Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

This paper addresses one of the main challenges faced by insurance companies and risk management departments, namely, how to develop standardised framework for measuring risks of underlying portfolios and in particular, how to most reliably estimate loss severity distribution from historical data. This paper investigates tail conditional expectation (TCE) and tail variance premium (TVP) risk measures for the family of symmetric generalised hyperbolic (SGH) distributions. In contrast to a widely used Value-at-Risk (VaR) measure, TCE satisfies the requirement of the “coherent” risk measure taking into account the expected loss in the tail of the distribution while TVP incorporates variability in the tail, providing the most conservative estimator of risk. We examine various distributions from the class of SGH distributions, which turn out to fit well financial data returns and allow for explicit formulas for TCE and TVP risk measures. In parallel, we obtain asymptotic behaviour for TCE and TVP risk measures for large quantile levels. Furthermore, we extend our analysis to the multivariate framework, allowing multivariate distributions to model combinations of correlated risks, and demonstrate how TCE can be decomposed into individual components, representing contribution of individual risks to the aggregate portfolio risk.     

资产剥离对风险溢价的影响研究

资产剥离会通过改变在位资产的构成而影响总资产风险收益特征。区别于已有研究将资产剥离看作看跌期权的通常做法,本文考虑企业剥离非核心资产并将资源重新聚焦于核心资产的一般情形,将资产剥离决策视作一种交换期权。运用实物期权方法和定价核技术,本文在连续时间框架下分析了资产剥离影响资产风险溢价的理论机理,并利用沪深A股上市公司数据进行实证检验。研究结果表明:资产剥离对资产风险溢价的影响方向取决于非核心和核心两类资产风险溢价的相对大小,影响程度则由两类资产价值占比的差异和交换期权的价值占比共同决定;进一步,等待剥离的决策灵活性会削弱资产剥离的影响;年轻阶段的资产剥离更加可能对风险溢价具有提升作用。     

Valuation of risk-based premium of DB pension plan with terminations

This paper concentrates on the premium valuation of pension insurance provided by the Pension Benefit Guaranty Corporation (PBGC). The PBGC provides a defined benefit pension sponsor with coverage in case that the pension fund fails to make pension payments as promised or that the plan sponsor does not stay in business any more. In practice, both the pension fund and the sponsor assets play a critical role in fulfilling the commitment of pension payments, and thereby it is not reasonable to isolate the risk of distress termination of the sponsor assets from that of the premature termination of the pension fund. Different from previous works in which the premature termination of the pension fund and the distress termination of the sponsor assets are analyzed separately, our model examines the situation in which retirees suffer the risk of two types of terminations at the same time. We evaluate the risk-based fair premium under the framework that the pension fund and the sponsor assets are correlated and subject to the risk of the involuntary termination (i.e., premature termination) and the distress termination, respectively. In this framework, we manage to obtain closed-form pricing formulas. Our model is more practical because of the realistic design of termination schemes. Numerical simulations are also carried out to demonstrate our findings. Our numerical experiments validate that a variable rate premium is more appropriate for the PBGC to implement.     

无序复杂系统中的序--2021年诺贝尔物理学奖解读

本文首先简要介绍了什么是玻璃和自旋玻璃,然后回顾了自旋玻璃理论的发展,特别是帕里西对自旋玻璃理论的贡献及该理论在其它领域的应用.最后简要介绍了帕里西在界面随机生长和随机共振方面的重要贡献.     

用纯化合物确定热重质谱联用质谱CO2响应因子

利用纯化合物KHCO3的热分解,测定了热重质谱联用系统用于质谱定量CO2的响应因子,考察了载气流速、升温速率和试样量等热重操作条件对响应因子定量的影响;在限定的线性条件下,用该响应因子进行的定量结果与理论计算之间的误差在3％-5％之间。     

Image contrast in X‐ray reflection interface microscopy: comparison of data with model calculations and simulations

The contrast mechanism for imaging molecular‐scale features on solid surfaces is described for X‐ray reflection interface microscopy (XRIM) through comparison of experimental images with model calculations and simulated measurements. Images of elementary steps show that image contrast is controlled by changes in the incident angle of the X‐ray beam with respect to the sample surface. Systematic changes in the magnitude and sign of image contrast are asymmetric for angular deviations of the sample from the specular reflection condition. No changes in image contrast are observed when defocusing the condenser or objective lenses. These data are explained with model structure‐factor calculations that reproduce all of the qualitative features observed in the experimental data. These results provide new insights into the image contrast mechanism, including contrast reversal as a function of incident angle, the sensitivity of image contrast to step direction (i.e. up versus down), and the ability to maximize image contrast at almost any scattering condition defined by the vertical momentum transfer, Q_z. The full surface topography can then, in principle, be recovered by a series of images as a function of incident angle at fixed momentum transfer. Inclusion of relevant experimental details shows that the image contrast magnitude is controlled by the intersection of the reciprocal‐space resolution function (i.e. controlled by numerical aperture of the condenser and objective lenses) and the spatially resolved interfacial structure factor of the object being imaged. Together these factors reduce the nominal contrast for a step near the specular reflection condition to a value similar to that observed experimentally. This formalism demonstrates that the XRIM images derive from limited aperture contrast, and explains how non‐zero image contrast can be obtained when imaging a pure phase object corresponding to the interfacial topography.     

Artin-Schelter regularity of twisted tensor products

We prove an Artin-Schelter regularity result for the method of twisted tensor products under a certain form. Such twisted tensor products, whose twisting maps are determined by the action on the generators, include Ore extensions and double Ore extensions. It is helpful to construct high-dimensional Artin-Schelter regular algebras.     

Optimal Reinsurance with Probabilistic Constraints under Distortion Risk Measure北大核心CSCD

We follow Cheung and Lo [Scandinavian Actuarial Journal] and Chi et al. [Insurance: Mathematics and Economics] to investigate the optimal reinsurance problem where risks of the insurer is measured by distortion risk measures, and premiums are calculated under the generalized distortion premium principle. Our novelty is the inclusion of constraints on the maximum level of risk the reinsurer can tolerate. Our objective is to seek for all the optimal reinsurance strategies which minimize the insurer’s risk measurement of its total loss under the stipulated constraints. © 2022 Chinese Academy of Sciences. All rights reserved.