Asset and liability modelling for participating policies with guarantees

We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management, analyze the tradeoffs in structuring such policies, and study alternative choices in funding them. The nonlinearly constrained optimization model can be linearized through closed form solutions of the dynamic equations. Thus large-scale problems are solved with standard methods. We report on an empirical analysis of policies offered by Italian insurers. The optimized model results are in general agreement with current industry practices. However, some inefficiencies are identified and potential improvements are highlighted.     

Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint

The solution to the optimal portfolio selection and consumptionrule subject to Capital-at-Risk and Value-at-Risk constraintsis derived via the use of stochastic dynamic programming.     

Asymmetric impacts of global risk appetite on the risk premium for an emerging market

This paper analyzes the impact of global risk appetite on the risk premium utilizing high-frequency data. Taking the Turkish economy as our laboratory, we find that the risk premium volatility responds only to a worsening in the risk appetite for the Turkish economy, which is a result that we do not observe for the other emerging markets. Then, we investigate the role of current account dynamics on this asymmetric effect, by focusing also on an economy with similar current account performance. The empirical results find supporting evidence for the role of current account dynamics on the estimated asymmetry.     

Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control

This paper presents a method for solving multiperiod investment models with downside risk control characterized by the portfolio’s worst outcome. The stochastic programming problem is decomposed into two subproblems: a nonlinear optimization model identifying the optimal terminal wealth distribution and a stochastic linear programming model replicating the identified optimal portfolio wealth. The replicating portfolio coincides with the optimal solution to the investor’s problem if the market is frictionless. The multiperiod stochastic linear programming model tests for the absence of arbitrage opportunities and its dual feasible solutions generate all risk neutral probability measures. When there are constraints such as liquidity or position requirements, the method yields approximate portfolio policies by minimizing the initial cost of the replication portfolio. A numerical example illustrates the difference between the replicating result and the optimal unconstrained portfolio.     

Dual characterization of properties of risk measures on Orlicz hearts

We extend earlier representation results for monetary risk measures on Orlicz hearts. Then we give general conditions for such risk measures to be Gateaux-differentiable, strictly monotone with respect to almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, or monotone with respect to different stochastic orders. The theoretical results are used to analyze various specific examples of risk measures. We thank Andreas Hamel and Michael Kupper for fruitful discussions and helpful comments. P. Cheridito has been supported by NSF Grant DMS-0642361, a Rheinstein Award and a Peek Fellowship. T. Li has been supported by a Marshall Scholarship and a Merage Fellowship.     

区域经济发展的属性模式识别模型

本将属性模式识别系统应用于区域经济发展优先级别的评价中。在建立评价指标体系的基础上。根据各指标的权重，提出确定区域经济发展中心的属性测度模型。并以黄河流域的12个大城市为样本，给出了一种比较科学的、切实可行的区域经济发展优先级别的评价方法。     

Sample path large and moderate deviations for risk model with delayed claims

Sample path large and moderate deviation principles for Markov modulated risk models with delayed claims are proved by the exponential martingale method. As applications, asymptotic estimates and exponential bounds of the ruin probability are also studied.     

Recent applications of theory of the firm under uncertainty

This paper provides a comprehensive synthesis and analysis of the current and recent empirical implementations of the theory of the firm under uncertainty, including multiple sources of uncertainty. In so doing, it identifies the major estimation obstacles and it offers the future empirical researcher ways to derive simple estimation procedures under multiple sources uncertainty.     

基于最小错误率贝叶斯决策的企业员工招聘决策

本在[1]和[2]研究基础上，利用[1]、[2]中的分析模型和综合评价模型所得的结果。以及这两个结果正相关性。依据某大型国有企管理初级岗位3000多人的测试结果。采用最小错误率贝叶斯决策。构建了企业管理岗位初级人员招聘模型。此模型为企业根据企业化和价值观等来招聘符合企业要求的员工提供了一种方法。