The fundamental theorem of mutual insurance

The essence of mutual insurance is the notion that re-distributing risk in a pool of risks is more beneficial than taking the risk alone. Interpreting ‘more beneficial’ as an increase in utility and considering sequences of exchangeable risks, we are able to formalize this notion from the policyholder’s perspective and demonstrate its validity for various alternative preference functionals (e.g., expected utility, Choquet expected utility, and distortion risk measures). To obtain this result, we exploit that for a sequence of exchangeable risks the corresponding sequence of arithmetical averages is a reversed martingale.We conclude that pooling risks is fundamental for understanding the mechanisms of insurance because it favourably affects the utility of policyholders, and we refer to this phenomenon as the ‘utility-improving effect of risk pooling’. Moreover, we demonstrate that the utility of the policyholder is (strictly) increasing with the size of the risk pool.     

Utility maximization problem with random endowment and transaction costs: when wealth may become negative

In this article, we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality between the primal utility maximization problem and the dual one, which is set up on the domain of finitely additive measures. In particular, we prove duality results for utility functions supporting possibly negative values. Moreover, we construct a shadow market by the dual optimal process and consider the utility-based pricing for random endowment.     

Optimal proportional reinsurance with common shock dependence

In this paper, we consider the optimal proportional reinsurance strategy in a risk model with multiple dependent classes of insurance business, which extends the work of Liang and Yuen (2014) to the case with the reinsurance premium calculated under the expected value principle and to the model with two or more classes of dependent risks. Under the criterion of maximizing the expected exponential utility, closed-form expressions for the optimal strategies and value function are derived not only for the compound Poisson risk model but also for the diffusion approximation risk model. In particular, we find that the optimal reinsurance strategies under the expected value premium principle are very different from those under the variance premium principle in the diffusion risk model. The former depends not only on the safety loading, time and interest rate, but also on the claim size distributions and the counting processes, while the latter depends only on the safety loading, time and interest rate. Finally, numerical examples are presented to show the impact of model parameters on the optimal strategies.     

基于层次-效用法的空中目标威胁度判断模型

在现代防空作战中,要对来袭目标进行指标因素区分.利用层次分析法(AHP)来确定各指标因素的权重,建立指标因素的效用函数矩阵,计算出目标的威胁度,并进行威胁度大小排序,是防空一方指挥员合理、准确地运用火力的重要依据.     

基于效用函数的通信对抗作战能力评估

通信对抗作战能力评估是解决装备实力比较和兵力规划等问题的前提和基础,如何有效描述通信对抗作战能力,是评估问题的关键所在。根据通信对抗作战能力指标不可公度性的特点,利用效用函数对指标进行描述;并通过对聚合模型的讨论,建立评估模型;最后通过实例验证了利用效用函数法进行通信对抗作战能力评估的可行性和合理性。     

Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem

This paper concerns optimal investment problem with proportional transaction costs and finite time horizon based on exponential utility function. Using a partial differential equation approach, we reveal that the problem is equivalent to a parabolic double obstacle problem involving two free boundaries that correspond to the optimal buying and selling policies. Numerical examples are obtained by the binomial method.     

机会网络缓存管理机制性能分析与比较

首先引入机会网络及相应的理论基础,包括机会网络的基本概念、网络架构以及研究方向;然后重点介绍了机会网络中典型的缓存管理机制,并深入分析了其优缺点;最后对机会网络中缓存管理机制进行了总结并对未来缓存设计目标予以展望.     

Utility‐optimal cross‐layer resource allocation in distributed wireless cooperative networks

In this paper, we propose a distributed cross‐layer resource allocation algorithm for wireless cooperative networks based on a network utility maximization framework. The algorithm provides solutions to relay selections, flow pass probabilities, transmit rate, and power levels jointly with optimal congestion control and power control through balancing link and physical layers such that the network‐wide utility is optimized. Via dual decomposition and subgradient method, we solve the utility‐optimal resource allocation problem by subproblems in different layers of the protocol stack. Furthermore, by introducing a concept of pseudochannel gain, we model both the primal direct logical link and its corresponding cooperative transmission link as a single virtual direct logical link to simplify our network utility framework. Eventually, the algorithm determines its primal resource allocation levels by employing reverse‐engineering of the pseudochannel gain model. Numerical experiments show that the convergence of the proposed algorithm can be obtained and the performance of the optimized network can be improved significantly. Copyright © 2012 John Wiley & Sons, Ltd.     

A flexible framework for Group Decision Support: WINGDSS version 3.0

A flexible framework for Group Decision Support on PCs in Microsoft Windows environment is presented. WINGDSS does not replace human judgment but highly supports the entire process of decision making, from problem structuring to post-decision analysis. The latest version of WINGDSS is a modular, open system with a dynamical connection to relational databases, an interpreter for defining problem specific evaluation procedures, a lot of interactive features from setting up the tree of criteria until the sensitivity analysis on individual/group ranking. By providing tools for recursively redefining the decision problem, WINGDSS helps the decision makers in achieving a result satisfactory to the whole group.Research supported in part by the Hungarian Foundation for Scientific Research, Grant No. 2568 and by the Hungarian National Committee for Technical Research and Development, Grant No. 93-97-67-0553.     

目标约束下的投资选择

根据 Markowitz投资组合理论和传统的期望效用理论 ,在效用函数相同的情况下 ,所有的理性投资者都将采用相同的最优投资策略 .但在现实中 ,不同的投资者往往采用不同的投资策略 ,依据传统理论只能认为他们并不都是理性投资者 .本文引入了目标约束后 ,说明了由于不同的投资者具有不同的目标约束 ,所以用传统的期望效用理论无法解释的看似非理性的行为其实却是理性的最优选择 .