GAM在汽车保险定价中的应用研究

汽车保险定价的基础在于风险分析,车辆、驾驶人以及行车环境等因素构成汽车保险定价所倚赖的一个风险系统.本文引入广义加法模型(GAM).将非参数平滑方法应用于到GAM中,结合贝叶斯理论(Bayes)和马尔可夫蒙特卡罗(MCMC)方法得到参数估计,构建汽车保险定价模型,并以国外某保险数据为样本进行实证分析,得到了较好的效果.     

分数布朗运动驱动的期权定价模型及其风险特征

分数布朗运动由于具有自相似或长记忆等分形特性,已成为数理金融研究中更为合适的工具。通过假定股票价格服从几何分数布朗运动,构建了Ito型分数Black-Scholes市场;随后基于拟鞅定价方法,求解了分数风险中性测度下的期权定价模型;进而放松执行价格为固定值的假定,研究了股价和履行价共同受分数布朗运动驱动的期权定价模型。数值模拟研究表明,长记忆参数值越大,对投资者和券商的避险策略越有利。     

基于VAR模型的我国期货市场定价效率的实证研究

基于VAR模型,选取铜、铝、白糖和玉米期货做为研究样本对我国期货市场定价效率进行实证研究。研究结果显示:选取样本的期货价格和现货价格之间具有长期均衡关系;铜、铝和玉米具有期货价格引导现货价格的单向引导关系,而白糖具有期、现货价格相互引导的双向引导关系;脉冲响应函数分析发现除了白糖以外,期货市场对现货价格的冲击大于现货市场对期货价格的冲击;方差分解发现铜、铝和玉米的定价能力较强,白糖的定价能力较弱。     

第二种服务可选的M/G/1排队模型的适定性

运用Hille-Yosida定理,Phillips定理与Fattorini定理证明第二种服务可选的M/G/1排队模型存在唯一的概率瞬态解.     

Valid inequalities and branch-and-cut for the clique pricing problem

Motivated by an application in highway pricing, we consider the problem that consists in setting profit-maximizing tolls on a clique subset of a multicommodity transportation network. We formulate the problem as a linear mixed integer program and propose strong valid inequalities, some of which define facets of the two-commodity polyhedron. The numerical efficiency of these inequalities is assessed by embedding them within a branch-and-cut framework.     

Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis

We extend the classic mean-variance framework to a broad class of investment decisions under risk where investors select optimal portfolios of risky assets that include perfectly divisible as well as perfectly indivisible assets. We develop an algorithm for solving the associated mixed-integer nonlinear program and report on the results of a computational study. We then study the mean-variance structure of the investment frontier facing an individual investor in the presence of investment opportunities in both risky divisible and indivisible assets. Finally, we analyze the economic implications of the presence of investment opportunities in risky indivisible assets on the investor’s investment strategy and on his risk evaluation.     

Delta hedging strategies comparison

In this paper we implement dynamic delta hedging strategies based on several option pricing models. We analyze different subordinated option pricing models and we examine delta hedging costs using ex-post daily prices of S&P 500. Furthermore, we compare the performance of each subordinated model with the Black–Scholes model.     

A New Steepest Edge Approximation for the Simplex Method for Linear Programming

The purpose of this paper is to present a new steepest edge (SE) approximation scheme for the simplex method. The major advantages are its simplicity of recurrences and implementation, low computational overhead (compared to both the exact SE method and the DEVEX approximation scheme), and surprisingly good performance.The paper contains a brief account of the exact SE algorithm, the new recurrences developed in the same framework and some discussion on the possible reasons for the method's apparent success. Finally, numerical experiments are presented to assess the practical value of the method. The results are very promising.     

数字产品特征与定价策略的经济学分析

首先给出数字产品的概念，然后分析了数字产品的特征，包括依赖个人偏好、短期效用与长期效用并存、网络外部性3个经济学特征，不可破坏性、可变性、可复制性3个物理性特征．进一步分析了数字产品的成本构成和定价策略，包括个性化定价、版本划分与升级、联合购买与租借、捆绑销售．指出对数字产品必须实行差别化和用户导向定价策略．     

Leader–Follower Dynamic Game of New Product Diffusion

The objective of this paper is to study optimal pricing strategies in a duopoly, under an asymmetric information structure, where the appropriate solution concept is the feedback Stackelberg equilibrium. In order to take into account effects such as imitation (e.g., word of mouth) and saturation, the demand (state equation) is assumed to depend on past cumulative sales, market potential, and both players' prices. We assume also that the unit production cost decreases with cumulative production (learning effects). Each player maximizes his total discounted profit over the planning horizon.The problem is formulated as a two-player discrete-time finite-horizon game. Existence results are first obtained under rather mild conditions. Since the solution of this problem is intractable by analytical methods, we use a numerical approach. Thus, we design a numerical algorithm for the computation of feedback Stackelberg equilibria and use it to obtain strategies in various representative cases. The numerical results presented are intented to give some insights into the optimal pricing strategies in the context of an asymmetrical feedback information structure.