Optimal Cross Hedging of Insurance Derivatives

Abstract

We consider insurance derivatives depending on an external physical risk process, for example, a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal strategies for exponential utility from terminal wealth, determine the indifference prices of the derivatives, and interpret them in terms of diversification pressure. Moreover, we check the optimal investment strategies for standard admissibility criteria. Finally, we compare the static risk connected with an insurance derivative to the reduced risk due to a dynamic investment into the correlated asset. We show that dynamic hedging reduces the risk aversion in terms of entropic risk measures by a factor related to the correlation.     

Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes

Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. In this paper, we show that a threshold strategy （also called refraction strategy） forms an optimal strategy under the condition that the Levy measure has a completely monotone density.     

Ornstein-Uhlenbeck模型下DC养老金计划的最优投资策略

本文研究了Ornstein-Uhlenbeck模型下确定缴费型养老金计划(简称DC计划)的最优投资策略,其中以最大化DC计划参与者终端财富(退休时其账户金额)的CRRA效用为目标.假定投资者可投资于无风险资产和一种风险资产,风险资产的瞬时收益率由Ornstein-Uhlenbeck过程驱动,该过程能反映市场所处的状态.利用随机控制理论,给出了相应的HJB方程与验证定理;并通过求解相应的HJB方程,得到了最优投资策略和最优值函数的解析式.最后分析了瞬时收益率对最优投资策略的影响,发现当市场向良性状态发展时,投资在风险资产上的财富比例呈上升趋势;当初始财富足够大且市场状态不变时,投资在风险资产上的财富比例几乎不受时间的影响.     

Optimisation of a key cross-coupling reaction towards the synthesis of a promising antileishmanial compound

During the course of a research program aimed at identifying novel antileishmanial compounds, a multi-gram synthesis of N-(trans-4-((4-methoxy-3-((R)-3-methylmorpholino)-1H-pyrazolo[3,4-d]pyrimidin-6-yl)amino)cyclohexyl)-2-methylpropane-1-sulfonamide ((R)-1) was required. This letter describes optimisation of the reaction conditions and protecting group strategy for a key Buchwald-Hartwig coupling, delivering the required quantities of (R)-1, as well as further compounds in the series.     

多糖化学合成研究进展

多糖是一类结构复杂的生物大分子,广泛分布于微生物、植物、动物等生物体中,参与众多重要的生命过程.然而,多糖研究一直受限于难以获得足量结构均一的多糖物质,这使得多糖的结构和功能研究及其相关的应用研究进展缓慢.近几十年来,随着糖合成技术的进步,糖的化学合成效率不断提高,人们开始关注复杂多糖的化学合成,并取得了一些进展.本文主要对多糖化学合成所涉及的糖基化方法、糖组装策略和代表性的合成工作进行综述,并对研究前景进行展望.     

我国高中“化学平衡”主题教学研究现状——基于2005-2015年国内硕士学位论文的分析

“化学平衡”主题是高中化学教学的重点和难点。以2005-2015年国内39篇硕士学位论文为研究对象,梳理、统计、分析了我国高中“化学平衡”主题的教学研究现状。研究结果表明,主要包括4个方面：化学平衡相关的迷思概念,化学平衡主题学习困难的原因,教学策略和教学建议。研究方法和研究取向呈现多元化趋势。     

Routing strategies in traffic network and phase transition in network traffic flow

The dynamics of information traffic over scale-free networks has been investigated systematically. A series of routing strategies of data packets have been proposed, including the local routing strategy, the next-nearest-neighbour routing strategy, and the mixed routing strategy based on local static and dynamic information. The capacity of the network can be quantified by the phase transition from free flow state to congestion state. The optimal parameter values of each model leading to the highest efficiency of scale-free networked traffic systems have been found. Moreover, we have found hysteretic loop in networked traffic systems with finite packets delivering ability. Such hysteretic loop indicates the existence of the bi-stable state in the traffic dynamics over scale-free networks.      

含重叠路段交通系统中信息反馈策略的比较研究

智能交通系统可以实时反馈路况信息、诱导出行,进而缓解交通拥堵.在时间反馈和平均速度反馈两种信息服务策略下,考虑重叠路段的影响,利用元胞自动机模型对人们的路径选择行为进行了模拟.结果表明,在含有重叠路段的网络中,相对时间反馈策略而言,平均速度反馈策略可以更有效地降低人们的出行时间,其优势在重叠部分长度占路径长度的比例很小和较大时十分明显,且随路径长度的增加而上升.在提高路网的利用效率方面,平均速度反馈策略的优势随路径长度的增加而逐渐下降,随重叠部分长度的增加而先降后升. 关键词： 交通流 元胞自动机 智能交通系统 信息反馈策略     

Accurate,sensitive determination of omega-6 and omega-3 polyunsaturated fatty acids in human plasma,urine samples

Quantitative determination of omega-6 and omega-3 polyunsaturated fatty acids in human plasma and urine with high accuracy and precision provides significant information to monitor the underlying etiology of several diseases. In this regard, liquid chromatography-mass spectrometry is a good choice owing to its great selectivity and sensitivity. Additionally, the hybrid quadrupole–time of flight–mass spectrometer systems provides easy identification of target compounds with superior mass measurements. In this study, an analytical method has been developed for simple, accurate and simultaneous determination of linoleic acid, arachidonic acid, docosahexaenoic acid and eicosapentaenoic acid in a short chromatographic analysis period. The developed method is suitable for the quantitative detection of these four compounds with detection limits ranging between 1.1–3.0 ng ml⁻¹ and its applicability was assessed in human urine and plasma samples. As a result, acceptable accuracy (between 83 and 111%) and good precision (<6%) were obtained for target compounds using matrix matching calibration strategy.