基于Copula的债务抵押债券定价

债务抵押债券在美国次债危机中扮演了非常重要的角色,对其正确定价引起学术界的普遍关注。本文利用KMV模型估算出各债务人的违约概率,并用三种Copula函数分别估算出债务人之间的违约相关系数,模拟出各债务人的违约时点,在此基础上对债务抵押债券各系列进行定价,研究结果发现Student-t Copula计算出的公平溢酬大致上高于Gaussion Copula和Clayton Copula,并且CDO 的存续期越长,挽回率越低,各系列投资者要求的公平溢酬就越高。     

我国台湾学科能力测验中自然科学选择题的设置及评价

我国台湾学科能力测验自然科学的题型全部为选择题,通过增加选项数目、增加多项选择题比例、改变多项选择题编排模式、改变计分方式、改变题量与总分关系等可以减少选择题存在的强猜现象、无法考查思维过程及无法顾及学生差异性等不足,改善了选择题的考查评价功能,使考试更加公平科学,可以为我国大陆即将全面铺开的学业水平考试选择题部分的设计提供参考。     

Matching-Updating Mechanism: A Solution for the Stable Marriage Problem with Dynamic Preferences

We studied the stable marriage problem with dynamic preferences. The dynamic preference model allows the agent to change its preferences at any time, which may cause instability in a matching. However, preference changing in SMP instances does not necessarily break all pairs of an existing match. Sometimes, only a few couples want to change their partners, while others choose to stay with their current partners; this motivates us to find stable matching on a new instance by updating an existing match rather than restarting the matching process from scratch. By using the update mechanism, we try to minimize the revision cost when rematching occurs. The challenge when updating a matching is that a cyclic process may exist, and stable matching is never achieved. Our proposed mechanism can update a match and avoid the cyclic process.     

Multiscale Free Energy Analysis of Human Ecosystem Engineering

Unlike ecosystem engineering by other living things, which brings a relatively limited range of sensations that are connected to a few enduring survival preferences, human ecosystem engineering brings an increasing variety and frequency of novel sensations. Many of these novel sensations can quickly become preferences as they indicate that human life will be less strenuous and more stimulating. Furthermore, they can soon become addictive. By contrast, unwanted surprise from these novel sensations may become apparent decades later. This recognition can come after the survival of millions of humans and other species has been undermined. In this paper, it is explained that, while multiscale free energy provides a useful hypothesis for framing human ecosystem engineering, disconnects between preferences and survival from human ecosystem engineering limit the application of current assumptions that underlie continuous state-space and discrete state-space modelling of active inference.     

Dynamic hybrid products in life insurance: Assessing the policyholders’ viewpoint

Dynamic hybrid life insurance products are intended to meet new consumer needs regarding stability in terms of guarantees as well as sufficient upside potential. In contrast to traditional participating or classical unit-linked life insurance products, the guarantee offered to the policyholders is achieved by a periodical rebalancing process between three funds: the policy reserves (i.e. the premium reserve stock, thus causing interaction effects with traditional participating life insurance contracts), a guarantee fund, and an equity fund. In this paper, we consider an insurer offering both, dynamic hybrid and traditional participating life insurance contracts and focus on the policyholders’ perspective. The results show that higher guarantees do not necessarily imply a higher willingness-to-pay, but that in case of dynamic hybrid contracts, a minimum guarantee level should be offered in order to ensure that the willingness-to-pay exceeds the minimum premium the insurer has to charge when selling the contract. In addition, strong interaction effects can be found between the two products, which particularly impact the willingness-to-pay of the dynamic hybrids.     

A characterization of plurality-like rules based on non-manipulability, restricted efficiency, and anonymity

A society needs to decide which issues (laws, public projects, public facilities, etc.) in an agenda to accept. The decision can be any subset of the agenda but must reflect the preferences of its members, which are assumed to be “separable weak orderings”. We characterize a family of plurality-like rules based on strategy-proofness, restricted efficiency, anonymity, and two weak axioms pertaining to the variable agenda feature of our model, called dummy independence and division indifference. We also characterize a wide spectrum of rules dropping anonymity or restricted efficiency.I am indebted to Dolors Berga, William Thomson, an associate editor, and two anonymous referees for their detailed comments and helpful suggestions. All remaining errors are mine.     

Evolutionary Selection of Socially Sensitive Preferences in Random Matching Environments

In this paper we study the evolutionary selection of socially sensitive preferences in the context of reference interaction settings such as coordination failure and cooperation. We refer to a specific class of socially sensitive preferences in which players weigh additively their own material payoff against the opponent with either a positive or negative coefficient (λ-players). Preference evolution is guided by replicator dynamics in a context of perfect observability of preferences types and stochastic pairwise matching. We take an indirect evolutionary approach, that is, the selection mechanism operates on the actual material payoffs earned by players, so that any instance of socially sensitive preference can be thought of as instrumentally maintained. We find that the evolutionary viability of socially sensitive preferences basically depends on whether or not they cause a substantial improvement in the achievement of socially efficient outcomes with respect to the case where only self-serving or unconditionally focused preference orientations are observed. Our results suggest that moderate pro-social preference orientations are likely to emerge from social selection even in the absence of an intrinsic motivational drive, whereas extremely pro-social orientations as well as competitive and anti-social ones may need a stronger motivational base.     

Do investors like to diversify? A study of Markowitz preferences

We study rankings of completely and partially diversified portfolios and also of specialized assets when investors follow so-called Markowitz preferences. It turns out that diversification strategies for Markowitz investors are more complex than in the case of risk-averse and risk-inclined investors, whose investment strategies have been extensively investigated in the literature. In particular, we observe that for Markowitz investors, preferences toward risk vary depending on their sensitivities toward gains and losses. For example, it turns out that, unlike in the case of risk-averse and risk-inclined investors, Markowitz investors might prefer investing their entire wealth in just one asset. This finding helps us to better understand some financial anomalies and puzzles, such as the well known diversification puzzle, which notes that some investors tend to concentrate on investing in only a few assets instead of choosing the seemingly more attractive complete diversification.     

Further results on concordance relations

The purpose of this note is to sharpen the results in an earlier paper [Bouyssou, D., Pirlot, M., 2005. A characterization of concordance relations. European Journal of Operational Research 167 (2), 427–443] giving an axiomatic characterization of concordance relations. We show how the conditions used in this earlier paper can be weakened so as to become independent from the conditions needed to characterize a general conjoint measurement model tolerating intransitive and/or incomplete relations. This leads to a clearer characterization of concordance relations within this general model.     

成对需求占线服务器问题及公平原则策略

针对在对称度量空间上多服务需求的k-服务器占线问题,研究问题空间为k＋2（度量空间上有k＋2个顶点,但只有k个服务器）时的一个特例：即在任意时刻都同时有两个服务需求提出。建立了该问题的数学模型,给出了公平原则策略,该策略能使得任意两个服务器完成服务后花费费用之差不大于某个固定常数;进行了相应的策略分析和竞争比的证明,并同工作函数策略进行了比较。