贝叶斯方法在工程建设项目风险分析中的应用

本文探讨了贝叶斯定理及其推广在工程建设项目中的应用。在工程建设项目中,各种风险会随时出现,不了解风险的存在形式,很难进行风险管理。贝叶斯方法提供了一种有效的风险预测手段,能够将主观估计与客观估计结合起来,并能随着资料的不断增加而不断进行预测,使得预测更加精确,有利于工程建设项目的动态风险管理。     

一种新型风险型多指标决策方法研究

传统的风险型多指标决策模型没有考虑决策者对风险的态度,而决策者对风险的态度会影响决策的结果,针对这一问题文章在累积前景理论与灰色关联方法的基础上,提出一种考虑决策者风险偏好的风险型多指标决策的方法.该方法首先利用极差化法对风险决策矩阵进行规范化处理,并在此基础上构造出最优与最劣方案;然后利用累积前景理论与灰色关联方法构建前景值函数,并给出利用灰色关联思想确定指标权重的方法与步骤;最终求出各个方案的综合前景值并进行排序选优.通过某电信运营商对管道资源建设方案选择的实例分析说明了方法的可行性与有效性.     

基于博弈论的融资租赁保证金确定方法研究

针对融资租赁中租金偿还违约风险的防范问题,研究了如何合理设置租赁保证金来防范违约风险.运用博弈理论建立了租金偿还的动态博弈模型,采用逆向归纳法求解该博弈模型并推导出了预防性保证金确定方法及其适用条件,通过边界条件的改变继而推导出了补偿性保证金确定方法及其适用条件.算例分析表明,运用两种方法来计算租赁保证金时,只需已知租赁项目各期租金和租赁资产的价值而无需知道租赁项目的各期收益,仅以出租人预期租赁项目在各期的收益与租金之间的大小作为判据来选择保证金确定方法.两种保证金确定方法具有较高的实用性和可操作性,是出租人合理地确定租赁保证金的有效方法.     

带注资的二维复合泊松模型的最优分红

研究建立两类理赔关系的二维复合泊松模型的最优分红与注资问题,目标为最大化分红减注资的折现. 该问题由随机控制问题刻画, 通过解相应的哈密尔顿-雅克比-贝尔曼(HJB)方程,得到了最优分红策略,并在指数理赔时明确地解决该问题.     

基于风险-均值分析的供应商选择与订单分配集成优化模型与求解

针对不确定环境下具有不同供应合约的供应商选择与订单分配问题,本文构建了基于风险-均值分析的模糊两阶段多周期集成优化模型。与传统的该问题研究并未充分考虑供应商选择与订单分配两阶段决策的交互影响不同,在该模型中,第一阶段供应商选择的评价目标依赖于后期实际运营中的订单分配决策;并考虑未来需求和实际运营成本的不确定性,引入在险价值和期望值两种决策准则对供应商选择方案的绩效进行评价。提出了该模型的分析求解方法,在险价值得以精确评估,期望值被控制在确定的误差范围内,并可以达到足够的精度要求。     

带息力更新风险模型的一个极值分布

本文讨论了带息力的更新风险模型,得到了破产前最大盈余分布的递推公式,且在此基础上还给出了它满足的积分方程.     

The uncertain premium principle based on the distortion function

In this paper, we discuss the premium principle in uncertain environment. First, the net premium principle for uncertain risks is presented within the framework of uncertainty theory. With the help of distortion function, a new uncertain premium principle is derived from the uncertain net premium. Some properties of uncertain distortion premium principle are proved. Furthermore, a sufficient and necessary condition that an uncertain premium principle is an uncertain distortion premium principle has been characterized. Finally, some examples are given to illustrate the calculations of the uncertain distortion premium.     

Modelling Operational Risk Losses with Graphical Models and Copula Functions

The management of Operational Risk has been a difficult task due to the lack of data and the high number of variables. In this project, we treat operational risks as multivariate variables. In order to model them, copula functions are employed, which are a widely used tool in finance and engineering for building flexible joint distributions. The purpose of this research is to propose a new methodology for modelling Operational Risks and estimating the required capital. It combines the use of graphical models and the use of copula functions along with hyper-Markov law. Historical loss data of an Italian bank is used, in order to explore the methodology’s behaviour and its potential benefits.      

The credit risk+ model with general sector correlations

We consider an enhancement of the credit risk⁺ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.     

Valuation and risk assessment of participating life insurance in the presence of credit risk

In participating life insurance, management decisions regarding the asset composition can substantially impact the value of a policy from the policyholders’ perspective as well as the insurer’s risk situation. Due to the long-term guarantees often embedded in these contracts, life insurers typically invest a considerable portion of their capital in long-term assets such as corporate and government bonds. Besides interest rate risk, the value of these bond investments is thus particularly influenced by credit risk. Thus, the aim of this paper is to examine the impact of market risk associated with the asset composition on fair valuation and risk assessment with focus on credit risk and its interaction with equity risk and interest rate risk. Our analysis emphasizes that the consideration of credit risk associated with bonds has a strong impact on the fair valuation and risk measurement in the context of participating life insurance contracts, even in case of higher grade bond exposures.