基于供应方生产能力的应急物资生产模型

利用期权契约所建立的政企合作储备应急物资模式能够有效解决政府单独储备模式所造成的物资储备量过少或过多而引起的困境。然而由于应急物资的需求特性,若应急物资供应企业采用按单生产方式安排生产储备计划,势必会造成库存水平升高,引发资金周转困难等问题,对政企之间的长期合作造成不利影响。基于此,本文设计了基于供应方生产能力的应急物资生产模型。该模型在政府利用批发价格契约与期权契约采购应急物资的基础上,研究了供应方根据自身生产能力进行柔性生产时的生产与储备问题。通过推导政企双方最优决策后,重点分析了期权权利金,执行价格,加急生产成本等参数对供应方生产决策的影响,并证明与按单生产模式相比,柔性生产模式可有效降低供应方的库存量与生产成本,提高其利润,继而提高整体供应链的利润水平,有助于促进政企之间长期稳定的合作。     

基于利他偏好的电商供应链最优决策与契约协调

构建了由一个占主导地位的电商平台和一个处于跟随地位的制造商组成的Stackelberg主从博弈模型,研究了电商平台有无利他偏好时电商供应链的最优决策和契约协调问题,并通过数值算例验证了本文的主要结论.研究表明:电商平台的利他偏好行为能够促使自身服务水平提高、正向影响制造商的最优销售价格并削弱自身利润.但电商平台的让利行为能够提高制造商的利润水平、缓和供应链冲突并改善供应链整体绩效."销售佣金比例+服务成本共担"契约能够完美的协调电商供应链,使双方最优利润获得帕累托改进,从而保证电商平台有足够的激励执行利他偏好行为.另外,进一步分析发现电商平台的利他偏好正向影响制造商支付给电商平台的固定技术服务费、制造商占有的电商供应链利润份额和服务成本分担比例,负向影响自身的销售佣金比例.     

Unit-linked life insurance policies: Optimal hedging in partially observable market models

In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on the market. In particular, we consider an endowment insurance contract, that is a combination of a term insurance policy and a pure endowment, whose final value depends on the trend of a stock market where the premia the policyholder pays are invested. To allow for mutual dependence between the financial and the insurance markets, we use the progressive enlargement of filtration approach. We assume that the stock price process dynamics depends on an exogenous unobservable stochastic factor that also influences the mortality rate of the policyholder. We characterize the optimal hedging strategy in terms of the integrand in the Galtchouk–Kunita–Watanabe decomposition of the insurance claim with respect to the minimal martingale measure and the available information flow. We provide an explicit formula by means of predictable projection of the corresponding hedging strategy under full information with respect to the natural filtration of the risky asset price and the minimal martingale measure. Finally, we discuss applications in a Markovian setting via filtering.     

Optimal investment strategies for participating contracts

Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer that offers participating contracts and has an S-shaped utility function. Applying the martingale approach, closed-form solutions are obtained. The resulting optimal strategies are compared with portfolio insurance hedging strategies (CPPI and OBPI). We also study numerical solutions of the portfolio selection problem with constraints on the portfolio weights.     

不确定需求与产出供应链回购契约决策

针对市场需求的不确定性和供应商产出产品合格率的不确定性,提出供应商产出量小于销售商订购量时需再生产满足销售商的订购,以及供应商生产过量和回购的产品通过折扣市场出售,建立以供应链期望利润为目标函数,以回购单价为决策变量的供应链回购契约决策模型.通过模型的分析,证明了模型存在最优的期望利润,给出了最优回购单价满足的方程;同时,也证明了最优订购量,最优生产量和销售商最优期望利润是回购单价的增函数.最后,通过算例验证了模型的有效性.     

数量折扣契约下基于成本分担的供应链突发事件协调应对

突发事件会增加供应链成本,如何进行成本分担是决定供应链能否协调应对突发事件的重要因素.用参数分别描述市场需求剧增时增加的生产成本和市场需求剧减时发生的多余产品处理成本,在数量折扣契约基础上,研究突发事件发生后制造商的最优批发价格和零售商的最优订货量,分析其影响因素比较突发事件发生前后包括市场剧增与市场剧减两种情况下的差异,并给出了数值算例.结果表明,成本分担系数和市场需求分布及其变化都会影响最优批发价格和最优订货量,只要根据市场需求变化相应调整契约参数并合理分担由突发事件增加的成本,通过数量折扣契约供应链就能够协调应对突发事件.     

Contract type and decision right of sales promotion in supply chain management with a capital constrained retailer

From the practices of Chinese consumer electronics market, we find there are two key issues in supply chain management: The first issue is the contract type of either wholesale price contracts or consignment contracts with revenue sharing, and the second issue is the decision right of sales promotion (such as advertising, on-site shopping assistance, rebates, and post-sales service) owned by either manufacturers or retailers. We model a supply chain with one manufacturer and one retailer who has limited capital and faces deterministic demand depending on retail price and sales promotion. The two issues interact with each other. We show that only the combination (called as chain business mode) of a consignment contract with the manufacturer’s right of sales promotion or a wholesale price contract with the retailer’s right of sales promotion is better for both members. Moreover, the latter chain business mode is realized only when the retailer has more power in the chain and has enough capital, otherwise the former one is realized. But which one is preferred by customers? We find that the former is preferred by customers who mainly enjoy low price, while the latter is preferred by those who enjoy high sales promotion level.     

Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach

The calculation of Net Asset Values and Solvency Capital Requirements in a Solvency 2 context–and the derivation of sensitivity analyses with respect to the main financial and actuarial risk drivers–is a complex procedure at the level of a real company, where it is illusory to be able to rely on closed-form formulas. The most general approach to performing these computations is that of nested simulations. However, this method is also hardly realistic because of its huge computation resources demand. The least-squares Monte Carlo method has recently been suggested as a way to overcome these difficulties. The present paper confirms that using this method is indeed relevant for Solvency 2 computations at the level of a company.     

An optimal co-reinsurance strategy

This article considers a co-reinsurance strategy that (1) protects insurance companies against catastrophic risks; (2) enables insurers to gather sufficient information about the different risk attitudes of reinsurers and diversify their reinsured risks; (3) enables insurers to create better risk-sharing profiles by balancing the risk tolerances of reinsurers; (4) has the benefit of allowing reinsurers to accumulate experience with risks with which they are unfamiliar; (5) reduces the overall direct cost of a reinsurance contract; (6) allows a government to back some insurance products, such as the terrorism insurance programs that were established in many countries after the September 11th terrorist attacks; and (7) reflects the practical reinsurance industry of some countries, such as Iran. Such a co-reinsurance strategy can be fully determined by estimating its parameters whenever three optimal criteria are satisfied and prior information about the unknown parameters is available. Two simulation-based studies have been conducted to demonstrate (1) the practical applications of our findings and (2) the possible impact of any type of dependency between the co-reinsurance’s parameters and the evaluated optimal co-reinsurance strategy.     

第三方负责回收的Dowrside-Risk闭环供应链协调性研究

以风险中性制造商、第三方物流服务商和具有下行风险特性的销售商组成的闭环供应链系统为背景,证明了在Downside-Risk约束下收益费用共享契约不能使闭环供应链协调.通过将补偿策略附加到该契约,设计了风险共享契约,既能满足下行风险约束,又保证供应链参与方利润均有增量,实现了Downside-Risk约束下闭环供应链的协调.最后通过应用算例说明了风险共享契约的有效性和可行性.