Optimal ordering and pricing strategies in the presence of a B2B spot market

In the current paper, we examine the effect of a B2B spot market on the strategic behavior and the performance of a reseller who continues to use the traditional channel while participating in a B2B spot market. We analyze the case in which a risk-neutral reseller faces an additive or multiplicative demand function and identify sufficient conditions under which the optimal order quantity and retail price exist and are unique. We then analytically examine the case in which a risk-averse reseller participates in a fully liquid spot market. We also study numerically how varying liquidity, spot price volatility, demand variability, and correlation coefficient affect a firm’s strategies and performance. We find that demand variability significantly affects both pricing and ordering strategies, whereas the spot price volatility has less influence on pricing decisions. Our results also show that for a risk-averse reseller to charge a lower retail price when the spot market liquidity increases is desirable. We further show that a B2B spot market cannot always improve a reseller’s utility. These findings shed light on how resellers can adjust their procurement and pricing strategies to align with the new business environment created by the emergence of B2B spot markets, as well as have obvious implications for the development of a B2B spot market.     

Crisis and risk dependencies

The knowledge of the multivariate stochastic dependence between the returns of asset classes is of importance for many finance applications, such as asset allocation or risk management. By means of goodness-of-fit tests, we analyze for a multitude of portfolios consisting of different asset classes whether the stochastic dependence between the portfolios’ constituents can be adequately described by multivariate versions of some standard parametric copula functions. Furthermore, we test whether the stochastic dependence between the returns of different asset classes has changed during the recent financial crisis. The main findings are: First, whether a specific copula assumption can be rejected or not, crucially depends on the asset class and the time period considered. Second, different goodness-of-fit tests for copulas can yield very different results and these differences can vary for different asset classes and for different tested copulas. Third, even when using various goodness-of-fit tests for copulas, it is not always possible to differentiate between various copula assumptions. Fourth, during the financial crisis, copula assumptions are more frequently rejected. However, the results also raise some concerns over the suitability of goodness-of-fit tests for copulas as a diagnostic tool for identifying stressed risk dependencies.     

Optimal asset allocation aid system: From “one-size” vs “tailor-made” performance ratio

Optimal asset allocation well-fitting investors’ goals is a pressing challenge in risk management. Making a step forward to the Sharpe ratio, the parameter-dependent Sortino–Satchell, Generalized Rachev and Farinelli–Tibiletti performance ratios are suggested for personalizing asset allocation. Tailor-made optimal asset paths for five different investor risk profiles are traced over a rolling 12 month investing horizon. Our simulations show a satisfactorily good match between asset allocation and correspondent risk profile. Specifically, Generalized Rachev ratios outperform in personalized allocation for “extreme” risk profiles, i.e. conservative and aggressive investors, whereas Sortino–Satchell and Farinelli–Tibiletti ratios for those that are more moderate. Sharpe ratio confirms its ability in constructing steady-diversified portfolios, although underperformed.     

Risk sharing and information revelation mechanism of a one-manufacturer and one-retailer supply chain facing an integrated competitor

This paper develops an information revelation mechanism model of a one-manufacturer and one-retailer supply chain facing an outside integrated-competitor under demand uncertainty. We investigate how the manufacturer designs a wholesale price-order quantity contract to induce the retailer to report his risk sensitivity information truthfully. We try to explore the effects of the outside competitor and the risk-sharing rule on the optimal price-service level decisions of the retailer and the optimal wholesale prices of the manufacturer. We find that the strategic interaction plays an important role in the effect of risk sensitivity on the order quantity for the retailer. When the fraction of the risk cost shared by the manufacturer is sufficiently large (small), the optimal wholesale price for the high risk-averse retailer is higher (lower) than that for the low risk-averse retailer.     

Securitization of motor insurance loss rate risks

In an attempt to transfer the loss rate risks in motor insurance to the capital market, we use the tranche technique to hedge the motor insurance risks. This paper illustrates AXA and their securitization of French motor insurance in 2005 as an example. Though this application is new, this transaction is based on a concept similar to CDOs. Tranches of bonds are constructed on the basis of the expected loss ratio from motor insurance policy holders’ groups. As a consequence we develop motor loss rate bonds using the structure of synthetic CDOs. The coupon payments of each tranche depend on the level of the loss rates of the underlying motor insurance pool. We show the integral formulas for the loss tranche contract where the loss distribution is modelled with discounted compound Poisson process. Esscher transform is chosen for a risk adjusted measure change and Fourier inversion method is used to calculate the price of the motor claim rate securities. The pricing methods of the tranches are illustrated, and possible suggestions to improve the pricing method and the design of these new securities follow.     

随机利息力下的期末付倒平顶虹式年金

对于年金的定价问题的研究,传统精算理论假定利率是恒定不变的．但事实上,由于受到多种因素的影响,利率往往具有不确定性．因此,本文采用可逆MA（1）模型来刻画利率期限机构,在此基础上,研究了期末付倒平顶虹式年金的各阶矩问题,推导出了其年金现值的期望和方差的简洁公式．通过数值模拟分析了此年金面临的利率风险,其结论对年金定价有一定的参考价值．     

Spatio-temporal dynamics of security investments in an interdependent risk environment

In a globalised world where risks spread through contagion, the decision of an entity to invest in securing its premises from stochastic risks no longer depends solely on its own actions but also on the actions of other interacting entities in the system. This phenomenon is commonly seen in many domains including airline, logistics and computer security and is referred to as Interdependent Security (IDS). An IDS game models this decision problem from a game-theoretic perspective and deals with the behavioural dynamics of risk-reduction investments in such settings. This paper enhances this model and investigates the spatio-temporal aspects of the IDS games. The spatio-temporal dynamics are studied using simple replicator dynamics on a variety of network structures and for various security cost tradeoffs that lead to different Nash equilibria in an IDS game. The simulation results show that the neighbourhood configuration has a greater effect on the IDS game dynamics than network structure. An in-depth empirical analysis of game dynamics is carried out on regular graphs, which leads to the articulation of necessary and sufficient conditions for dominance in IDS games under spatial constraints.     

山西省马铃薯主产区土壤重金属含量状况评价与膳食暴露评估

【目的】探明山西马铃薯种植区域土壤重金属污染状况,并对马铃薯进行重金属摄入健康风险评价。【方法】选取山西省境内马铃薯优势产业基地县(区)作为调查研究对象,用电感耦合等离子体质谱仪分析了马铃薯产地土壤及产品中铅、镉、砷、铬、镍、铜、锌等七种重金属元素含量状况,并采用单因子指数法、内梅罗综合指数法和潜在生态危害指数法对土壤中重金属进行生态风险评价,采用目标危险系数法对马铃薯进行重金属摄入健康风险评价。【结果】山西省马铃薯主产区土壤中7种重金属单项污染指数均小于1,综合污染指数小于0.5,潜在生态危害为轻微,土壤环境质量总体属于非污染水平,成人和儿童因食用马铃薯而摄入重金属的健康风险指数均小于1。【结论】山西省马铃薯主产区土壤中重金属污染程度较低,而马铃薯中重金属的残留对人体健康存在隐患,建议制定预防性手段,加强对马铃薯及其他蔬菜等土壤中重金属的跟踪与监测,确保农产品产地环境质量,从而确保农产品质量安全。     

Lessons Learned from the Grouping of Chemicals to Assess Risks to Human Health

In analogy to the periodic system that groups elements by their similarity in structure and chemical properties, the hazard of chemicals can be assessed in groups having similar structures and similar toxicological properties. Here we review case studies of chemical grouping strategies that supported the assessment of hazard, exposure, and risk to human health. By the EU-REACH and the US-TSCA New Chemicals Program, structural similarity is commonly used as the basis for grouping, but that criterion is not always adequate and sufficient. Based on the lessons learned, we derive ten principles for grouping, including: transparency of the purpose, criteria, and boundaries of the group; adequacy of methods used to justify the group; and inclusion or exclusion of substances in the group by toxicological properties. These principles apply to initial grouping to prioritize further actions as well as to definitive grouping to generate data for risk assessment. Both can expedite effective risk management.