跳-扩散风险模型的最优投资和再保险策略

本文对跳-扩散风险模型,在赔付进行比例再保险,以及盈余投资于无风险资产和风险资产的条件下,研究使得最终财富的指数期望效用最大的最优投资和比例再保险策略.得到最优投资策略和最优再保险策略,以及最大指数期望效用函数的显式表达式,发现最优策略和值函数都受到无风险利率的影响.最后通过数值计算,得到最优投资和比例再保险策略,以及值函数与模型各个参数之间的关系.     

Utility Function Programs and Optimization over the Efficient Set in Multiple-Objective Decision Making

Natural basic concepts in multiple-objective optimization lead to difficult multiextremal global optimization problems. Examples include detection of efficient points when nonconvexities occur, and optimization of a linear function over the efficient set in the convex (even linear) case. Assuming that a utility function exists allows one to replace in general the multiple-objective program by a single, nonconvex optimization problem, which amounts to a minimization over the efficient set when the utility function is increasing. A new algorithm is discussed for this utility function program which, under natural mild conditions, converges to an -approximate global solution in a finite number of iterations. Applications include linear, convex, indefinite quadratic, Lipschitz, and d.c. objectives and constraints.     

基于生产者/消费者设计模式的应力波信息采集系统的设计

以LabVIEW14.0为虚拟仪器软件开发平台,采用生产者/消费者设计模式的控制策略、技术数据管理流(TDMS)二进制文件储存策略和SQL数据库及事件结构相结合的实时更新策略,设计了集实时信息采集、储存、显示等功能于一体的应力波采集系统;3种控制策略相结合,解决了传统顺序结构设计模式下程序循环周期长、执行效率低的问题,而且解决了实时采集过程中数据的快速、大容量储存问题,实现了采集过程中采集参数的实时更新;实验结果表明该应力波采集系统具有响应速度快、执行效率高等优点。     

Differentiated service delivery in cooperative IP-based broadcast and mobile telecommunications networks

Email: angelo.centonza{at}brunel.ac.uk Corresponding author. Email: thomas.owens{at}brunel.ac.uk Email: john.cosmas{at}brunel.ac.uk^¶ Email: y.h.song{at}brunel.ac.uk Received on 26 November 2005. Accepted on 20 March 2007. The evolution of wireless systems has led recently to the deploymentof cooperative network infrastructures where networks basedon different technologies cooperate together to offer innovativeservices which the networks individually could not offer. Cooperativenetwork infrastructures are hybrid systems. Examples of hybridsystems are already in use in areas as diverse power systemsand locomotion systems. It is very important to apply efficientsystem management techniques to hybrid systems that produceadvantageous business case scenarios for each participatingsystem and efficient use of the available resources. In thispaper, scenarios are investigated where cooperation betweenan integrated project (IP)-based broadcast network and an IP-basedmobile telecommunications network has the potential to allowservices to be provided to mobile users which would not be economicalto offer over either an IP-based broadcast network or an IP-basedmobile telecommunications network alone. The paper presentsa novel technique for determining which network to use to deliversuch services at a given point in time. The application of thistechnique in appropriate scenarios has the potential to generateadditional income for both the IP-based broadcast network operatorand the IP-based mobile telecommunications network operatorin an infrastructure where the operators cooperate to offerinnovative services. The paper explains the construction ofutility functions for cooperative IP-based broadcast and mobiletelecommunications networks. These utility functions are thenused to provide results that enable the efficiency of the managementof the network to be assessed in terms of the utility volumegenerated by the innovative services provided.     

劳动者行为分析

以边际分析和效用理论研究人的劳动行为,发现人的行为规律性及动力因素与社会偏好的联系,试图对人的一般社会行为研究提供一种定量与定性结合的方法     

变折现率下带含糊厌恶与预期的最优投资研究

本文采用折现率为时间的函数下的递推多先验效用,研究Merton模型在带预期条件下的最优消费和投资组合决策问题,其中含糊与风险是有区别的.在幂效用函数情形下,刻画了投资者最优投资决策,表明了含糊厌恶和预期对最优投资的影响.最优投资组合决策由倒向随机微分方程和Malliavin导数导出.     

基于成本效用分析的电能替代实证研究

近年来的雾霾让人们逐渐意识到环境保护的重要性,国网公司基于我国“多煤、少气、贫油”的国情,提出了以电代煤的电能替代方案。本文以在电力和煤炭的使用过程中可获得的热值作为效用,以使用过程中所需要的年费用作为成本,建立了电能替代的成本效用模型,计算出实现电力和煤炭相互替代的排污费临界值,并通过一个算例进行了实证分析。分析结果表明:电价、单位电力排污量、燃煤设备寿命对排污费临界值有正向影响;煤价、单位燃煤排污量、电力设备寿命对其有负向影响。最后,在分析的基础上给出了电能替代的政策建议。     

Alternative formulations of a combined trip generation,trip distribution,modal split,and trip assignment model

The traditional four-step model has been widely used in travel demand forecasting by considering trip generation, trip distribution, modal split and traffic assignment sequentially in a fixed order. However, this sequential approach suffers from the inconsistency among the level-of-service and flow values in each step of the procedure. In the last two decades, this problem has been addressed by many researchers who have sought to develop combined (or integrated) models that can consider travelers’ choice on different stages simultaneously and give consistent results. In this paper, alternative formulations, including mathematical programming (MP) formulation and variational inequality (VI) formulations, are provided for a combined travel demand model that integrates trip generation, trip distribution, modal split, and traffic assignment using the random utility theory framework. Thus, the proposed alternative formulations not only allow a systematic and consistent treatment of travel choice over different dimensions but also have behavioral richness. Qualitative properties of the formulations are also given to ensure the existence and uniqueness of the solution. Particularly, the model is analyzed for a special but useful case where the probabilistic travel choices are assumed to be a hierarchical logit model. Furthermore, a self-adaptive Goldstein–Levitin–Polyak (GLP) projection algorithm is adopted for solving this special case.     

Optimal investment and reinsurance of an insurer with model uncertainty

We introduce a novel approach to optimal investment–reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is governed by either a compound Poisson process or its diffusion approximation. The company can also transfer a certain proportion of the insurance risk to a reinsurance company by purchasing reinsurance. The optimal investment–reinsurance problems with model uncertainty are formulated as two-player, zero-sum, stochastic differential games between the insurance company and the market. We provide verification theorems for the Hamilton–Jacobi–Bellman–Isaacs (HJBI) solutions to the optimal investment–reinsurance problems and derive closed-form solutions to the problems.     

Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework

This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering arbitrage-free financial markets. A pricing formula is obtained for contingent claims written on n underlying assets following a general diffusion process. The formula holds in both complete and incomplete markets as well as in constrained markets. An application is also considered assuming a geometric Brownian motion for the underlying assets and the Wang transform as the distortion function.