ͨ������Ӱ���»������΢�ֲ��ĵ������ٱ��պ�Ͷ��

??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.     

�ع�ϵ���ļ�Ȩ��Ϲ�������С���˹��Ƶ����Ч��

本文研究随机约束下线性回归模型中, 回归系数的加权混合估计与最小二乘估计的相对效率, 并且给出了相对效率的上下界限. 最后我们给出了一个例子来验证我们的理论结果.     

�̶�ЧӦ������ݲ�������ģ�͵ļ�Ȩ����LSDV����

This paper concerns with the estimation of a fixed effects panel data partially linear regression model with the idiosyncratic errors being an autoregressive process. For fixed effects short time series panel data, the commonly used autoregressive error structure fitting method will not result in a consistent estimator of the autoregressive coefficients. Here we propose an alternative estimation and show that the resulting estimator of the autoregressive coefficients is consistent and this method is workable for any order autoregressive error structure. Moreover, combining the B-spline approximation, profile least squares dummy variable (PLSDV) technique and consistently estimated the autoregressive error structure, we develop a weighted PLSDV estimator for the parametric component and a weighted B-spline series (BS) estimator for the nonparametric component. The weighted PLSDV estimator is shown to be asymptotically normal and more asymptotically efficient than the one which ignores the error autoregressive structure. In addition, this paper derives the asymptotic bias of the weighted BS estimator and establish its asymptotic normality as well. Simulation studies and an example of application are conducted to illustrate the finite sample performance of the proposed procedures.     

随机利率下DC型养老金的随机微分博弈

本文研究了Vasicek随机利率下DC型养老金的随机微分博弈.金融市场是博弈的"虚拟"手,博弈中养老金计划投资者占主导.研究目标是:通过养老金计划投资者和金融市场之间的博弈,寻找最优的策略使得终止时刻财富的期望效用达到最大.在幂效用函数下,运用随机控制理论求得了最优策略和值函数的显式解.最后,解释了所研究的结果在经济上的意义,并通过数值计算分析了一些参数对最优策略的影响.     

���������ع�ģ���з�������ľ�ȷ����

本文利用广义p-值和广义置信区间的概念构造 含有三个随机效应的套误差分量模型中方差分量的几种新的精确检验和置信区间, 并讨论它们在尺度变换下的不变性. 模拟结果表明, 基于广义p-值的检验很好地控制了犯第一类错误的概率.     

����Ӧ�ķ���Hotelling's T^2����

??Comparisons between two samples with multiple endpoints are often encountered in many real applications and Hotelling's T^2 test (HT) may suffer from loss of efficiency when multivariate normality assumption is violated. To overcome this issue, we propose a group Hotelling's T^2 test (GHT) where HT is conducted within each group after inverse normal transformation and then use the maximum value among combined statistics based on $p$-values at the group-level. Extensive simulations show that GHT is more robust than HT and some other existing procedures. Finally, the applications to plasma-renin activity in serum study and the ageing human brain further demonstrate the performance of GHT.     

�������Ի��ЧӦģ�͵���Ч����

In this paper an efficient estimation methodology for the partially linear models with random effects is proposed. For this, we use the generalized least square estimate (GLSE) and the B-splines methods to estimate the unknowns, and employ the penalized least square method to obtain the estimators of the random effects item. Further, we also consider the estimation for the variance components. Compared with the existing methods, our proposed methodology performs well. The asymptotic properties of the estimators are obtained. A simulation study is carried out to assess the performance of our proposed methodology.     

���嵥ָ����ģ�͵����ЧӦ�����Լ���

在广义参数和非参数模型中, 虽然不存在异方差检验问题, 但是方差成分的检验问题仍是研究者们关心的对象. 本文利用P-样条的方法, 研究了广义单指标混合模型的方差成分检验问题. 得到了检验广义单指标混合模型是否存在由随机效应引起的偏大离差问题的Score检验统计量, 最后给出计算机模拟的例子, 证实了文中所提出方法的可行性和有效性, 推广和发展了先前的研究工作     

一类特殊DC规划的对偶性

根据共轭函数和DC规划的性质，给出一类特殊DC规划的共轭对偶并讨论其对偶规划的特殊性质，然后利用该性质，把对这类特殊DC规划的求解转化为对一个凸规划的求解。     

一类DC规划问题的分支定界算法

本文针对一类带有箱子和线性不等式约束的特殊DC规划问题,提出了一种分支定界算法.首先将原问题转化为其等价问题,然后利用目标函数的特点将等价问题松弛为凸规划问题,通过求解一系列凸规划问题得到原问题的最优解,最后给出算法的收敛性证明.数值实验表明该算法是可行有效的.     

均值-方差准则下具有负债的随机微分博弈

研究了均值-方差准则下,具有负债的随机微分博弈.研究目标是:在终值财富的均值等于k的限制下,在市场出现最坏的情况下找到最优的投资策略使终值财富的方差最小.即:基于均值-方差随机微分博弈的投资组合选择问题.使用线性-二次控制的理论解决了该问题,获得了最优的投资策略、最优市场策略和有效边界的显示解.并通过对所得结果进行进一步分析,在经济上给出了进一步的解释.通过本文的研究,可以指导金融公司在面临负债和金融市场情况恶劣时,选择恰当的投资策略使自身获得一定的财富而面临的风险最小.     

随机环境下具有最低担保约束的DC养老金鲁棒投资策略

针对近年来养老金管理遇到的问题,基于模型不确定性,考虑随机环境和退休保障限制的DC型养老金最优投资策略具有重要意义.以养老金的最终价值相对于退休后年金担保的不变相对风险厌恶期望效用最大化为目标,利用随机动态规划的方法,求出鲁棒最优投资策略及相应的价值函数.最后,通过数值分析,得到各参数对最优投资策略的影响.     

基于再保险和投资的随机微分博弈

本文研究了具有再保险和投资的随机微分博弈.应用线性-二次控制的理论,在指数效用和幂效用下,求得了最优再保险策略、最优投资策略、最优市场策略和值函数的显示解,推广了文[8]的结果.通过本文的研究,当市场出现最坏的情况时,可以指导保险公司选择恰当的再保险和投资策略使自身所获得的财富最大化.     

随机利率下期权定价的探讨

利用Ho-Lee和Vasicek模型的简化形式推导出了Black-Scholes假设下的随机利率欧式期权定价公式,对无风险利率是常数的期权定价模型进行扩展,并与一般情况进行了分析与比较。     

Vasicek利率模型下具有随机障碍的动态保障年金的定价

带有动态保障的投资连接基金在整个投资期间提供了一些安全保障.文章考虑了随机利率环境下,具有随机障碍水平的动态保障年金的价格.当障碍水平设为某个零息债券的函数时,可以给出具有动态保障年金的价格.     

随机利率下可分离交易可转换债券的鞅定价

从定量的角度分析了可分离式可转换债券的价值构成,并在服从Vasicek利率模型的随机利率下,利用Martingle Pricing方法推导出其定价公式.     

CIR框架下的投资组合效用微分博弈(英文)

建立了Cox-Ingersoll-Ross随机利率下的关于两个投资者的投资组合效用微分博弈模型.市场利率具有CIR动力,博弈双方存在唯一的损益函数,损益函数取决于投资者的投资组合财富.一方选择动态投资组合策略以最大化损益函数,而另一方则最小化损益函数.运用随机控制理论,在一般的效用函数下得到了基于效用的博弈双方的最优策略.特别考虑了常数相对风险厌恶情形,获得了显示的最优投资组合策略和博弈值.最后给出了数值例子和仿真结果以说明本文的结论.     

CIR框架下的投资组合效用微分博弈

建立了Cox-Ingersoll—Ross随机利率下的关于两个投资者的投资组合效用微分博弈模型．市场利率具有CIR动力,博弈双方存在唯一的损益函数,损益函数取决于投资者的投资组合财富．一方选择动态投资组合策略以最大化损益函数,而另一方则最小化损益函数．运用随机控制理论,在一般的效用函数下得到了基于效用的博弈双方的最优策略．特别考虑了常数相对风险厌恶情形,获得了显示的最优投资组合策略和博弈值．最后给出了数值例子和仿真结果以说明本文的结论．