“三维”立体化保障体系为化学学科教书育人做好核心支撑——吉林大学化学学院人才培养保障工作实践探索

目前,我国高等教育发展已经进入“深水区”和“无人区”,校、院层面围绕人才培养建立的管理机制、服务机制需要广大教育工作者的探索与实践。吉林大学化学学院充分利用职称评聘、教师能力发展、学生活动、教学改革和课程建设等方面的政策导向,健全奖励激励制度,加强配套经费支持,探索构筑了以教师和学生为主体,涉及教学、管理和服务的“三维”立体化保障体系,有效地促进和保障了学院高质量拔尖创新人才培养。     

Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach

Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has issued. We find that by imposing transaction costs, the insurance company reduces the rebalancing of the hedge portfolio. The cost of establishing the hedge portfolio also increases as the transaction cost increases. For the multi-period guarantee there is a rather large rebalancing of the hedge portfolio as we go from one period to the next. By introducing transaction costs we find the size of this rebalancing to be reduced. Transaction costs may therefore be one possible explanation for why we do not see the insurance companies performing a large rebalancing of their investment portfolio at the end of each year.     

Asset and liability modelling for participating policies with guarantees

We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management, analyze the tradeoffs in structuring such policies, and study alternative choices in funding them. The nonlinearly constrained optimization model can be linearized through closed form solutions of the dynamic equations. Thus large-scale problems are solved with standard methods. We report on an empirical analysis of policies offered by Italian insurers. The optimized model results are in general agreement with current industry practices. However, some inefficiencies are identified and potential improvements are highlighted.     

Evaluation of insurance products with guarantee in incomplete markets

Life insurance products are usually equipped with minimum guarantee and bonus provision options. The pricing of such claims is of vital importance for the insurance industry. Risk management, strategic asset allocation, and product design depend on the correct evaluation of the written options. Also regulators are interested in such issues since they have to be aware of the possible scenarios that the overall industry will face. Pricing techniques based on the Black & Scholes paradigm are often used, however, the hypotheses underneath this model are rarely met.To overcome Black & Scholes limitations, we develop a stochastic programming model to determine the fair price of the minimum guarantee and bonus provision options. We show that such a model covers the most relevant sources of incompleteness accounted in the financial and insurance literature. We provide extensive empirical analyses to highlight the effect of incompleteness on the fair value of the option, and show how the whole framework can be used as a valuable normative tool for insurance companies and regulators.     

最大顶点覆盖问题的一种近似算法

给出了求解最大顶点覆盖问题的一种近似算法,讨论了它的性能保证,利用P ipage技术,为最大顶点覆盖问题设计出了0.75-近似算法.     

Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection

This paper assesses optimal life cycle consumption and portfolio allocations when households have access to Guaranteed Minimum Withdrawal Benefit (GMWB) variable annuities over their adult lifetimes. Our contribution is to evaluate demand for these products which provide access to equity investments with money-back guarantees, longevity risk hedging, and partially-refundable premiums, in a realistic world with uncertain labor and capital market income as well as mortality risk. Others have predicted that consumers will only purchase such annuities late in life, but we show that they will optimally purchase GMWBs prior to retirement, consistent with their recent rapid uptick in sales. Additionally, many individuals optimally adjust their portfolios and consumption streams along the way by taking cash withdrawals from the products. These products can substantially enhance consumption, by up to 10% for those who experience highly unfavorable experiences in the stock market.     

竞争情形下服务商质量保证策略研究

质量保证策略是服务商获取竞争力的重要手段之一。本文在考虑服务商及其竞争对手的质量承诺水平和质量承诺补偿对其服务需求影响的基础上,构建了质量承诺水平、质量承诺补偿、质量承诺水平和质量承诺补偿三种竞争情形下的博弈模型,并系统分析了不同模型下的质量保证策略。研究发现:一旦有服务商提高质量承诺水平或质量承诺补偿,在质量承诺水平竞争模型下,其他服务商可适当地降低质量承诺水平,而在质量承诺补偿竞争模型下,其他服务商会同时提高质量承诺补偿。此外,在质量承诺水平和质量承诺补偿竞争模型下,若质量承诺水平的成本系数满足一定条件,各个服务商之间会存在纳什均衡。本文对服务市场竞争情形下服务商质量保证策略的制定具有一定的实践意义。     

Combinatorial approximation algorithms: a comparative review

This paper is a comparative review of three related books:Giorgio Ausiello, Pierluigi Crescenzi, Giorgio Gambosi, Viggo Kann, Alberto Marchetti-Spaccamela, Marco Protasi, Complexity and Approximation (Combinatorial Optimization Problems and Their Approximability Properties), second printing, Springer, Berlin, 2003, ISBN 3-540-65431-3, 524 pp., €53.45 (first printing 1999).Juraj Hromkovi?, Algorithmics for Hard Problems (Introduction to Combinatorial Optimization, Randomization, Approximation, and Heuristics), second edition, Springer, Berlin, 2003, ISBN 3-540-44134-4, 544 pp., €53.45 (first printing 2001).Vijay Vazirani, Approximation Algorithms, second printing, Springer, Berlin, 2002, ISBN 3-540-65367-8, 380 pp., €37.40 (first printing 2001).     

Pricing under quality of service uncertainty: Market segmentation via statistical QoS guarantees

This article examines how performance-contingent pricing schemes with long-term statistical performance guarantees can be applied to many IT services. We study two forms of performance-contingent pricing, with rebate proportional to failure rate and fixed rebate for below-threshold performance. We show that threshold-performance contingency pricing can increase both profits and fairness (customers who receive higher benefits pay higher effective price) relative to standard pricing. But an even better solution is to offer a menu of performance guarantees: this can increase the firm’s profit and segment the market. Only service providers whose performance level is sufficiently better than the industry standard can benefit from this pricing mechanism.