Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach

The calculation of Net Asset Values and Solvency Capital Requirements in a Solvency 2 context–and the derivation of sensitivity analyses with respect to the main financial and actuarial risk drivers–is a complex procedure at the level of a real company, where it is illusory to be able to rely on closed-form formulas. The most general approach to performing these computations is that of nested simulations. However, this method is also hardly realistic because of its huge computation resources demand. The least-squares Monte Carlo method has recently been suggested as a way to overcome these difficulties. The present paper confirms that using this method is indeed relevant for Solvency 2 computations at the level of a company.     

An optimal co-reinsurance strategy

This article considers a co-reinsurance strategy that (1) protects insurance companies against catastrophic risks; (2) enables insurers to gather sufficient information about the different risk attitudes of reinsurers and diversify their reinsured risks; (3) enables insurers to create better risk-sharing profiles by balancing the risk tolerances of reinsurers; (4) has the benefit of allowing reinsurers to accumulate experience with risks with which they are unfamiliar; (5) reduces the overall direct cost of a reinsurance contract; (6) allows a government to back some insurance products, such as the terrorism insurance programs that were established in many countries after the September 11th terrorist attacks; and (7) reflects the practical reinsurance industry of some countries, such as Iran. Such a co-reinsurance strategy can be fully determined by estimating its parameters whenever three optimal criteria are satisfied and prior information about the unknown parameters is available. Two simulation-based studies have been conducted to demonstrate (1) the practical applications of our findings and (2) the possible impact of any type of dependency between the co-reinsurance’s parameters and the evaluated optimal co-reinsurance strategy.     

The inventory models under conditional trade credit in a supply chain system

In several recent investigations dealing with the economic order quantity with permissible delay in payments, the following assumptions are made:     

基于供应方生产能力的应急物资生产模型

利用期权契约所建立的政企合作储备应急物资模式能够有效解决政府单独储备模式所造成的物资储备量过少或过多而引起的困境。然而由于应急物资的需求特性,若应急物资供应企业采用按单生产方式安排生产储备计划,势必会造成库存水平升高,引发资金周转困难等问题,对政企之间的长期合作造成不利影响。基于此,本文设计了基于供应方生产能力的应急物资生产模型。该模型在政府利用批发价格契约与期权契约采购应急物资的基础上,研究了供应方根据自身生产能力进行柔性生产时的生产与储备问题。通过推导政企双方最优决策后,重点分析了期权权利金,执行价格,加急生产成本等参数对供应方生产决策的影响,并证明与按单生产模式相比,柔性生产模式可有效降低供应方的库存量与生产成本,提高其利润,继而提高整体供应链的利润水平,有助于促进政企之间长期稳定的合作。     

A possible human counterpart of the principle of increasing entropy

It is well-known that the principle of increasing entropy holds for isolated natural systems that contain non-adaptive molecules. Here we present, for the first time, an experimental evidence for a possible human counterpart of the principle in an isolated social system that involves adaptive humans. Our work shows that the human counterpart is valid even though interactions among humans in social systems are distinctly different from those among molecules in natural systems. Thus, it becomes possible to understand social systems from this natural principle, at least to some extent.     

Untersuchungen zum Verhalten der Pt-Metalle gegenüber festen und flüssigen Kationenaustauschern mit Hilfe der Radiotracermethode

Mit Hilfe radioaktiver Nuklide wurde die Aufnahme der Pt-Metalle aus chloridhaltigen Lösungen sowoht durch feste (Wofatit KPS) als auch durch flüssige Kationenaustauscher (Bis-2-äthylhexylphosphorsäure) bei Variation des pH-Wertes, der Vorbehandlung sowie der Edelmetallkonzentration bestimmt. Pt und Ir wurden nur geringfügig, Pd und Rh dagegen deutlich stärker adsorbiert. Beide Austauschertypen zeigten qualitativ das gleiche Verhalten. Die gefundenen Abhängigkeiten der Adsorption wurden auf das komplexchemische Verhalten der Pt-Metalle zurückgeführt. Es werden Verfahren zur schnellen radiochemischen Reinigung der benutzten Nuklide angegeben.     

Contract type and decision right of sales promotion in supply chain management with a capital constrained retailer

From the practices of Chinese consumer electronics market, we find there are two key issues in supply chain management: The first issue is the contract type of either wholesale price contracts or consignment contracts with revenue sharing, and the second issue is the decision right of sales promotion (such as advertising, on-site shopping assistance, rebates, and post-sales service) owned by either manufacturers or retailers. We model a supply chain with one manufacturer and one retailer who has limited capital and faces deterministic demand depending on retail price and sales promotion. The two issues interact with each other. We show that only the combination (called as chain business mode) of a consignment contract with the manufacturer’s right of sales promotion or a wholesale price contract with the retailer’s right of sales promotion is better for both members. Moreover, the latter chain business mode is realized only when the retailer has more power in the chain and has enough capital, otherwise the former one is realized. But which one is preferred by customers? We find that the former is preferred by customers who mainly enjoy low price, while the latter is preferred by those who enjoy high sales promotion level.     

果树种植最佳土地租赁期的数学模型建构

以种植果树为例,根据果树种植的客观规律,引进折扣因子δ=U-α,给出了通过确定投资合同期使利润达到最大的数学模型,并进行了讨论和推广.     

A New Strategy in Boosting Information Spread

Finding a seed set to propagate more information within a specific budget is defined as the influence maximization (IM) problem. The traditional IM model contains two cardinal aspects: (i) the influence propagation model and (ii) effective/efficient seed-seeking algorithms. However, most of models only consider one kind of node (i.e., influential nodes), ignoring the role of other nodes (e.g., boosting nodes) in the spreading process, which are irrational. Specifically, in the real-world propagation scenario, the boosting nodes always improve the spread of influence from the initial activated seeds, which is an efficient and cost-economic measure. In this paper, we consider the realistic budgeted influence maximization (RBIM) problem, which contains two kind of nodes to improve the diffusion of influence. Facing the newly modified objective function, we propose a novel B-degree discount algorithm to solve it. The novel B-degree discount algorithm which adopts the cost-economic boosting nodes to retweet the influence from the predecessor nodes can greatly reduce the cost, and performs better than other state-of-the-art algorithms in both effect and efficiency on RBIM problem solving.     

化学计量研究进展

叙述了化学计量的特点、作用和重要性及其研究内容,探讨了标准物质量值传递系统及实现标准物质量值溯源性的途径,阐述了建立化学测量溯源性的重要性、困难性、复杂性及基本设想和途径,并对化学计量中物质的量“摩尔”进行了简要论述。