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Variance related premium principle is one of the most important principles not only in practice applications but also in research field of actuarial science. In this paper, the Bayesian models are established under variance related premium principle. The Bayesian estimate and credibility estimate of risk premium are derived. Furthermore, some statistical properties of estimators are discussed. In the models with multitude contract data, the unbiased consistent estimates of the structure parameters are proposed. Finally, the empirical Bayes estimator are proved to be asymptotically optimal.     

Optimal risk transfer for agents with germs

We introduce a new class of risk measures called generalized entropic risk measures (GERMS) that allow economic agents to have different attitudes towards different sources of risk. We formulate the problem of optimal risk transfer in terms of these risk measures and characterize the optimal transfer contract. The optimal contract involves what we call intertemporal source-dependent quotient sharing, where agents linearly share changes in the aggregate risk reserve that occur in response to shocks to the system over time, with scaling coefficients that depend on the attitudes of each agent towards the source of risk causing the shock. Generalized entropic risk measures are not dilations of a common base risk measure, so our results extend the class of risk measures for which explicit characterizations of the optimal transfer contract can be found.     

有随机投资回报的随机保费模型的渐近破产概率(英文)

本文研究了随机投资回报环境下扰动的随机保费模型的破产问题.利用鞅方法和随机分析的理论讨论了盈余过程的一些基本性质,得到了一个可以用来求解破产时刻的Laplace变换的积分微分方程,结果推广了已有的随机投资问报风险模型的结论.     

Implied Filtering Densities on the Hidden State of Stochastic Volatility

Abstract

We formulate and analyse an inverse problem using derivative prices to obtain an implied filtering density on volatility’s hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using Bayesian filtering. However, derivative data can be considered as conditional expectations that are already observed in the market, and which can be used as input to an inverse problem whose solution is an implied conditional density on volatility. Our analysis relies on a specification of the martingale change of measure, which we refer to as separability. This specification has a multiplicative component that behaves like a risk premium on volatility uncertainty in the market. When applied to SPX options data, the estimated model and implied densities produce variance-swap rates that are consistent with the VIX volatility index. The implied densities are relatively stable over time and pick up some of the monthly effects that occur due to the options’ expiration, indicating that the volatility-uncertainty premium could experience cyclic effects due to the maturity date of the options.     

A multiperiod model for estimating the cost of deposit insurance under the Basel III minimum capital requirement

Under the Basel III regime, a commercial bank is considered adequately capitalized if it maintains a ratio of capital to total risk-weighted assets or capital adequacy ratio (CAR) of at least 8%. We model a commercial bank that complies with Basel III's minimum capital requirement on an interval $[0,T]$ for $T>0$. The bank model is achieved via a specific rate of capital influx that fixes the bank's CAR at the minimum prescribed level of 8%. On the basis of this capital influx rate, we derive models for the bank's asset portfolio and capital dynamics required for maintaining the CAR at the minimum prescribed level. For the aforementioned bank, we further study a deposit insurance (DI) pricing problem with a coverage horizon equal to $T$ years. More specifically, we employ a multiperiod DI pricing model to approximate the cost of DI for the bank on the interval $[0,T]$, where the constant (minimum) CAR is maintained. We study the behaviours of the models leading to the constant (minimum) CAR, and the behaviour of the DI premium estimate by means of numerical simulations. In the simulation study pertaining to the DI premium estimate specifically, we determine the effects of changes in the bank's initial leverage level (deposit-to-asset ratio), the DI coverage horizon, and the volatility of the asset portfolio on the DI premium estimate.     

乙醇对纳米多孔氧化铝薄膜热释光的影响

以乙醇-草酸混合溶液为电解液,用二次阳极氧化法制备纳米多孔Al_2O_3∶C薄膜。在制备过程中,碳的掺杂浓度可控。实验结果表明,随着碳浓度的增加,热释光强度逐渐增大;随着退火温度的升高,320℃左右的主热释光峰的强度先升高后降低。在退火温度为500℃时,主热释光峰的强度达到最大。纯草酸溶液制备的Al_2O_3薄膜的热释光剂量响应曲线在10~50 Gy是线性的,在50~100 Gy呈超线性;而乙醇-草酸混合溶液制备的Al_2O_3∶C薄膜在10~100 Gy基本呈线性。     

硬质合金CVD金刚石涂层工具衬底前处理技术研究

本研究采用KOH:K3[Fe(CN)6]:H2O和H2SO4:H2O2两种溶液浸蚀硬质合金衬底,分别选择刻蚀WC和Co.并在浸蚀过的硬质合金衬底上,用强电流直流伸展电弧等离子体CVD法沉积金刚石涂层.研究表明,两步混合处理法不仅可以有效的去除硬质合金基体表面的钴,而且,还可显著粗化硬质合金衬底.因此,提高了金刚石薄膜的质量和涂层的附着力.     

负载铂催化剂中沸石载体酸性对甲烷两步转化的影响

考察了具有相同金属分散度的Pt/NaY、Pt/HNaY、 Pt/HY、Pt/NaBeta和Pt/HBeta催化剂中沸石载体的酸性对在低温下（≤250 ℃）甲烷两步等温转化反应以及由甲烷解离吸附产生的表面碳物种分布的影响。由甲烷等温两步转化生成的C2+烃类产物的总量随着载体酸性的增加而明显增加;C2～C6产物的分布也发生了变化。由表面碳物种的程序升温加氢结果表明,在各种催化剂上碳物种的形式是相似的,其总量和具有活性的Cα物种的量均因载体酸性增加而增加,反应性也增大。这种因沸石载体酸性变化而引起的载体效应是由金属和载体的相互作用造成负载在酸性载体上铂粒子的贫电子性而引起,即由金属粒子电子性质的变化而引起的催化性质的变化。     

添加表面活性剂两步沉淀法制备甲醇催化剂

采用添加表面活性剂两步沉淀法制备了具有高表面铜相对浓度的超细甲醇合成催化剂。以组成为H2/CO/CO2/N2=66/27/3/4(体积比）的原料气对催化剂进行了活性评价。结果表明,该催化剂比传统并流沉淀法制备的铜基催化剂活性提高47.9%,比两步沉淀法和添加表面活性剂并流沉淀法制备的铜基催化剂活性分别提高9.3%和16.8%。利用SEM、XRD及XPS方法对催化剂的结构、形貌和表面金属组成进行了表征。     

ZnO-SnO_2透明导电薄膜的制备及性能研究

采用二步成胶工艺制备ZnO-SnO_2透明导电薄膜,应用X射线衍射、原子力显微镜、紫外-可见分光光度计、薄膜分析仪及四探针仪等对薄膜的结构、表面微观形貌、透过率和导电性能进行表征.结果表明,锌锡摩尔比为9/12,退火温度为500 ℃时,薄膜的透过率达90%,电阻率为3.15×10~(-3) Ω·cm.与其它工艺相比,二步成胶工艺所制备出的ZnO-SnO_2透明导电薄膜性能优异.