Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach

Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has issued. We find that by imposing transaction costs, the insurance company reduces the rebalancing of the hedge portfolio. The cost of establishing the hedge portfolio also increases as the transaction cost increases. For the multi-period guarantee there is a rather large rebalancing of the hedge portfolio as we go from one period to the next. By introducing transaction costs we find the size of this rebalancing to be reduced. Transaction costs may therefore be one possible explanation for why we do not see the insurance companies performing a large rebalancing of their investment portfolio at the end of each year.     

电子商务网站竞争模型分析及其策略

研究电子商务网站竞争模型,分析其平衡点的稳定性,给出数值模拟图,建立一系列电子商务网站获胜的新策略.     

Analyzing the sustainability of harvesting behavior and the relationship to personality traits in a simulated Lotka–Volterra biotope

For the analysis presented in this paper we use experiments to study human behavior in a simulation environment based on a simple Lotka–Volterra predator–prey ecology. The aim is to study the influence of different harvesting strategies and of certain personality traits derived from the Hamburg Personality Inventory (HPI) [Andresen, B., 2002. HPI – Hamburger Persönlichkeitsinventar. Hogrefe, Göttingen] on the outcome in terms of sustainability and economic performance.     

半马尔可夫对策

本文考虑半马尔可夫随机对策.在一定条件下,我们证明随机对策有值函数,两个局中人相对于折扣报酬都有最优策略.     

An Algorithm Based on Active Sets and Smoothing for Discretized Semi-Infinite Minimax Problems

We present a new active-set strategy which can be used in conjunction with exponential (entropic) smoothing for solving large-scale minimax problems arising from the discretization of semi-infinite minimax problems. The main effect of the active-set strategy is to dramatically reduce the number of gradient calculations needed in the optimization. Discretization of multidimensional domains gives rise to minimax problems with thousands of component functions. We present an application to minimizing the sum of squares of the Lagrange polynomials to find good points for polynomial interpolation on the unit sphere in ℝ³. Our numerical results show that the active-set strategy results in a modified Armijo gradient or Gauss-Newton like methods requiring less than a quarter of the gradients, as compared to the use of these methods without our active-set strategy. Finally, we show how this strategy can be incorporated in an algorithm for solving semi-infinite minimax problems.     

Emergent cooperation amongst competing agents in minority games

We study a variation of the minority game. There are N agents. Each has to choose between one of two alternatives every day, and there is a reward to each member of the smaller group. The agents cannot communicate with each other, but try to guess the choice others will make, based only on the past history of the number of people choosing the two alternatives. We describe a simple probabilistic strategy using which the agents, acting independently, and trying to maximize their individual expected payoff, still achieve a very efficient overall utilization of resources, and the average deviation of the number of happy agents per day from the maximum possible can be made O(N^?), for any ?>0. We also show that a single agent does not expect to gain by not following the strategy.     

q-Strategy spatial prisoner?s dilemma game

We generalize the usual two-strategy prisoner?s dilemma game to a multi-strategy game, in which the strategy variable s is allowed to take q different fractional values lying between 0 and 1. The fractional-valued strategies signify that individuals are not absolutely cooperative or defective, instead they can adopt intermediate strategies. Simulation results on 1D and 2D lattices show that, compared with the binary strategy game, the multi-strategy game can sustain cooperation in more stringent defective environments. We give a comprehensive analysis of the distributions of the survived strategies and we compare pairwise the relative strength and weakness of different strategies. It turns out that some intermediate strategies survive the pure defection because they can reduce being exploited and at the same time benefit from the spatial reciprocity effect. Our work may shed some light on the intermediate behaviors in human society.     

On dividend strategies with non-exponential discounting

In this paper, we study the dividend maximization problem with a non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to Markov strategies. This is a time inconsistent control problem. The equilibrium HJB-equation is given and the verification theorem is proven for a general discount function. Considering a mixture of exponential discount functions and a pseudo-exponential discount function, we get equilibrium dividend strategies and the corresponding equilibrium value functions by solving the equilibrium HJB-equations.