Valuation of equity-indexed annuity under stochastic mortality and interest rate

An equity-indexed annuity (EIA) contract offers a proportional participation in the return on a specified equity index, in addition to a guaranteed return on the single premium. In this paper, we discuss the valuation of equity-indexed annuities under stochastic mortality and interest rate which are assumed to be dependent on each other. Employing the method of change of measure, we present the pricing formulas in closed form for the most common product designs: the point-to-point and the annual reset. Finally, we conduct several numerical experiments, in which we analyze the relationship between some parameters and the pricing of EIAs.     

Bioactivity‐integrated ultra‐performance liquid chromatography/quadrupole time‐of‐flight mass spectrometry for the identification of nuclear factor‐κB inhibitors and β2 adrenergic receptor agonists in Chinese medicinal preparation Chuanbeipipa dropping pills

A simple and dual‐target method based on ultra‐performance liquid chromatography/quadrupole time‐of‐flight mass spectrometry combined with dual‐bioactive [nuclear factor‐κB (NF‐κB) and β₂‐adrenergic receptor] luciferase reporter assay systems was developed to rapidly characterize the chemical structure of various bioactive compounds of TCM preparations. Chuanbeipipa dropping pills, a traditional Chinese medicine preparation used for the clinical therapy of chronic obstructive lung disease and cough caused by bronchial catarrh, was analyzed with this method. Potential anti‐inflammatory and spasmolytic constituents were screened using NF‐κB and β₂‐adrenergic receptor activity luciferase reporter assay systems and simultaneously identified according to the time‐of‐flight mass spectrometry data. One β₂‐adrenergic receptor agonist (ephedrine) and two structural types of NF‐κB inhibitors (platycosides derivatives and ursolic acid derivatives) were characterized. Platycodin D3 and E were considered new NF‐κB inhibitors. Further cytokine and chemokine detection confirmed the anti‐inflammatory effects of the potential NF‐κB inhibitors. Compared with conventional fingerprints, activity‐integrated fingerprints that contain both chemical and bioactive details offer a more comprehensive understanding of the chemical makeup of plant materials. This strategy clearly demonstrated that multiple bioactivity‐integrated fingerprinting is a powerful tool for the improved screening and identification of potential multi‐target lead compounds in complex herbal medicines. Copyright © 2013 John Wiley & Sons, Ltd.     

Synthesis,optical, electrochemical and electroluminescent properties of novel fluorene-alt-bithiophene copolymers bearing phenylvinyl bridged accepting side chains

Two-dimensional poly[fluorene-alt-bithiophene] backboned copolymers were prepared by introducing phenylvinyl bridged accepting side chain containing malononitrile, 1,3-indanedione, or 4-nitrophenyl acetonitrile accepting moiety. The structural, optical, electroluminescent, electrochemical properties of these polymers were studied in details. These polymers possess good thermal stability and low highest occupied molecular orbital (HOMO) level (−5.59 to 5.67 eV). Results show that the introduction of π-conjugated accepting side chains can effectively adjust the optical and electrochemical properties of the resulting polymers. These new alternating copolymers may be promising electroluminescent materials.     

我国大病保险最优补偿分段方式与区间数量研究

我国大病保险补偿方案制定中,分段的方式以及区间的数量尤为重要.本文在区间等分、等比递增和等比递减三种分段方式下,分别建立以区间数量为自变量,以大病保险补偿额度为因变量的理论模型.以期望补偿比例作为衡量大病保险补偿水平的标准,在不低于95%的期望补偿比例下,理论结果显示:(i)区间等分、等比递增和等比递减三种分段方式对应的最佳区间数量分别为3个、3个和5个;(ii)在设定前述最优区间数量时,区间等比递增模式的补偿水平最高,其次为区间等比递减模式,区间等分模式的补偿水平最低,但是三者相差不大.接着,基于2015年的CHARLS数据为实证,计算三种区间分段方式下,家庭灾难性医疗支出发生率依次为7.13%、7.26%和7.69%,与理论的结果一致.     

Cu‐Catalyzed Cyanation of Arylboronic Acids with Acetonitrile: A Dual Role of TEMPO

The cyanation of arylboronic acids by using acetonitrile as the “CN” source has been achieved under a Cu(cat.)/TEMPO system (TEMPO=2,2,6,6‐tetramethylpiperidine N‐oxide). The broad substrate scope includes a variety of electron‐rich and electron‐poor arylboronic acids, which react well to give the cyanated products in high to excellent yields. Mechanistic studies reveal that TEMPO?CH₂CN, generated in situ, is an active cyanating reagent, and shows high reactivity for the formation of the CN^? moiety. Moreover, TEMPO acts as a cheap oxidant to enable the reaction to be catalytic in copper.     

具有生理活性的甾体酰胺类化合物

在甾体的甾核或支链上引入不同的官能团后可得到不同生理活性的化合物,它们有可能会成为人类治疗不同疾病的药物,因此甾体药物除了作为传统激素类药物使用外,在抗肿瘤药物、抗炎药物中的应用也成为甾体的重要研究内容之一。含有酰胺官能团的甾体化合物具有很好的生物活性。本文按照酰胺基团在甾体酰胺化合物中的位置进行分类,同时结合本课题组在甾体酰胺化合物的合成和生理活性研究方面所取得的一些成果,概述了近几年来新合成及发现的甾体酰胺类化合物及其衍生物的生理活性及研究进展,包括作为抗肿瘤药物的甾体酰胺化合物的设计、筛选、对5α-还原酶的抑制作用、抑制肿瘤细胞生长增殖活性及抗菌作用,并对此方面的发展趋势、应用前景作了展望。     

Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching L��vy model

This paper extends the model and analysis in that of Vandaele and Vanmaele [Insurance: Mathematics and Economics, 2008, 42: 1128–1137]. We assume that parameters of the Lévy process which models the dynamic of risky asset in the financial market depend on a finite state Markov chain. The state of the Markov chain can be interpreted as the state of the economy. Under the regime switching Lévy model, we obtain the locally risk-minimizing hedging strategies for some unit-linked life insurance products, including both the pure endowment policy and the term insurance contract.     

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本文在传统Lee-Carter人口死亡率模型的框架下, 引入同出生年人群死亡率之间的相关性效应, 从而对未来死亡率的动态变化进行更加具体的刻画. 同时借鉴Lin和Cox(2005)所提出的长寿债券构造机制, 基于中国的实际人口死亡率数据, 运用多维概率扭转变换对不完全市场下长寿债券的定价结果进行比较分析.     

Synergistic Assembly of Covalent and Supramolecular Polymers

Integrating irreplaceable features of both covalent chemistry and noncovalent interactions into a single entity to maximize the applicability is highly desired. Here, a discovery of this type of hybrid, developed by Stupp and co‐workers, is developed, where a synergistic combination of covalent and noncovalent compartments enables them to assemble by each other perfectively. The covalent compartments can grow into polymer chains assisted by a supramolecular compartment. The supramolecular compartments can be reversibly removed and re‐formed to reconstitute the hybrid structure. The obtained soft materials can serve as functional platforms for molecular delivery or self‐repairing materials.