An optimal insurance strategy for an individual under an intertemporal equilibrium

In this paper, we discuss how a risk-averse individual under an intertemporal equilibrium chooses his/her optimal insurance strategy to maximize his/her expected utility of terminal wealth. It is shown that the individual’s optimal insurance strategy actually is equivalent to buying a put option, which is written on his/her holding asset with a proper strike price. Since the cost of avoiding risk can be seen as a risk measure, the put option premium can be considered as a reasonable risk measure. Jarrow [Jarrow, R., 2002. Put option premiums and coherent risk measures. Math. Finance 12, 135-142] drew this conclusion with an axiomatic approach, and we verify it by solving the individual’s optimal insurance problem.     

一种基于博奕论的功率控制准则

根据微观经济学理论，提出了一种新的功率控制准则。给出了效用函数的定义以及数学表达式。并提出了利用这种算法对WCDMA系统功率控制过程的改进，计算机仿真结果证实了这种新准则的有效性。     

A Novel Approach for Mining High‐Utility Sequential Patterns in Sequence Databases

Mining sequential patterns is an important research issue in data mining and knowledge discovery with broad applications. However, the existing sequential pattern mining approaches consider only binary frequency values of items in sequences and equal importance/significance values of distinct items. Therefore, they are not applicable to actually represent many real‐world scenarios. In this paper, we propose a novel framework for mining high‐utility sequential patterns for more real‐life applicable information extraction from sequence databases with non‐binary frequency values of items in sequences and different importance/significance values for distinct items. Moreover, for mining high‐utility sequential patterns, we propose two new algorithms: UtilityLevel is a high‐utility sequential pattern mining with a level‐wise candidate generation approach, and UtilitySpan is a high‐utility sequential pattern mining with a pattern growth approach. Extensive performance analyses show that our algorithms are very efficient and scalable for mining high‐utility sequential patterns.     

System utility based resource allocation for multi-cell OFDM system

Utility based resource allocation strategy in multi-cell orthogonal frequency-division multiplexing (OFDM) system plays a critical role in next generation mobile communication systems. Based on the analysis of risk aversion utility functions, this article proposed the system utility based utility, which is named the customer satisfaction (CS) utility. Compared with the proportional fairness (PF) utility, the CS utility reflects the user demands better, and enables the system to adjust its resource allocation according to both the traffic requirements and the resource situation.     

基于效用的备品备件优化库存控制法

 在(s,Q) 的故障替换概率分布模型基础上,提出了基于最小补充周期效用的优化补充周期定义算法和基于最小订货周期效用的优化订购周期定义算法,在保持了(s,Q)机制强调费用节省和可用性优点的同时,克服了它对资金积压、技术折旧损失和缺货损失、冗余库存维护损失缺乏调控能力的缺点.仿真结果很好验证了本机制的优点.     

基于网络效用最大化的一体化网络服务层映射模型

端到端多连接多路径技术能够极大地提高传输的吞吐量,增强数据传输的安全性和可靠性,因此得到了很多学者的关注. 一体化网络中提出了从服务到连接和从连接到路径的映射机制,实现了并行多连接多路径的数据传输. 本文研究了一体化网络服务层的映射机制,基于网络效用最大化思想,给出了从服务到连接和从连接到路径的多对多映射的数学模型. 经连接由服务到路径的映射过程就是如何合理有效地将路径带宽分配给各个服务,从而使得所有服务的效用之和达到最优. 当网络中同时存在弹性服务与非弹性服务时,给出了映射模型的一般形式,确保了非弹性服务能够获得一定的服务质量.     

基于再保险和投资的随机微分博弈

本文研究了具有再保险和投资的随机微分博弈.应用线性-二次控制的理论,在指数效用和幂效用下,求得了最优再保险策略、最优投资策略、最优市场策略和值函数的显示解,推广了文[8]的结果.通过本文的研究,当市场出现最坏的情况时,可以指导保险公司选择恰当的再保险和投资策略使自身所获得的财富最大化.     

The opportunity cost of mean–variance choice under estimation risk

Mean–variance portfolio choice is often criticized as sub-optimal in the more general expected utility framework. It is argued that the expected utility framework takes into consideration higher moments ignored by mean variance analysis. A body of research suggests that mean–variance choice, though arguably sub-optimal, provides very close-to-expected utility maximizing portfolios and their expected utilities, basing its evaluation on in-sample analysis where mean–variance choice is sub-optimal by definition. In order to clarify this existing research, this study provides a framework that allows comparing in-sample and out-of-sample performance of the mean variance portfolios against expected utility maximizing portfolios. Our in-sample results confirm the results of earlier studies. On the other hand, our out-of-sample results show that the expected utility model performs worse. The out-of-sample inferiority of the expected utility model is more pronounced for preferences and constraints under which in-sample mean variance approximations are weakest. We argue that, in addition to its elegance and simplicity, the mean–variance model extracts more information from sample data because it uses the covariance matrix of returns. The expected utility model may reach its optimal solution without using information from the covariance matrix.     

Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks

In this paper, we investigate an optimal reinsurance and investment problem for an insurer whose surplus process is approximated by a drifted Brownian motion. Proportional reinsurance is to hedge the risk of insurance. Interest rate risk and inflation risk are considered. We suppose that the instantaneous nominal interest rate follows an Ornstein–Uhlenbeck process, and the inflation index is given by a generalized Fisher equation. To make the market complete, zero-coupon bonds and Treasury Inflation Protected Securities (TIPS) are included in the market. The financial market consists of cash, zero-coupon bond, TIPS and stock. We employ the stochastic dynamic programming to derive the closed-forms of the optimal reinsurance and investment strategies as well as the optimal utility function under the constant relative risk aversion (CRRA) utility maximization. Sensitivity analysis is given to show the economic behavior of the optimal strategies and optimal utility.     

Optimal investment and risk control policies for an insurer: Expected utility maximization

Motivated by the AIG bailout case in the financial crisis of 2007–2008, we consider an insurer who wants to maximize his/her expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer’s risk process is modeled by a jump-diffusion process and is negatively correlated with the capital gains in the financial market. We obtain explicit solutions of optimal strategies for various utility functions.