On positive homogeneity and comonotonic additivity of the principle of equivalent utility under Cumulative Prospect Theory

Investigating the principle of equivalent utility under Cumulative Prospect Theory, Kałuszka and Krzeszowiec (2012) established characterizations of several important properties of the premium. It turns out that the results concerning positive homogeneity and comonotonic additivity are in general not true. The aim of this paper is to present modified and essentially generalized versions of the mentioned above results.     

A method for portfolio choice

This paper shows how one can use the theory of hidden Markov models for portfolio optimization. We illustrate our method by a ball and urn experiment. An application to historical data is examined. Copyright © 2003 John Wiley & Sons, Ltd.     

用等效用原理对马氏链市场的UL生存合约定价

利用效用无差异原理,根据动态规划原则,最大化财富的期望指数效用,在马氏链驱动的市场下,导出HJB方程,给出unit-linked(UL)生存合约在简单Poisson市场下的保费方程,并给出它的数值模拟．这个结果推广了Brown运动驱动的市场下的保费方程,使得UL生存合约在联接到纯跳的市场时,可以用效用无差异原理定价．     

Decision analysis models in reinsurance

Decision analysis models are developed and illustrated for the reinsurance (risk transfer) decisions made by insurance companies. Decision analytic models were found to be useful tools both for structuring multistage reinsurance decisions and for comparing alternative options. The insurer is faced with many possible choices involving reinsurance type and extent, and an expected utility model provided insight both as a screening device and as an evaluation criterion. Decision analytic models appeared to be superior to other approaches such as mean/variance and risk of ruin models both because of their flexibility and their more comprehensive treatment the important elements of the decision, namely the complete claims distribution, the cost of reinsurance and the insurer's risk attitude.     

Local stability of stationary states in discounted optimal control systems

This paper presents local optimality and stability conditions for stationary solutions of autonomous optimal control problems with a positive rate of discounting. The conditions do not require the Hamiltonian function to be concave with respect to the state variables. Two examples from optimal economic growth theory are discussed to show that our results can be applied in situations when other known stability conditions fail to be satisfied.Part of this paper was written while the author visited the Faculty of Management at the University of Toronto. Support from SSHRC Grant 410-83-9888 and from Grant P6601 of the Austrian Science Foundation is gratefully acknowledged.     

Unbounded expected utility and continuity

This paper develops an axiom system for expected utility in a setting wherepreferences are defined directly on probability distributions of outcomes. The axioms do not imply boundedness of the utility function. The approach is topological, and conditions for continuity of the utility function are brought out.     

基于效用函数的质量模型研究

在标准形式的CES效用函数的基础上引入饱和需求量，得出扩展形式的CES效用函数，展现其新的数量特征，并进一步利用质量效用函数模型描述劣质品和吉芬商品的需求特性．     

新成员的加入对供应商网络效率的影响分析

不断有企业进入或者退出供应商网络,网络中企业的效用和网络效率都会受到影响.本文把关系收益和竞争系数结合起来,构建了新的效用函数.并通过效用的比较分析,竞争系数对称时,新企业的加入会使网络效率增加的结论,并进一步给出了进入企业选择与中心企业或者与边缘企业建立关系所应满足的条件;而竞争系数不对称时,网络效率可能会降低.     

"边信息"的效用优化及其影响

本文考虑受随机因素影响的股票价模型 ,投资者仅知道的股价信息 (公共信息 )和“边信息”的效用优化问题 .我们利用测度的变换和投影 ,给出了具有“边信息”和不具“边信息”两种情况下的最优财富形式 .对于对数效用函数 ,我们比较最优效用 ,讨论了“边信息”的影响     

Utilization of mathematical programming for public systems: An application to effective formation of integrated regional information networks

This paper concerns a methodological reflection on the multiobjective approach to public systems which involve group decision processes. Particular attention is given to an integrated program of regional systems which include value trade-offs between multiple objectives. Our intention is to combine the judgmental processes with the optimization processes in the soft public systems. A two-layer approach is applied. At the first layer, each regional program is formulated in mathematical programming based on a utility assessment with different regional characteristics. Each subsystem independently reflects its particular concern as a single agent. The dual optimal solutions obtained for each subsystem are treated as an index, or the theoretical prices, representing the value trade-offs among the multiple objectives. At the second layer, an effective formation of interregional cooperation for compromising the conflicting regional interests is examined. Ann-person cooperative game in the characteristic function form is used to evaluate the effectiveness of the cooperation. The characteristic function for the game is derived on the incremental value of the regional benefit after the formation of a cooperation. The nucleolus and the augmented nucleolus as the solution concepts of the cooperative game are used for indicating the effectiveness of the cooperation. Finally using alternative criteria, the results in assessing the best decisions are examined comparatively.