基于金融服务供应链的极端洪水灾害风险应急合作模型研究

基于金融服务供应链管理的基本思想,建立极端洪水灾害风险应急金融服务供应链,分析此应急金融服务供应链中各成员的利益函数模型之间的关系,结果表明,经营性政府的效益与公众利益呈正相关性,经营性政府的效益与保险公司的利润呈负相关性;同时,考虑当经营性政府效益和保险公司利润固定时,保险公司的保费,经营性政府对公众购买保险的补贴率和政府为了避免保险公司在极端洪水灾害发生后破产概率过高,给予的转移支付之间的关系.     

Investigating the change of causality in emerging property markets during the financial tsunami

In this paper, we employ the multivariate CUSUM (cumulative sum) test for covariance structure as well as the renormalized partial directed coherence (PDC) method to capture the structural causality change of real estate stock indices of five emerging Asian countries and regions (i.e., Thailand, Malaysia, South Korea, PR China, and Taiwan). Meanwhile, we develop a method to make the comparison of renormalized PDC more intuitive and a set of criteria to measure the result. One of our findings indicates that the regional influence of the Chinese real estate stock market on the causality structure of the five markets has arisen under the effect of the financial tsunami.     

Speculative Behavior and Asset Price Dynamics

This paper deals with speculative trading. Guided by empirical observations, a nonlinear deterministic asset pricing model is developed in which traders repeatedly choose between technical and fundamental analysis to determine their orders. The interaction between the trading rules produces complex dynamics. The model endogenously replicates the stylized facts of excess volatility, high trading volumes, shifts in the level of asset prices, and volatility clustering.     

多种非线性力作用下不平衡弹性转子的分岔特性

研究了4自由度不平衡弹性转子在非线性油膜力、非线性内阻力和非线性弹性力联合作用下的动力学特性。结果表明，当只有非线性油膜力作用时，转子只存在由于油膜失稳而导致的倍周期分岔。而当非线性油膜力与非线性内阻力共同作用时，在油膜失稳后，转子产生低频振动。转速继续增加，还会诱发内阻失稳，产生概周期运动。在倍周期分岔中，存在分岔激变现象。本文发现的由于油膜涡动而导致的内阻失稳(概周期运动)是一种未见报道的转子失稳模式(组合失稳)，它与油膜失稳(倍周期运动)一起可作为转子故障诊断的典型失稳模式。     

Dynamics of Nonlinear Oscillators under Simultaneous Internal and External Resonances

An analysis is presented for a class of two degree of freedom weakly nonlinear oscillators, with symmetric restoring force. Conditions of one-to-three internal resonance and subharmonic external resonance of the lower vibration mode are assumed to be satisfied simultaneously. As a consequence, the second vibration mode may also be under the action of external primary resonance. Initially, a set of slow-flow equations is derived, governing the amplitudes and phases of approximate long time response of these oscillators, by applying an asymptotic analytical method. Determination of several possible types of steady-state motions is then reduced to solution of sets of algebraic equations. For all these solution types, appropriate stability analysis is also performed. In the second part of the study, this analysis is applied to an example mechanical system. First, a systematic search is performed, revealing effects of system parameters on the existence and stability properties of periodic motions. Frequency-response diagrams are presented and attention is focused on understanding the evolution and interaction of the various solution branches as the external forcing and nonlinearity parameters are varied. Finally, numerical integration of the equations of motion demonstrates that the system exhibits quasiperiodic or chaotic response for some parameter combinations.     

具有退化扩散系数It过程的Girsanov定理及其应用

对具有退化扩散系数的It过程,利用扩散系数矩阵的Moore-Penrose广义逆,给出Girsanov定理的一种便于应用的表述形式.应用此结果,给出具有有界随机漂移,退化而确定扩散的金融市场具有无套利机会的判据,此判据方便于应用.     

金融危机传染的非线性动力学模型

越来越多的证据表明全球金融市场是高度复杂,广泛联接的非线性动力系统网络,由于系统的非线性和复杂性特征使得金融危机极易通过系统间的耦合作用而发生传染.针对金融危机传染所表现出的非线性动力学特性,本文构建了以传染源国家和受传染国家股票收益率为变量的微分动力学传染模型.利用微分方程定性理论对模型的奇点进行讨论,得出极限环存在的条件及形式,并进而得出金融危机传染的三种情况:轻度传染、可控传染和强烈传染.     

The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks

Consider a discrete-time insurance risk modelWithin period i, i ≥ 1, Xi and Yi denote the net insurance loss and the stochastic discount factor of an insurer, respectively.Assume that {(Xi, Yi), i ≥ 1} form a sequence of independent and identically distributed random vectors following a common bivariate Sarmanov distributionIn the presence of heavy-tailed net insurance losses, an asymptotic formula is derived for the finite-time ruin probability.     

The relevance of the “alphorn of uncertainty” to the financial management of projects under uncertainty

In this paper, both the duration and the cost of an activity are modeled as random variables, and accordingly, the cumulative cost at each time point also becomes a random variable along a project’s progress. We first present the new concept of an “alphorn of uncertainty” (AoU) to describe the domain of cumulative cost variation throughout the life of a project and subsequently apply it to assess the project’s financial status over time. The shape of the alphorn was obtained by mixing Monte Carlo sampling with Gantt chart analysis, which enabled us to determine a project’s financial status related to specific payment modes. To validate the AoU, we designed and conducted an extensive numerical experiment using a randomly generated data set of activity networks. The results indicate that the AoU may be a promising method for the financial management of projects under uncertainty. Furthermore, financial status under uncertain conditions is not sensitive to an activity’s choice of duration distributions or to the form of cost functions. However, payment rules can greatly affect financial status over the duration of a project.