并求得相应最佳策略, 包括: 不动产项目投资时机、 再保险比例以及投资于风险证券的金额. 运用混合随机控制-最优停时方法, 得到最优值函数及最佳策略的显式解. 结果表明, 当且仅当其盈余资金多于某一水平(称为投资阈值)时保险公司投资于不动产项目. 进一步的数值算例分析表明: (a)~不动产项目投资的阈值主要受项目收益率影响而与投资金额无明显关系, 收益率越高则投资阈值越低; (b)~市场环境较好(牛市)时项目的投资阈值降低; 反之, 当市场环境较差(熊市)时投资阈值提高.     

货市与股市波动的超前滞后关系 ——基于复主成分分析法

在传统主成分分析的基础上,复数希尔伯特主成分分析通过将希尔伯特变换与随机矩阵理论相结合获取滤噪经济数据的频域信息,为揭示股票市场与货币市场波动的超前滞后关系提供了途径.实证研究结果显示,在样本区间内,中国股票市场指标相对于货币市场指标来说大部分呈现出超前的变化,而在货币市场中,数量型指标波动较为靠前,价格型指标的反应则较为滞后.此外,股票价格与货币供应量的波动之间存在反馈效应.探索两市场间这样一种动态关系能为政府对金融市场的监管工作提供相应的政策建议.     

Just-in-time replenishment decisions for assembly manufacturing with investor-supplied finance

While JIT ideas have been enthusiastically embraced by manufacturing practitioners, the small replenishment batch sizes advocated are difficult to reconcile with the standard management science cost trade-off approach. The difficulty is diagnosed as being due to the standard assumption that capital for inventory is borrowed and hence boundless. We present a new analysis of inventory reduction decisions, such as adopting JIT replenishment or component substitution, using a deterministic batch sizing model which assumes that inventory is financed by the investors in the company and is thus finite. As a consequence, the investment level is treated as an additional variable of the decision analysis. Using the well established technique of constrained optimisation it is shown that for investor-financed operations the effective value of money invested in inventory is the marginal return on investment of the company, and increases with the degree of constraint. Thus, JIT policy options are especially favourable when low levels of inventory investment are sought, even without setup cost reduction, because the capital formerly invested in stock holdings of the JIT components can be reinvested in the inventory of other components to make their replenishment more efficient using larger batch sizes. The analysis is illustrated using an actual case study of a small manufacturing enterprise seeking to reduce inventory and increase return on investment. The analysis has interesting practical implications for inventory managers including a proposed simple method for identifying candidate components for JIT replenishment.     

An optimization approach to resolving circular shareholding in large business groups

Circular shareholding refers to a situation where a series of capital contributions made by companies in a family business group establish a chain of shareholdings. For example, a circular shareholding is formed when company A owns stock in company B, company B owns stock in company C, and company C owns stock in company A. In Korea, the practice of circular shareholding in large family-controlled business groups may give the principal families higher control over member firms and more opportunities to pursue their own interest at the expense of other shareholders. For this reason, the government of Korea has encouraged large conglomerates to gradually eliminate their circular shareholdings. However, there has been no research as to which shareholdings out of the complicated ownership structure should be cleared in order to resolve the issue of circular shareholding. In this paper, we propose optimization models to address the problem. Of the proposed integer programming models that can eliminate circular shareholding, one maximizes the sum of cash-flow rights while another maximizes the sum of voting rights. The proposed models have been applied to Korean family-controlled business groups, and the results are included herein. To the best knowledge of the authors, this research is the first study to apply optimization theory to the problem of resolving circular shareholding.     

公司价值与财务信息的相关性:基于中国上市公司的研究

本文以778家上市公司1998—2002年5年间的3890个观测值为样本,研究了公司价值与财务信息的相关性。结果表明,ST、PT公司的价值测度与综合短期利润测度存在不显著的负相关关系;既发行A股又发行B股的上市公司的价值测度与综合短期利润测度在0.01水平下显著正相关性,利润测度提供了约2%的公司价值解释力;对于绝大多数的经营正常的A股公司,价值测度与综合短期利润测度在0.01水平下显著正相关性,利润测度提供了约18%的公司价值解释力。     

A hybrid approach based on genetic algorithms to solve the problem of cutting structural beams in a metalwork company

This work presents a hybrid approach based on the use of genetic algorithms to solve efficiently the problem of cutting structural beams arising in a local metalwork company. The problem belongs to the class of one-dimensional multiple stock sizes cutting stock problem, namely 1-dimensional multiple stock sizes cutting stock problem. The proposed approach handles overproduction and underproduction of beams and embodies the reusability of remnants in the optimization process. Along with genetic algorithms, the approach incorporates other novel refinement algorithms that are based on different search and clustering strategies. Moreover, a new encoding with a variable number of genes is developed for cutting patterns in order to make possible the application of genetic operators. The approach is experimentally tested on a set of instances similar to those of the local metalwork company. In particular, comparative results show that the proposed approach substantially improves the performance of previous heuristics.     

股份制公司的综合投资方案决策模型

对股份制公司的综合投资方案的决策问题进行了研究.首先依据多个投资方案的风险与收益并存的实际情况,建立了最佳投资组合方案的多目标决策模型.然后,由董事会综合各股东所持股份和相互评价权值,利用群决策的方法得到一个最终投资方案,此方案在理论上能使公司获得最大收益.     

Breadth of range and depth of stock: forecasting and inventory management at Euro Car Parts Ltd.

This paper investigates inventory management issues in a distribution network. The study is motivated by examining the operation of a wholesaling car parts company. Customer service requirements are of paramount importance in this market sector. The nature of the demand facing the company is characterised. The breadth of range of stock keeping units (SKUs) held at a stocking location and the quantity of each SKU held are normally treated in isolation but in this case, the rule developed to select the range of SKU was extended to determine the level of stock to hold. It is intuitively obvious that these two factors should be linked, yet the authors have not found any other literature developing the connection in a practical context. Forecasting issues are explored as the rule on stock range depends on a forecast of the number of orders received for each SKU at each stocking unit. Some implementation issues and extensions are indicated.