基于内部竞争的保险公司的风险管理

讨论了具有内部竞争的保险公司的风险管理问题,保险公司的目标是:保险公司用于(股东)分红的净收益的期望现值最大。根据B e llm an最优性原理,得出了分红情况下的B e llm an偏微分方程,通过对所得方程的分析给出了解析解和最有控制策略。     

Optimal dividend policy when risk reserves follow a jump–diffusion process with a completely monotone jump density under Markov-regime switching

The paper studies optimal dividend distribution for an insurance company whose risk reserves in the absence of dividends follow a Markov-modulated jump–diffusion process with a completely monotone jump density where jump densities and parameters including discount rate are modulated by a finite-state irreducible Markov chain. The major goal is to maximize the expected cumulative discounted dividend payments until ruin time when risk reserve is less than or equal to zero for the first time. I extend the results of Jiang (2015) for a Markov-modulated jump–diffusion process from exponential jump densities to completely monotone jump densities by proving that it is also optimal to take a modulated barrier strategy at some positive regime-dependent levels and that value function as the fixed point of a contraction is explicitly characterized.     

带常数红利边界马氏相依风险模型的Gerber-Shiu折扣惩罚函数的期望

本文研究了带常数红利边界的马氏相依风险模型,利用微分方法,推导出折扣惩罚函数的期望所满足的积分-微分方程,及其满足的边界条件,并给出了其解的一般表达形式.     

线性红利界下带干扰风险模型的破产概率

考虑到保险公司在实际经营中收益所具有的不确定性和分红策略,建立一类具有线性红利界和带随机扰动的双复合Poisson风险模型,利用鞅方法给出模型关于破产概率的一个定理及上界.     

具有常红利边界和延迟索赔的一类离散更新风险模型

考虑了具有常红利边界和延迟索赔的一类离散更新风险模型,其中间隔索赔到达时间从离散phase-type分布.定义了两种类型的索赔:主索赔和副索赔,主索赔以一定的概率引起副索赔且副索赔会以一定的概率被延迟到下一时段.通过引入辅助风险模型,推导了破产前红利折现期望满足的差分方程及其解.最后给出了当索赔额服从几何分布时的有关数值例子.     

复合Poisson-Geometic风险下带投资和障碍分红的Gerber-shiu函数

文章考虑了复合Poisson-Geometic风险下带投资和障碍分红的Gerber-shiu函数问题,运用全期望公式得到了复合Poisson-Geometic风险下带投资和障碍分红的函数所满足的更新方程。并在指数分布的假设下,得到了带投资和障碍分红的保险公司的破产概率的显式表达,最后通过数值算例分析了风险模型的几个关键参数对破产概率的影响,验证了文章结果的合理性,同时也给保险公司的资金管理提出了指导意见。结果表明:充足的初始准备金、较低的赔付门槛、较高收益率的风险资产都是降低破产风险的重要策略。     

Research on the Prediction of A-Share “High Stock Dividend” Phenomenon—A Feature Adaptive Improved Multi-Layers Ensemble Model

Since the “high stock dividend” of A-share companies in China often leads to the short-term stock price increase, this phenomenon’s prediction has been widely concerned by academia and industry. In this study, a new multi-layer stacking ensemble algorithm is proposed. Unlike the classic stacking ensemble algorithm that focused on the differentiation of base models, this paper used the equal weight comprehensive feature evaluation method to select features before predicting the base model and used a genetic algorithm to match the optimal feature subset for each base model. After the base model’s output prediction, the LightGBM (LGB) model was added to the algorithm as a secondary information extraction layer. Finally, the algorithm inputs the extracted information into the Logistic Regression (LR) model to complete the prediction of the “high stock dividend” phenomenon. Using the A-share market data from 2010 to 2019 for simulation and evaluation, the proposed model improves the AUC (Area Under Curve) and F1 score by 0.173 and 0.303, respectively, compared to the baseline model. The prediction results shed light on event-driven investment strategies.     

Optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes: An alternative approach

The optimal dividend problem proposed in de Finetti [1] is to find the dividend-payment strategy that maximizes the expected discounted value of dividends which are paid to the shareholders until the company is ruined. Avram et al. [9] studied the case when the risk process is modelled by a general spectrally negative Lévy process and Loeffen [10] gave sufficient conditions under which the optimal strategy is of the barrier type. Recently Kyprianou et al. [11] strengthened the result of Loeffen [10] which established a larger class of Lévy processes for which the barrier strategy is optimal among all admissible ones. In this paper we use an analytical argument to re-investigate the optimality of barrier dividend strategies considered in the three recent papers.     

具有红利边界的Erlang（2）风险模型

给出了具有边界红利策略的Erlang（2）风险模型,在此红利策略下,若保险公司的盈余在红利线以下时不支付红利,否则红利以低于保费率的常速率予以支付．对于该模型,本文推导了Gerber-Shiu折现惩罚函数所满足的两个积分－微分方程和更新方程．     

考虑破产惩罚的对偶风险模型的最优控制

本文主要研究对偶风险模型的最优控制问题. 为了考虑破产对保险公司(金融机构)的影响, 我们在构造价值函数的过程中引入了一个变量来测度破产对公司盈利的影响. 为了求得最优的控制策略, 我们首先研究了两类带有约束的优化问题. 基于这些带约束优化问题的解, 我们给出了无约束的最优策略.