In this paper,we study the optimal timing to convert the risk of business for an insurance company in order to improve its solvency.The cash flow of company evolves according to a jump-diffusion process.Business conve...In this paper,we study the optimal timing to convert the risk of business for an insurance company in order to improve its solvency.The cash flow of company evolves according to a jump-diffusion process.Business conversion option offers the company an opportunity to transfer the jump risk business out.In exchange for this option,the company needs to pay both fixed and proportional transaction costs.The proportional cost can also be seen as the profit loading of the jump risk business.We formulated this problem as an optimal stopping problem.By solving this stopping problem,we find that the optimal timing of business conversion mainly depends on the profit loading of the jump risk business.A larger profit loading would make the conversion option valueless.The fixed cost,however,only delays the optimal timing of business conversion.In the end,numerical results are provided to illustrate the impacts of transaction costs and environmental parameters to the optimal strategies.展开更多
Based on the option prioritization in graph model for conflict resolution of two decision makers(DMs),new logical and matrix representations of four stability concepts for DMs′attitude are proposed.The logical repres...Based on the option prioritization in graph model for conflict resolution of two decision makers(DMs),new logical and matrix representations of four stability concepts for DMs′attitude are proposed.The logical representation of attitude is defined,and converted to the matrix form in order to develop a decision support system(DSS)efficiently.Compared with existing definitions of DMs′attitude based on states,the proposed definitions of attitude based on options are convenient and more effective to generate preferences since that of states can be significantly larger than that of options in a large conflict.In addition,it is easier to obtain the information of the prioritization of option statements than to obtain preference of states for users.The proposed representations are applied to the process conflict during aircraft manufacturing to demonstrate the efficiency of the new approach.展开更多
This research explores upside and downside jumps in the dynamic processes of three rates:domestic interest rates,foreign interest rates,and exchange rates.To fill the gap between the asymmetric jump in the currency ma...This research explores upside and downside jumps in the dynamic processes of three rates:domestic interest rates,foreign interest rates,and exchange rates.To fill the gap between the asymmetric jump in the currency market and the current models,a correlated asymmetric jump model is proposed to capture the co-movement of the correlated jump risks for the three rates and identify the correlated jump risk premia.The likelihood ratio test results show that the new model performs best in 1-,3-,6-,and 12-month maturities.The in-and out-of-sample test results indicate that the new model can capture more risk factors with relatively small pricing errors.Finally,the risk factors captured by the new model can explain the exchange rate fluctuations for various economic events.展开更多
基金supported by the National Natural Science Foundation of China(No.12101300,No.12371478 and No.12071498)。
文摘In this paper,we study the optimal timing to convert the risk of business for an insurance company in order to improve its solvency.The cash flow of company evolves according to a jump-diffusion process.Business conversion option offers the company an opportunity to transfer the jump risk business out.In exchange for this option,the company needs to pay both fixed and proportional transaction costs.The proportional cost can also be seen as the profit loading of the jump risk business.We formulated this problem as an optimal stopping problem.By solving this stopping problem,we find that the optimal timing of business conversion mainly depends on the profit loading of the jump risk business.A larger profit loading would make the conversion option valueless.The fixed cost,however,only delays the optimal timing of business conversion.In the end,numerical results are provided to illustrate the impacts of transaction costs and environmental parameters to the optimal strategies.
基金supported by the National Natural Science Foundation of China(Nos.71071076,71471087,and 61673209)
文摘Based on the option prioritization in graph model for conflict resolution of two decision makers(DMs),new logical and matrix representations of four stability concepts for DMs′attitude are proposed.The logical representation of attitude is defined,and converted to the matrix form in order to develop a decision support system(DSS)efficiently.Compared with existing definitions of DMs′attitude based on states,the proposed definitions of attitude based on options are convenient and more effective to generate preferences since that of states can be significantly larger than that of options in a large conflict.In addition,it is easier to obtain the information of the prioritization of option statements than to obtain preference of states for users.The proposed representations are applied to the process conflict during aircraft manufacturing to demonstrate the efficiency of the new approach.
文摘This research explores upside and downside jumps in the dynamic processes of three rates:domestic interest rates,foreign interest rates,and exchange rates.To fill the gap between the asymmetric jump in the currency market and the current models,a correlated asymmetric jump model is proposed to capture the co-movement of the correlated jump risks for the three rates and identify the correlated jump risk premia.The likelihood ratio test results show that the new model performs best in 1-,3-,6-,and 12-month maturities.The in-and out-of-sample test results indicate that the new model can capture more risk factors with relatively small pricing errors.Finally,the risk factors captured by the new model can explain the exchange rate fluctuations for various economic events.
