Small transaction cost asymptotics and dynamic hedging

Transaction costs are one of the major impediments to the implementation of dynamic hedging strategies. We consider an alternative to utility maximization, similar to the “good-deal” pricing framework in incomplete markets. We perform a dynamic risk–reward analysis for a family of non-self-financing strategies of practical importance: deterministic time hedging; i.e., hedging at predetermined, fixed, times. In the limit of small relative transaction costs, we carry out the asymptotic analysis and find that transaction costs affect the hedge ratios and that the time between trades is related in a simple way to the local sensitivities of the replication target.     

Allocation of long-term financial transmission rights for transmission expansion

Long-term financial transmission rights (FTRs) could be used to create incentives for small-scale transmission investments. However, these new investments may cause negative externalities on existing FTRs. Therefore the system operator needs a protocol for awarding incremental FTRs for new transmission capacity that maximize investors’ preferences while simultaneously accounting for under-allocation of the existing network capacity by existing FTRs. To preserve revenue adequacy, the system operator calculates a minimum amount of currently unallocated FTRs (or proxy FTRs) that satisfies the power flow constraints in the existing network. The challenge is to define the proxy awards. Hogan proposes to define them as the best use of the current network along the same direction as the incremental FTR awards. This includes allowing positive or negative incremental FTR awards. In this paper we present an implementation through bi-level programming of Hogan’s proposal for allocation of long-term FTRs and apply it to a radial line and one of Hogan’s examples. Our results show that the simultaneous feasibility of the transmission investment depends on factors such as investor and preset proxy preferences, existing FTRs, and transmission capacity in both the existing network and all proposed expansions of it.     

Modelling profitability using survival combination scores

The paper presents the first empirical investigation of the relationship between present value of net revenue from a revolving credit account and times to default and to second purchase. The analysis is based on the data for a store card which is used to buy ‘white’ durable goods in Germany. It is demonstrated that there exists a relationship between the above given measures. It appears that there is a scope for improving profit if an application for a store card is assessed by using a model which estimates the revenue and includes the survival probability of default and the survival probability of second purchase (a survival combination model) rather than merely a static probability of default predicted by a logistic regression.     

An optimal investment strategy with maximal risk aversion and its ruin probability

In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well as an estimate of the ruin probability when the optimal strategy is used. This work was partially supported by Grants IN103606 PAPIIT-UNAM, 37922E-CONACyT, and 61423-CONACYT Mexico.     

一类索赔相依二元风险模型的破产概率问题研究

考虑一种相依索赔风险模型,模型中假设每次主索赔可随机产生一延迟的副索赔,采用Laplacc变换方法,给出了索赔额服从轻尾分布时的最终破产概率,并研究了重尾分布时最终破产概率的渐进式.     

The risk of second-tier supplier failures in serial supply chains: Implications for order policies and distributor autonomy

As organizations decrease inventory, the potential impact of a supply disruption increases. However, due to supply chain structural changes, the likelihood of a disruption may be less. Additionally independent supply chain actors may react to policy changes, changing supply chain configurations and perhaps reducing loss magnitudes. If risk is a product of likelihood and magnitude, does higher inventory reduce an organization’s supply related risk? This paper examines the supply risk issue within the context of a second-tier supply failure, and is grounded in inventory and resource dependency theories. By evaluating risk assessment in a simulation environment, exploratory findings suggest that increased inventory in a tiered supply chain can sometimes increase supply risk rather than decrease it. Managerial insights into the effects of supply chain stability and coordination are provided. By taking a systems perspective of supply risk management, organizations will be better able to manage supply risk concerns.     

Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management

In this paper we extend standard dynamic programming results for the risk sensitive optimal control of discrete time Markov chains to a new class of models. The state space is only finite, but now the assumptions about the Markov transition matrix are much less restrictive. Our results are then applied to the financial problem of managing a portfolio of assets which are affected by Markovian microeconomic and macroeconomic factors and where the investor seeks to maximize the portfolio's risk adjusted growth rate.     

大位移井钻井风险灰元故障树原理研究

大位移井钻井技术是国外90年代发展起来的高新钻井技术,但钻井风险和钻井事故越来越引起人们的重视。因此本文在故障树分析基础上,结合灰元概念,对大位移钻井风险,首次提出了灰元故障树原理,成功地解决了大位移钻井风险预测和防范等问题。实例表明结果与其它方法吻合很好,符合实际,不仅对测算大位移井钻井风险适用,而且对于评估工程和经济领域的风险也适用,用途十分广泛。     

Modeling and simulations of the cascading failure of multiple interdependent R&D networks under risk propagation

In this paper, we study the robustness of multiple interrelated R&D networks under risk propagation. Firstly, using a bi-partite graph to represent the interrelated R&D networks is emphasized and proposed. Secondly, a risk propagation model is built by defining risk load and risk capacity of each enterprise on a specific R&D network, Thirdly, we use simulations to study risk propagation in interrelated R&D networks. Our results indicate that there exist three critical thresholds to quantify the robustness of R&D networks. Risk propagation in R&D networks is highly affected by the heterogeneity of all enterprises' scales and risk capacities.     

基于GIS与数值模拟的三峡水库库首区诱发地震危险性评价

采用GIS与数值模拟相结合的方法对三峡水库库首区诱发地震危险性进行评价。通过研究水库诱发地震的影响因素,建立模型进行数值模拟。在GIS平台上,综合数值模拟结果与诱发地震监测结果,建立危险性评价数据库。在GIS支持下,采用最大拉应变准则判别拉伸破坏,采用摩尔-库仑准则判别剪切破坏,对单元进行评价。利用诱发地震监测资料,以发生诱发地震单元的第一主应力、第三主应力、位移作为危险单元的标准,对单元进行二次评价。研究结果表明,建立同一GIS平台下的水库区地质环境、监测资料数据库是建立多因素综合评价模型的基础。采用地震评估模型对模拟结果进行评估,结合监测资料对评估成果进行修正,在三峡库首区水库诱发地震危险性评价中具有一定的可信度。