Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions

In this paper, we generalize the classical estimator of the reinsurance premium for heavy-tailed loss distributions with a kernel-type estimator. Since this estimator exhibits a bias, we propose its bias-reduced version by using a least-squares method. The asymptotic normality of the proposed estimators is established under suitable assumptions. A small simulation study is carried out to prove the performance of our approach.     

中国资本市场价值溢价与CAPM实证研究

以1995年7月-2005年12月我国证券市场深沪两市的上市公司为样本,考察了价值溢价随规模变化的规律,并检验了CAPM能否解释价值溢价以及与权益帐面市值比B/M(或规模)无关的贝塔(β)能否与股票的平均收益相补偿.实证检验发现:1)中国股市存在一定程度的价值溢价,尤其是小规模(Size)价值股在平均收益上存在着明显的价值溢价,而大规模(Size)价值股则不存在价值溢价现象;2)CAPM能够解释我国股市从1995年7月至2005年12月期间的价值溢价.从CAPM对由不同规模(Size)和B/M构造的6个组合的回归结果来看,相对于贝塔(β)为常数情况下,允许贝塔(β)的每年变化会略微增加CAPM对平均收益能力的解释能力;3)在我国股市上,只有与B/M(或规模)有关的贝塔(β)才能解释股票的收益,而与B/M(或规模)无关的贝塔(β)则不能解释股票的收益.     

手性碳量子点的制备及其应用

手性碳量子点(CQDs)因兼具优异的荧光性质、良好的生物相容性、较低的毒性、易于功能化以及手性特征等,在催化、检测和生物医学等领域具有广阔的应用潜力。目前,通过一步法或两步法制备的手性CQDs,已应用于手性催化、手性检测、高尔基体靶向成像、选择性调控酶和蛋白活性、选择性调控细胞能量代谢和促进植物生长等领域。然而,手性CQDs的发展初露头角,需进一步完善可控合成工艺,制备高荧光量子产率的长波长手性CQDs,使其在生物医学等领域绽放异彩。     

跳扩散条件下波动率风险溢价及影响因素研究——基于上证50 ETF期权市场的实证

本文采用上证50 ETF及其期权交易数据,运用SVCJ模型、MCMC及傅里叶变换等方法,从P测度及Q测度中提取波动率风险溢价,并分析了其时变特征及影响因素。实证研究表明:SVCJ模型相较于SV模型及SVJ模型具有更好的市场拟合优度;傅里叶变换法能提高波动率风险溢价的估计效率;波动率风险溢价具有时变特征,在市场急剧动荡时期,波动率风险溢价基本为负,投资者厌恶波动风险,购买期权对冲波动风险的意愿较高;在市场非急剧动荡时期,波动率风险溢价基本为正,投资者偏好波动风险,购买期权对冲波动风险的意愿较低;市场收益率、波动率、换手率及投资者情绪对波动率风险溢价具有显著的影响。     

Optimal Investment-Reinsurance Strategy with Exchange Rate Risk under Variance Premium Principl

It is assumed that both an insurance company and a reinsurance company adopt the variance premium principle to collect premiums. Specifically, an insurance company is allowed to investment not only in a domestic risk-free asset and a risky asset, but also in a foreign risky asset. Firstly, we use a geometry Brownian motion to model the exchange rate risk, and assume that the insurance company could control the insurance risk by transferring the insurance business into the reinsurance company. Secondly, the stochastic dynamic programming principle is used to study the optimal investment and reinsurance problems in two situations. The first is a diffusion approximation risk model and the second is a classical risk model. The optimal investment and reinsurance strategies are obtained under these two situations. We also show that the exchange rate risk has a great impact on the insurance company's investment strategies, but has no effect on the reinsurance strategies. Finally, a sensitivity analysis of some parameters is provided.     

保险公司每期总准备金计算

本在保险公司是风险中性的情况下，讨论了在投资影响下的每期总准备金计算问题．通过建立它应满足的线性倒向随机微分方程，得到它在投资影响下的计算公式．     

不等频两步激发Li蒸汽产生红外受激辐射特性研究

本文首次报道了利用不等频两步激发Li蒸汽,获得了五条红外受激辐射和串级辐射.并对受激辐射特性进行了研究.     

Computer-assisted optimization of mobile phase compositions and development distance selectivity in gradient two-step development high-performance thin-layer chromatography

A computer-assisted method is presented for optimization of mobile phase compositions and development distance in gradient two-step development HPTLC. The method is based on a system which can predict the final Rf values for gradient two-step development from values measured using five preliminary runs. The statistical scanning method is then used for optimization, using Rf difference as the selection criterion. The method was evaluated using a mixture of eight components. Excellent agreement was obtained between predicted and experimental results. Gradient two-step development HPTLC, mobile phase composition optimization, velopment distance optimizationde-     

两步离子交换玻璃光功分器的折射率分布

介绍了在用两步离子交换方法制作光功分器中，在高斯分布为初始条件下采用平均法求出非线性两步离子扩散方程的折射率分布，与实验测出的折射率分布符合得很好。该法尤其对单模光功分器求其折射率更为简单和实用。     

风险理论中破产模型的若干结果

本文分连续时间和离散时间两种情况对古典的破产模型做了改进和推广 ,并给出了统一的破产概率的表达式 .