证券投资组合的风险与收益

本文利用概率统计原理对证券的投资组合能减轻所遇的风险作了讨论 ,并介绍了如何选择投资组合可使所遇风险达到最小     

带利息力和干扰的批量索赔一般到达风险模型

本文在经典风险模型的基础上,将索赔到达过程推广为更新过程,索赔可以批量到达,且带有常数利息力和Brown运动干扰项,得到一个新的风险模型,运用Markov骨架过程的方法,得出盈余过程的瞬时分布和生存概率.     

股份制公司的综合投资方案决策模型

对股份制公司的综合投资方案的决策问题进行了研究.首先依据多个投资方案的风险与收益并存的实际情况,建立了最佳投资组合方案的多目标决策模型.然后,由董事会综合各股东所持股份和相互评价权值,利用群决策的方法得到一个最终投资方案,此方案在理论上能使公司获得最大收益.     

The Economics of Social Stratification in Premodern Societies

We present a microeconomic model of social stratification, which includes an endogenous fertility component. In the model, egalitarian and stratified societies coexist. The latter are divided into 2 hereditary classes: a warrior elite and a productive class. The model entails that the extra cost warriors must incur to train and equip their children for war determines the relative sizes of both classes and the degree of economic inequality. Higher costs of warrior children imply a greater economic advantage for warriors and a smaller ratio of warriors to producers. These results are consistent with the historical evidence. Finally, we explore conditions under which the social contributions of the warrior elite could discourage a revolution.     

具有时滞的利率-流通量方程的建立及其应用

本文对金融网络建立了带有时滞的利率-流通量方程，应用时滞微分方程理论，我们得到金融网络中，各节点利率最终将稳定于其基本利率的充分必要条件；给出了各节点利率均振动的充分必要条件以及存在周期解的充分必要条件。     

利用面板数据模型分析湖南城镇居民的收入与消费之间的关系

本文利用面板数据模型研究湖南省城镇居民1999-2005年收入与消费之间的关系,分析湖南居民的收入差异对居民消费的影响,为今后调整湖南的消费结构,扩大内需,促进经济发展提供理论依据.     

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.     

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.     

Pricing caps with HJM models: The benefits of humped volatility

In this paper we compare different multifactor HJM models with humped volatility structures, to each other and to models with strictly decreasing volatility. All the models are estimated on Euribor and swap rates panel data maximizing the quasi-likelihood function obtained from the Kalman filter. We develop the analysis in two steps: first we study the in-sample properties of the estimated models, then we test the pricing performance on caps. We find the humped volatility specification to greatly improve the model estimation and to provide sufficiently accurate cap prices, although the models has been calibrated on interest rates data and not on cap prices. Moreover, we find the two-factor humped volatility model to outperform the three-factor models in pricing caps.     

The matrix rate of return

In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends portfolio analysis to the complex variable domain. This allows us for simultaneous analysis of evolution of baskets parameterized by complex variables in both continuous and discrete time models.