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The relationship between futures and spot is still
an important issue in academic communities and supervisory departments. In
this paper, the Granger Causality Test is extended into quantile regression
and then the relationship between futures and spot is investigated at
different quantile positions. Note that under the model with differential
data, different quantile positions are related to the corresponding financial
environments. Consequently, a market-dependent casuality between futures and
spot is established, by which we can study the relationship more deeply and
comprehensively. The main points of view obtained in this paper are what
follows: 1. The relationship between futures and spot is strongly related
to the financial environments, besides the features of futures and spot;
2. Under the normal and stable financial markets, there is casuality one
another, but the relationship will be abnormal under extremal financial
conditions, the common relationship between futures and spot is masked by
other financial factors; 3. If the casuality was seen as a normal fact
logically, then the abnormal relationship should indicate a bad or extremal
financial environment, which provides supervisory departments with a warning
signal. 相似文献
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设备的平均寿命是可靠性研究中的的一个重要指标.对威布尔分布来说, 由于平均寿命没有明显的枢轴量,因此给出平均寿命的精确的置信限较为困难.本文分别利用广义枢轴量、WCF展开以及三阶法三种方法,得到了设备寿命服从威布尔分布时的平均寿命的(近似)置信下限.最后对上述三种方法分别进行了模拟比较,结果显示文中给出的方法对于中小样本情形下得到的平均寿命的置信限是比较精确的. 相似文献
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??This paper investigates the test of significance for the binary
choice model with stochastic trend process. The results show that when the true parameter
vector is zero, the limiting distribution of the t statistic follows standard normal
distribution. The joint significance test statistics Wald, LM and LR are asymptotically
equivalent and have a Chi-square limiting distribution. 相似文献
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??In this paper we consider a class of fractional stochastic partial differential equation driven by fractional noise. We prove that the solution admits a smooth density at any fixed point (t,x)in[0,T]timesmathbb{R} with T>0 by using the techniques of Malliavin calculus. 相似文献
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This paper investigates the pricing of CatEPuts under
a Markovian regime-switching jump-diffusion model. The parameters of this model,
including the risk-free interest rate, the appreciation rate and the volatility
of the clients' equity, are modulated by a continuous-time, finite-state, observable
Markov chain. An equivalent martingale measure is selected by employing the
regime-switching Esscher transform. The fast Fourier transform (FFT) technique
is applied to price the CatEPuts. In a two-state Markov chain case, numerical
example is presented to illustrate the practical implementation of the model. 相似文献
8.
A Markov observation model with dividend is defined and the interpretation of the practical significance is given. We try to use an irreducible and homogeneous discrete-time Markov chain to modulate the inter-observation times and embed a dividend strategy. In the Markov observation model with dividend, a system of liner equations for the expected discounted value of dividends until ruin time is derived. Moreover, an explicit expression is obtained and proved. Finally, some interesting properties are illustrated by numerical analysis and by comparing with the complete compound binomial model with dividend. 相似文献
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??In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent. 相似文献
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This paper considers a dividend strategy with investment in
Omega model. If at a potential dividend-payment time the surplus is above, part
of the excess are paid as dividends directly, the other part are used as dynamic
investment capital, at a particular time, the sum of profits and investment capital
will be paid as another dividend. Under this dividend policy, we get the optimal
dividend strategy and the optimal portfolio policy. 相似文献
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??Under inflation influence, this paper investigate a stochastic
differential game with reinsurance and investment. Insurance company chose a strategy
to minimizing the variance of the final wealth, and the financial markets as a game
``virtual hand' chosen a probability measure represents the economic ``environment'
to maximize the variance of the final wealth. Through this double game between the
insurance companies and the financial markets, get optimal portfolio strategies. When
investing, we consider inflation, the method of dealing with inflation is: Firstly,
the inflation is converted to the risky assets, and then constructs the wealth process.
Through change the original based on the mean-variance criteria stochastic differential
game into unrestricted cases, then application linear-quadratic control theory obtain
optimal reinsurance strategy and investment strategy and optimal market strategy as well
as the closed form expression of efficient frontier are obtained; finally get reinsurance
strategy and optimal investment strategy and optimal market strategy as well as the
closed form expression of efficient frontier for the original stochastic differential game. 相似文献
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本文对跳-扩散风险模型,在赔付进行比例再保险,以及盈余投资于无风险资产和风险资产的条件下,研究使得最终财富的指数期望效用最大的最优投资和比例再保险策略.得到最优投资策略和最优再保险策略,以及最大指数期望效用函数的显式表达式,发现最优策略和值函数都受到无风险利率的影响.最后通过数值计算,得到最优投资和比例再保险策略,以及值函数与模型各个参数之间的关系. 相似文献
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本文对索赔次数为复合Poisson-Geometric过程的风险模型,在保险公司的盈余可以投资于风险资产,以及索赔购买比例再保险的策略下,研究使得破产概率最小的最优投资和再保险策略.通过求解相应的Hamilton-Jacobi-Bellman方程,得到使得破产概率最小的最优投资和比例再保险策略,以及最小破产概率的显示表达式. 相似文献
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??Motivated by[1] and [2], we study in this
paper the optimal (from the insurer's point of view) reinsurance problem when
risk is measured by a general risk measure, namely the GlueVaR distortion risk
measures which is firstly proposed by [3].Suppose an insurer is exposed
to the risk and decides to buy a reinsurance contract written on the total
claim amounts basis, i.e. the reinsurer covers and the cedent covers
. In addition, the insurer is obligated to compensate the reinsurer
for undertaking the risk by paying the reinsurance premium,
( is the safety loading), under the expectation premium principle. Based
on a technique used in [2], this paper derives the optimal ceded loss
functions in a class of increasing convex ceded loss functions. It turns out
that the optimal ceded loss function is of stop-loss type. 相似文献
16.
该文研究了保险公司的最优投资和比例再保险问题,其中假定保险公司的盈余过程为一个带扩散扰动的经典风险过程.假定再保险的保费按照指数保费原理来计算,这使得所研究的随机控制问题成为非线性的.该文同时考虑了最大化终端财富指数效用和最大化调节系数两类问题,并给出了最优值函数和相应的最优策略的解析表达.此外,该文还分析了再保险公司的风险厌恶和保险公司的不确定性参数对最优策略的影响. 相似文献
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目前,各个国家面临着不同程度的通贷膨胀.在此情况下,如何规避通货膨胀所带来的财富稀释是现阶段所有投资人追求的目标.本文从投资产品的价格出发给出了两阶段均值-方差投资问题的最优解.分析了交易费用、风险资产的期望回报率以及波动率对投资策略的影响.最后,我们依据实际算例分析为投资者提供指导,并且给出了政策建议. 相似文献
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Based on the default risk effect of reinsurance company for reinsurer, this paper studies the optimal reinsurance strategy by VaR optimality criterion. In a reinsurance contract, reinsurance company will charge the number of premium to undertake part of the insurer's loss. However, if the reinsurance company's commitment exceeds its solvency, the default risk will occur. In order to avoid the default risk and minimize the total risk of the insurance company, the paper introduces Wang's premium principle to obtain the optimal reinsurance policy under VaR risk measure. Some numerical examples are given to illustrate these results. 相似文献
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Optimal Proportional Reinsurance for Controlled Risk Process which is Perturbed by Diffusion 总被引:4,自引:0,他引:4
Zhi-bin Liang 《应用数学学报(英文版)》2007,23(3):477-488
In this paper, we study optimal proportional reinsurance policy of an insurer with a risk process which is perturbed by a diffusion. We derive closed-form expressions for the policy and the value function, which are optimal in the sense of maximizing the expected utility in the jump-diffusion framework. We also obtain explicit expressions for the policy and the value function, which are optimal in the sense of maximizing the expected utility or maximizing the survival probability in the diffusion approximation case. Some numerical examples are presented, which show the impact of model parameters on the policy. We also compare the results under the different criteria and different cases. 相似文献
20.
This paper studies the optimal asset allocation and reinsurance problem under mean-variance-CVaR criteria for an insurer in continuous-time. We obtain the closed-form solution of optimization problem by using martingale method. Numerical results show the trends of optimal wealth, investment and reinsurance strategies with various parameter values. 相似文献