非线性定价下的双头垄断企业行为分析

本采用了泰勒尔的消费基本效用函数模型,从消费剩余效用最优化的角度分析了双头垄断企业的市场行为,得出了如下结论：企业非线性定价条件下,任何类型的消费都存在一个最优消费数量,双头垄断竞争有助于扩展市场,提高产品质量,降低产品价格,但双头垄断在非线性定价下的最终市场均衡是达到完全垄断,而政府管制和赤可以防止完全垄断的形成,等等。     

Homogeneous Customers Renege from Invisible Queues at Random Times under Deteriorating Waiting Conditions

We consider a memoryless first-come first-served queue in which customers' waiting costs are increasing and convex with time. Hence, customers may opt to renege if service has not commenced after waiting for some time. We assume a homogeneous population of customers and we look for their symmetric Nash equilibrium reneging strategy. Besides the model parameters, customers are aware only, if they are in service or not, and they recall for how long they are have been waiting. They are informed of nothing else. We show that under some assumptions on customers' utility function, Nash equilibrium prescribes reneging after random times. We give a closed form expression for the resulting distribution. In particular, its support is an interval (in which it has a density) and it has at most two atoms (at the edges of the interval). Moreover, this equilibrium is unique. Finally, we indicate a case in which Nash equilibrium prescribes a deterministic reneging time.     

Unified Model for Generation Complex Networks with Utility Preferential Attachment

In this paper, based on the utility preferential attachment, we propose a new unified model to generate different network topologies such as scale-free, small-world and random networks. Moreover, a new network structure named super scale network is found, which has monopoly characteristic in our simulation experiments. Finally, the characteristics of this new network are given.     

On twice differentiable direct and indirect utility functions and the monotonicity of the demand

This article investigates the relationships between the Hessians of the direct and indirect utility function and the Jacobian of the demand correspondence. The monotonicity of the demand is analysed thanks to the convexity indices of the function and the monotonicity index of the demand.     

Valuing risky income streams in incomplete markets

A model for pricing and hedging in incomplete markets is proposed. This model is derived from expected utility theory, and a connection with the traditional no‐arbitrage framework is noted. It is shown that the CGM model can be implemented to value risky assets in incomplete markets.     

Worst portfolios for dynamic monetary utility processes

We study the worst portfolios for a class of law invariant dynamic monetary utility functions with domain in a class of stochastic processes. The concept of comonotonicity is introduced for these processes in order to prove the existence of worst portfolios. Using robust representations of monetary utility function processes in discrete time, a relation between the worst portfolios at different periods of time is presented. Finally, we study conditions to achieve the maximum in the representation theorems for concave monetary utility functions that are continuous for bounded decreasing sequences.     

Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization

In order to generalize previous results by Li et al. (2016), Guo et al. (2016) extended the definition of the Rothschild–Stiglitz type of increase in risk to a background risk framework. They provided several sufficient conditions for such a ranking to hold, involving expectation dependence concepts. In this short note, the corresponding characterizations are established, based on the bivariate higher-degree increasing concave orders introduced by Denuit et al. (1999).     

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.     

Vasicek利率模型下带有零息票债券的投资-消费模型

应用随机最优控制理论研究Vasicek利率模型下的投资-消费问题,其中假设无风险利率是服从Vasicek利率模型的随机过程,且与股票价格过程存在一般相关性.假设金融市场由一种无风险资产、一种风险资产和一种零息票债券所构成,投资者的目标是最大化中期消费与终端财富的期望贴现效用.应用变量替换方法得到了幂效用下最优投资-消费策略的显示表达式,并分析了最优投资-消费策略对市场参数的灵敏度.