复合Poisson模型中“双界限”分红问题

引入了复合Poisson模型中的"双界限"分红模型,在这种模型中,当盈余超过上限时分红以不超过保费率的速率付出,低于下限后保费率增大.文中利用Gerber- Shiu函数来分析这种模型,先导出了Gerber-Shiu函数m_1,m_2,m_3满足的积分-微分方程,再给出m_1,m_2,m_3的解析表示,最后通过几步把Gerber-Shiu函数m(u;b_1,b)的解析式表示出来.     

Contrarian investment strategy with data envelopment analysis concept

One of the typical issues in financial literature is that the market tends to be overly pessimistic about value stocks, many of which are past losers. Therefore, over-reactions might capture by measuring earnings surprise vary with past return levels. In this paper, we propose a new index for an effective investment strategy to capture the return-reversal effect using both Data Envelopment Analysis (DEA) and Inverted DEA in order to consider the above characteristics of the market. Our investment strategy using the new index exhibits better performance than the naive return-reversal strategy that only uses past returns or earnings surprise. In addition, the correlations between our new index and commonly used value indices are insignificant, and the value indices cannot represent the over-valued (under-valued) situations perfectly. Hence, considering both proposed and value indices like book-to-price one, we could select value stocks more effectively than by using only one of these indices.     

Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

In this paper, the basic claim process is assumed to follow a Brownian motion with drift. In addition, the insurer is allowed to invest in a risk-free asset and n risky assets and to purchase proportional reinsurance. Under the constraint of no-shorting, we consider two optimization problems: the problem of maximizing the expected exponential utility of terminal wealth and the problem of minimizing the probability of ruin. By solving the corresponding Hamilton–Jacobi–Bellman equations, explicit expressions for their optimal value functions and the corresponding optimal strategies are obtained. In particular, when there is no risk-free interest rate, the results indicate that the optimal strategies, under maximizing the expected exponential utility and minimizing the probability of ruin, are equivalent for some special parameter. This validates Ferguson’s longstanding conjecture about the relation between the two problems.     

An optimal insurance strategy for an individual under an intertemporal equilibrium

In this paper, we discuss how a risk-averse individual under an intertemporal equilibrium chooses his/her optimal insurance strategy to maximize his/her expected utility of terminal wealth. It is shown that the individual’s optimal insurance strategy actually is equivalent to buying a put option, which is written on his/her holding asset with a proper strike price. Since the cost of avoiding risk can be seen as a risk measure, the put option premium can be considered as a reasonable risk measure. Jarrow [Jarrow, R., 2002. Put option premiums and coherent risk measures. Math. Finance 12, 135-142] drew this conclusion with an axiomatic approach, and we verify it by solving the individual’s optimal insurance problem.     

An algorithm of evolutionarily stable strategies for the single-population evolutionary game

In this paper, we study the single-population evolutionary game and construct an algorithm to find evolutionarily stable strategies. Finally, by an example, we illuminate the computing process of algorithm.     

Detecting and Analyzing Politically-Themed Stocks Using Text Mining Techniques and Transfer Entropy—Focus on the Republic of Korea’s Case

Politically-themed stocks mainly refer to stocks that benefit from the policies of politicians. This study gave the empirical analysis of the politically-themed stocks in the Republic of Korea and constructed politically-themed stock networks based on the Republic of Korea’s politically-themed stocks, derived mainly from politicians. To select politically-themed stocks, we calculated the daily politician sentiment index (PSI), which means politicians’ daily reputation using politicians’ search volume data and sentiment analysis results from politician-related text data. Additionally, we selected politically-themed stock candidates from politician-related search volume data. To measure causal relationships, we adopted entropy-based measures. We determined politically-themed stocks based on causal relationships from the rates of change of the PSI to their abnormal returns. To illustrate causal relationships between politically-themed stocks, we constructed politically-themed stock networks based on causal relationships using entropy-based approaches. Moreover, we experimented using politically-themed stocks in real-world situations from the schematized networks, focusing on politically-themed stock networks’ dynamic changes. We verified that the investment strategy using the PSI and politically-themed stocks that we selected could benchmark the main stock market indices such as the KOSPI and KOSDAQ around political events.     

Novel Approach to Two-Component Analysis Based on the Generalized Calibration Strategy

The generalized calibration strategy (GCS), developed and previously applied to chemical analysis, has been adapted to two-component (2C) analysis. According to the 2C-GCS procedure, a set of 10 calibration solutions containing a sample and standards of two analytes in well-defined composition was diluted. The measurements performed at a given dilution stage allow the concentration of both analytes in a sample to be evaluated with six apparent concentrations calculated with various mathematical approaches. As a result, the method allows the detection, examination, and elimination of nonlinear and interference effects with multiplicative and additive characteristics. To perform 2C-GCS automatically and effectively, a dedicated flow sequential injection system was designed to be fully controlled by a computer. Caffeine and paracetamol were determined in synthetic and pharmaceutical samples using this calibration approach. The analytes were determined with good precision and accuracy with low consumption of sample and standard solutions. On the basis of this experimental model, the influence of effects and tendencies in the examined analytical system was detected and evaluated.     

[4 1]及[3 2]会聚式四氢呋喃环合成策略在天然产物全合成中的应用进展

四氢呋喃环广泛存在于具有生物活性的天然产物结构当中,立体选择性地构筑四氢呋喃环往往成为这些天然产物全合成研究中的关键。本文归纳了已有全合成报道中的四氢呋喃环成环策略,以实例展示了其中的会聚式合成策略在近年的发展。相比于直线型的分子内关环策略,以[4+1]、[3+2]为代表的会聚式四氢呋喃关环策略往往能够使全合成的整体路线更加简洁高效,更符合全合成研究领域的发展趋势。     

基于TSP问题的一种改进遗传算法

针对传统遗传算法(GA)在解决旅行商问题(TSP)时存在的不足,对初始种群的选取方式和算子的选取进行了改进,设计出了一种能够较好的求解出TSP问题的最优解的算法.计算机仿真实验验证了该算法的有效性.     

基于社团结构的负载传输优化策略研究

研究表明网络社团结构特征对负载传输有影响,明显社团结构特征会降低网络的承载能力.由于最短路由策略在选择路由时有一定的随机性,本文提出了一种基于社团结构的负载传输策略,减少最短路由经过的社团数量,从而降低社团边缘节点的介数.实验结果显示,该策略在保证最短路由小世界特性的同时,提升了网络的承载能力,社团划分得越准确传输优化策略效果越显著. 关键词： 优化路由策略 社团结构 复杂网络 负载传输