基于质量分级的生鲜农产品供应链的定价与保鲜策略研究

为了有效降低生鲜农产品损耗,保障流通与销售过程中生鲜农产品的品质及安全,解决消费者对生鲜农产品品质及其新鲜度的高追求与生鲜农产品冷链物流成本过高导致保鲜投入不足之间的矛盾,文中以价格和新鲜度为市场需求的主要影响因素,分别在产销地均不分级、销地分级和产地分级三种质量分级模式下,构建了供应商和零售商的利润函数,采用stackelberg博弈求解得到各自的最优定价策略和最优保鲜策略.对不同质量分级模式下的定价策略和保鲜策略进行对比分析显示,产地分级模式下的定价策略有利于增加市场需求及市场主体的利润;产地分级模式下的保鲜策略在控制损耗的效果和控制保鲜的成本上都优于其他模式.     

THE INSURANCE VALUE OF BIODIVERSITY IN THE PROVISION OF ECOSYSTEM SERVICES

ABSTRACT. Biodiversity provides insurance against the uncertain provision of ecosystem services which are being used by risk‐averse economic agents. I present a conceptual ecological‐economic model that combines (i) current results from ecology about the relationships between biodiversity, ecosystem functioning, and the provision of ecosystem services with (ii) economic methods to study decision‐making under uncertainty. In this framework I (1) determine the insurance value of biodiversity, (2) study the optimal allocation of funds in the trade‐off between investing into biodiversity protection and the purchase of financial insurance, and (3) analyze the effect of different institutional regimes in the market for financial insurance on biodiversity protection. I conclude that biodiversity acts as a form of natural insurance for risk‐averse ecosystem managers against the over‐ or under‐provision with ecosystem services. Therefore, biodiversity has an insurance value, which is a value component in addition to the usual value arguments, such as direct or indirect use or non‐use values. In this respect, biodiversity and financial insurance are substitutes. Hence, the availability, and exact institutional design, of financial insurance influence the level of biodiversity protection.     

Bayesian Analysis of Extreme Values by Mixture Modeling

Modeling of extreme values in the presence of heterogeneity is still a relatively unexplored area. We consider losses pertaining to several related categories. For each category, we view exceedances over a given threshold as generated by a Poisson process whose intensity is regulated by a specific location, shape and scale parameter. Using a Bayesian approach, we develop a hierarchical mixture prior, with an unknown number of components, for each of the above parameters. Computations are performed using Reversible Jump MCMC. Our model accounts for possible grouping effects and takes advantage of the similarity across categories, both for estimation and prediction purposes. Some guidance on the specification of the prior distribution is provided, together with an assessment of inferential robustness. The method is illustrated throughout using a data set on large claims against a well-known insurance company over a 15-year period.     

关联规则向量化挖掘算法及其在车险精算中的应用

本文首先回顾了关联规则的基本概念和传统的Apriori算法，然后利用关联规则的数据库是布尔型数据库的特点，在计算关联规则的支持度和置信度的时候引进向量数乘和向量内积的概念，得到关联规则向量化挖掘算法ARVDA，避免全数据库逐条记录模式匹配和属性分层，提高算法的速度．最后，本文利用提升度量关联规则的重要性，采用单独追踪和对比分析方法，衡量车险精算中风险因子的有效性．结果表明把车辆使用性质作为车险定价的分级因素是比较合理的，对于非运营车辆需要合理的费用附加．     

保险赔付中的最优对冲策略

本文对带有付费过程$A_t$的保险公司在金融市场$(S_t,Q_t,B_t)$上通过购买股票$S_t$、兑换外币$Q_t$以及购买无风险资产$B_t$的投资过程而采取的最优投资策略, 使保险公司所面临的风险最小进行探讨. 利用Galtchouk-Kunita-Watanabe分解定理将风险表达式重新表达, 从而找到保险公司所能采取的风险最小的最优对冲策略. 文中举出一个具有现实性意义的例子将文章的重要结论加以应用, 使本文更具有应用价值.     

Risk theory insight into a zone-adaptive control strategy

The main purpose of this paper is a risk theory insight into the problem of asset-liability and solvency adaptive management. In the multiperiodic insurance risk model composed of chained classical risk models, a zone-adaptive control strategy, essentially similar to that applied in Directives [Directive 2002/13/EC of the European Parliament and of the Council of 5 March 2002, Brussels, 5 March 2002], is introduced and its performance is examined analytically. That examination was initiated in [Malinovskii, V.K., 2006b. Adaptive control strategies and dependence of finite time ruin on the premium loading. Insurance: Math. Econ. (in press)] and is based on the application of the explicit expression for the finite-time ruin probability in the classical risk model. The result of independent interest in the paper is the representation of that finite-time ruin probability in terms of asymptotic series, as time increases.     

Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory

This paper obtains the uniform estimate for maximum of sums of independent and heavy-tailed random variables with nonnegative random weights,which can be arbi- trarily dependent of each other.Then the applications to ruin probabilities in a discrete time risk model with dependent stochastic returns are considered.     

Performance Analysis with Truncated Heavy-Tailed Distributions

This paper deals with queues and insurance risk processes where a generic service time, resp. generic claim, has the form U ∧ K for some r.v. U with distribution B which is heavy-tailed, say Pareto or Weibull, and a typically large K, say much larger than . We study the compound Poisson ruin probability ψ(u) or, equivalently, the tail of the M/G/1 steady-state waiting time W. In the first part of the paper, we present numerical values of ψ(u) for different values of K by using the classical Siegmund algorithm as well as a more recent algorithm designed for heavy-tailed claims/service times, and compare the results to different approximations of ψ(u) in order to figure out the threshold between the light-tailed regime and the heavy-tailed regime. In the second part, we investigate the asymptotics as K → ∞ of the asymptotic exponential decay rate γ = γ ^(K) in a more general truncated Lévy process setting, and give a discussion of some of the implications for the approximations. AMS 2000 Subject Classification Primary 68M20, Secondary 60K25 †Partially supported by MaPhySto—A Network in Mathematical Physics and Stochastics, founded by the Danish National Research Foundation. An erratum to this article is available at .     

Heuristic optimization methods for motion planning of autonomous agricultural vehicles

In this paper, two heuristic optimization techniques are tested and compared in the application of motion planning for autonomous agricultural vehicles: Simulated Annealing and Genetic Algorithms. Several preliminary experimentations are performed for both algorithms, so that the best neighborhood definitions and algorithm parameters are found. Then, the two tuned algorithms are run extensively, but for no more than 2000 cost function evaluations, as run-time is the critical factor for this application. The comparison of the two algorithms showed that the Simulated Annealing algorithm achieves the better performance and outperforms the Genetic Algorithm. The final optimum found by the Simulated Annealing algorithm is considered to be satisfactory for the specific motion planning application.     

Equilibrium in natural catastrophe insurance market under disaster-resistant technologies,financial innovations and government interventions

Natural disasters increase in number and severity. Studies have shown the failure of the catastrophe insurance market by listing many causes or through developing economic models (Charpentier and Le Maux, 2014; Kousky and Cooke, 2012; Ibragimov et al., 2009). However, they have not considered the effect of the following factors on market equilibrium: advanced disaster-resistant technologies used by insureds, alternative financial innovations employed by insurers, and various disaster policies that are implemented by governments. To fill this gap, this study examines how these three factors affect the market equilibrium by changing the supply of, and demand for insurance and determines which factor(s) contributes to the market equilibrium. Furthermore, we derive the formula of position size which gives criteria for selecting index-based contracts. Overall annual numbers and insured losses of catastrophes are collected by peril type and by occurrence region listed in Sigma, which is issued by Swiss Re annually. The comparative static equilibrium analysis demonstrates that the improvement of market equilibrium is significant at low level of loss correlation in all cases. The empirical findings give insurers good references for business and geographical diversification in portfolio of catastrophe insurance policies.