有限注意力下一类满意启发式决策的建模与理性分析

在决策者有限注意力下,现实生活中决策人的选择行为往往表现出一类“满意启发式”特征。基于个体决策者偏好的不完备性,借助方案集系列、考虑集等相关概念探讨了满意启发式决策规则的建模;论证了方案集系列可观与部分可观条件下一类满意决策函数的存在性,以及基于相关理性条件的理性特征,并结合顾客购买行为案例的仿真实验对所建立的满意决策模型进行了验证。仿真结果表明决策者在时间紧逼和信息不完整的情形下可以通过排除部分方案的方式保证以最大概率选到满意方案。研究结果可为现实生活中决策人在时间紧迫、信息缺失等情形下的选择提供一定的理论参考与指导,也可作为一类满意决策研究的理论基础。     

债务抵押债券定价中的违约相依性研究

如何衡量违约风险乃至违约相依性是债务抵押债券定价的主要问题.运用PairCopula刻划信用资产组合违约时刻的相依结构,通过Pair Copula分解得到资产组合违约时刻的联合密度,利用Monte Carlo模拟估算CDO各系列的公平价差,进而分析各系列公平价差对回收率的敏感性.实证研究结果表明,Pair Copula能有效捕捉信用资产组合的违约相依性,各系列公平价差随着回收率的增加而减小.     

Equilibrium existence and uniqueness in network games with additive preferences

A directed network game of imperfect strategic substitutes with heterogeneous players is analyzed. We consider concave additive separable utility functions that encompass the quasi-linear ones. It is found that pure strategy Nash equilibria verify a non-linear complementarity problem. By requiring appropriate concavity in the utility functions, the existence of an equilibrium point is shown and equilibrium uniqueness is established with a P-matrix. For this reason, it appears that previous findings on network structure and sparsity hold for many more games.     

Isomerization Energy Decomposition Analysis for Highly Ionic Systems: Case Study of Starlike E5Li7+ Clusters

The most stable forms of E₅Li₇⁺ (E=Ge, Sn, and Pb) have been explored by means of a stochastic search of their potential‐energy surfaces by using the gradient embedded genetic algorithm (GEGA). The preferred isomer of the Ge₅Li₇⁺ ion is a slightly distorted analogue of the D_5h three‐dimensional seven‐pointed starlike structure adopted by the lighter C₅Li₇⁺ and Si₅Li₇⁺ clusters. In contrast, the preferred structures for Sn₅Li₇⁺ and Pb₅Li₇⁺ are quite different. By starting from the starlike arrangement, corresponding lowest‐energy structures are generated by migration of one of the E atoms out of the plane with the a corresponding rearrangement of the Li atoms. To understand these structural preferences, we propose a new energy decomposition analysis based on isomerizations (isomerization energy decomposition analysis (IEDA)), which enable us to extract energetic information from isomerization between structures, mainly from highly charged fragments.     

An analysis of transaction costs in participating life insurance under mean–variance preferences

Transaction costs with respect to distribution and administration play a crucial role for the performance of participating life insurance products. The aim of this paper is to investigate the impact of such initial and annual transaction costs on policyholder mean–variance preferences depending on the contract features, comparing a point-to-point guarantee, a cliquet-style guarantee, and a money-back guarantee with annual surplus component. We extend previous work by deriving analytical solutions for the maximum allowed initial transaction costs as well as the risk aversion parameter that ensure a given customer preference level for different contract types. We further conduct simulation analyses to identify key factors in regard to transaction costs. One main finding is that in the present setting, insurers can indeed charge higher costs for more complex products with cliquet-style features, and that the difference in costs between the various product types increases considerably in a low interest-rate environment. However, these results are heavily impacted and even reversed depending on the risk–return asset characteristics, as insurers with a riskier asset management strategy may no longer be able to charge higher transaction costs for complex products with a strong annual cliquet-style surplus participation component without reducing their attractiveness to customers.     

On the fair coin tossing process

Let Ω = {1, 0} and for each integer n ≥ 1 let $\text{Ω}{}_{\mathrm{n}}\text{= Ω × Ω × … × Ω}$ (n-tuple) and $\text{Ω}{}_{\mathrm{n}}{}^{\mathrm{k}}\text{= {(a}{}_1\text{, a}{}_2\text{, …, a}{}_{\mathrm{n}}\text{)|(a}{}_1\text{, a}{}_2\text{, … , a}{}_{\mathrm{n}}\text{) ? Ω}{}_{\mathrm{n}}\text{and}\text{Σ}{}_{\mathrm{i=1}}{}^{\mathrm{n}}\text{a}{}_{\mathrm{i}}\text{= k}}$ for all k = 0,1,…,n. Let {Y_m}_m≥1 be a sequence of i.i.d. random variables such that $\text{P(Y}{}_1\text{= 0) = P(Y}{}_1\text{= 1) =}\text{1}\text{2}$. For each A in $\text{Ω}{}_{\mathrm{n}}$, let T_A be the first occurrence time of A with respect to the stochastic process {Y_m}_m≥1. R. Chen and A.Zame (1979, J. Multivariate Anal. 9, 150–157) prove that if n ≥ 3, then for each element A in $\text{Ω}{}_{\mathrm{n}}$, there is an element B in $\text{Ω}{}_{\mathrm{n}}$ such that the probability that T_B is less than T_A is greater than $\text{1}\text{2}$. This result is sharpened as follows: (I) for n ≥ 4 and 1 ≤ k ≤ n ? 1, each element A in $\text{Ω}{}_{\mathrm{n}}{}^{\mathrm{k}}$, there is an element B also in $\text{Ω}{}_{\mathrm{n}}{}^{\mathrm{k}}$ such that the probability that T_B is less than T_A is greater than $\text{1}\text{2}$; (II) for n ≥ 4 and 1 ≤ k ≤ n ? 1, each element A = (a₁, a₂,…,a_n) in $\text{Ω}{}_{\mathrm{n}}{}^{\mathrm{k}}$, there is an element C also in $\text{Ω}{}_{\mathrm{n}}{}^{\mathrm{k}}$ such that the probability that T_A is less than T_C is greater than $\text{1}\text{2}$ if n ≠ 2m or n = 2m but a_i = a_{i + 1} for some 1 ≤ i ≤ n?1. These new results provide us with a better and deeper understanding of the fair coin tossing process.     

Representable Lexicographic Products

A linear ordering is said to be representable if it can be order-embedded into the reals. Representable linear orderings have been characterized as those which are separable in the order topology and have at most countably many jumps. We use this characterization to study the representability of a lexicographic product of linear orderings. First we count the jumps in a lexicographic product in terms of the number of jumps in its factors. Then we relate the separability of a lexicographic product to properties of its factors, and derive a classification of representable lexicographic products. This revised version was published online in September 2006 with corrections to the Cover Date.     

污染物允许排放总量分配的公平协调思路与方法

本文就总量控制（负荷分配）的问题进行初步的理论探讨，对现有主要的两种分配方式进行了评价．探讨兼顾效益与公平的新分配思路．     

Strategy-proofness and “median voters”

We consider the problem of choosing a level of the public good for an economy in which agents have continuous and single-peaked preferences (Black, 1948). We show that a solution satisfyingstrategy-proofness andcontinuity if and only if it is an augmented median-voter solution. Anaugmented median-voter solution is described in terms of 2ⁿ parameters (which satisfy an antimonotonicity condition) as follows:n+1 of them are selected according to an increasing order of the peaks; the outcome is the median of thesen+1 parameters and then peaks. This result establishes a formal connection between strategy-proofness and a generalized notion of median voter. (Similar median formulas were used by Moulin (1980) to describe smaller classes of solutions.) We provide an interpretation of these 2 ⁿ parameters in terms of the following properties:anonymity, voter sovereignty, unanimity, andPareto efficiency.I wish to thank William Thomson for his enormous effort in supervision. I am grateful to Jeff Banks, Marcus Berliant, Tarik Kara, Hideo Konishi, Shige Serizawa, John Weymark, two anonymous referees of this journal, and the participants of the Theory Workshop at the University of Rochester, the Econometric Society Meeting, Winter 1994, and the International Game Theory Conference at SUNY, Stony Brook, July 1993 for their useful comments. All remaining errors are my own responsibility.