Optimal Cross Hedging of Insurance Derivatives

Abstract

We consider insurance derivatives depending on an external physical risk process, for example, a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal strategies for exponential utility from terminal wealth, determine the indifference prices of the derivatives, and interpret them in terms of diversification pressure. Moreover, we check the optimal investment strategies for standard admissibility criteria. Finally, we compare the static risk connected with an insurance derivative to the reduced risk due to a dynamic investment into the correlated asset. We show that dynamic hedging reduces the risk aversion in terms of entropic risk measures by a factor related to the correlation.     

决策依赖不确定条件下基于复合实物期权估值的工程系统投资决策研究

不确定性是复杂工程系统的内在属性,在决策依赖不确定条件下对工程系统的投资决策需考虑不确定性与决策过程之间的交互作用,使得投资决策问题的求解非常困难.提出了决策依赖不确定条件下复合实物期权估值的最小二乘模拟算法,方法较好地解决了在决策依赖不确定条件下由于不同期权价值相互耦合所带来的计算复杂性,进一步拓展了最小二乘模拟算法在期权估值中的应用,基于该方法,可以比较方便地解决决策依赖不确定条件下工程系统投资决策问题.     

可转换债券的投资价值实证分析

通过对可转换债券的投资价值进行实证分析,介绍了可转换债券投资价值分析的方法。     

Predicting Fraud Victimization Using Classical Machine Learning

Protecting financial consumers from investment fraud has been a recurring problem in Canada. The purpose of this paper is to predict the demographic characteristics of investors who are likely to be victims of investment fraud. Data for this paper came from the Investment Industry Regulatory Organization of Canada’s (IIROC) database between January of 2009 and December of 2019. In total, 4575 investors were coded as victims of investment fraud. The study employed a machine-learning algorithm to predict the probability of fraud victimization. The machine learning model deployed in this paper predicted the typical demographic profile of fraud victims as investors who classify as female, have poor financial knowledge, know the advisor from the past, and are retired. Investors who are characterized as having limited financial literacy but a long-time relationship with their advisor have reduced probabilities of being victimized. However, male investors with low or moderate-level investment knowledge were more likely to be preyed upon by their investment advisors. While not statistically significant, older adults, in general, are at greater risk of being victimized. The findings from this paper can be used by Canadian self-regulatory organizations and securities commissions to inform their investors’ protection mandates.     

考虑桥载设备使用的机场和航空公司运行成本研究

分析了桥载设备在机场和航空公司推广所面临的问题和原因,从航空公司运行的角度讨论桥载设备的使用能否有效地节约航空公司运行成本,分析了不同机型使用桥载设备的成本优化率;然后从机场运行的角度构建了桥载设备静态投资回收周期计算模型,重点讨论了桥载设备套数和使用时间对其静态投资回收周期的影响.实践表明,使用桥载设备代替APU可实现机场、航空公司、旅客三赢:机场可收取桥载设备使用费增加收入,能在较短的时间内回收桥载设备的投资成本;航空公司可有效地节省燃油和APU维修等运行费用;使用桥载设备后可减少碳氮气体排放和噪声污染,改善旅客的航空体验.研究结果能够增强机场和航空公司使用桥载设备的信心和决心,能有效地推动民航节能减排政策在机场的实施.     

On minimizing drawdown risks of lifetime investments

Drawdown measures the decline of portfolio value from its historic high-water mark. In this paper, we study a lifetime investment problem aiming at minimizing the risk of drawdown occurrences. Under the Black–Scholes framework, we examine two financial market models: a market with two risky assets, and a market with a risk-free asset and a risky asset. Closed-form optimal trading strategies are derived under both models by utilizing a decomposition technique on the associated Hamilton–Jacobi–Bellman (HJB) equation. We show that it is optimal to minimize the portfolio variance when the fund value is at its historic high-water mark. Moreover, when the fund value drops, the proportion of wealth invested in the asset with a higher instantaneous rate of return should be increased. We find that the instantaneous return rate of the minimum lifetime drawdown probability (MLDP) portfolio is never less than the return rate of the minimum variance (MV) portfolio. This supports the practical use of drawdown-based performance measures in which the role of volatility is replaced by drawdown.     

基于阶段划分的股市信息冲击的非对称性分析

基于AR-EGARCH-M模型,对1991-2013年上证指数收益率序列的信息冲击非对称性进行分析.首先以年为单位分析了信息冲击的非对称性特征,根据非对称性效应的表现将其划分为6个阶段进一步分析.分析结果显示:A股市场表现出信息不对称性,信息冲击的正负杠杆效应交替出现,但是随着时间的推移,这种不对称性在明显减小.这表明中国股票市场的投机成分不断减少、投资者不断趋于理性,市场有效性水平提高.     

Optimal reinsurance and investment with unobservable claim size and intensity

We consider the optimal reinsurance and investment problem in an unobservable Markov-modulated compound Poisson risk model, where the intensity and jump size distribution are not known but have to be inferred from the observations of claim arrivals. Using a recently developed result from filtering theory, we reduce the partially observable control problem to an equivalent problem with complete observations. Then using stochastic control theory, we get the closed form expressions of the optimal strategies which maximize the expected exponential utility of terminal wealth. In particular, we investigate the effect of the safety loading and the unobservable factors on the optimal reinsurance strategies. With the help of a generalized Hamilton–Jacobi–Bellman equation where the derivative is replaced by Clarke’s generalized gradient as in Bäuerle and Rieder (2007), we characterize the value function, which helps us verify that the strategies we constructed are optimal.     

Two-agent Pareto optimal cooperative investment in general semimartingale model

We consider the problem of expected utility maximization for the two-agent case in general semimartingale model. For this case a cooperative investment game is posed as follows: firstly collect both agents' capital as a whole at the initial time, and invest it in a trading strategy. Then at some time T ₀ one agent quits cooperation and terminates investment, so they divide the wealth and each of them gets a part. During the time interval [T ₀, T], the other agent invests her capital in a new trading strategy herself. By stochastic optimization methods with the help of the theory of backward stochastic differential equations, we give a characterization of Pareto optimal cooperative strategies and a characterization of situations where cooperation strictly Pareto dominates non-cooperation in our model.