In this paper, the surplus of an insurance company is modeled by a Markovian regime- switching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-s...In this paper, the surplus of an insurance company is modeled by a Markovian regime- switching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.展开更多
This paper studies the rise and fall of the first financial futures market in China. We compare the characteristics in the Chinese Government bond futures market with those in the US T-bond futures market. They differ...This paper studies the rise and fall of the first financial futures market in China. We compare the characteristics in the Chinese Government bond futures market with those in the US T-bond futures market. They differ in market design and structure, market governance, margin requirements, position limits, delivery process, and the way in which the settlement price is calculated. Furthermore, with a unique dataset, we show that prior to maturities of government bond futures, traders began to accumulate significant amounts of long positions for several selected contracts without the intention to offset, forcing short position holders to either purchase deliverable bonds or offset futures at highly inflated prices, causing higher market volatility and price disequilibrium in both spot and futures markets. Arbitrage opportunity arises and the market eventually collapses. The lessons learned from the suspension of the Chinese Government bond futures market offer an invaluable learning experience.展开更多
This paper considers the optimal control problem with constraints for an insurance company. The risk process is assumed to be a jump-diffusion process and the risk can be reduced through an excess of loss （XL） reins...This paper considers the optimal control problem with constraints for an insurance company. The risk process is assumed to be a jump-diffusion process and the risk can be reduced through an excess of loss （XL） reinsurance. In addition, the surplus can be invested in the financial market. In the financial market, the short-selling constraint is one of the main factors which make models more realistic. Our goal is to find the optimal investment-reinsurance policy without short-selling, which maximizes the expected exponential utility of the terminal wealth. By solving the corresponding Hamilton-Jacobi-Bellman equation, the value function and the optimal investment-reinsurance policy are given in a closed form.展开更多
Most of the previous researches about portfolio analysis focus on short-selling. In fact, no short-selling is also important because short-selling is not allowed in stock markets of some countries. This paper gives th...Most of the previous researches about portfolio analysis focus on short-selling. In fact, no short-selling is also important because short-selling is not allowed in stock markets of some countries. This paper gives the sufficient and necessary conditions and proposes an optimal algorithm for Markowitz’s mean-variance models and Sharpe’s ratio with no short-selling. The optimal algorithm makes it easier to obtain the efficient frontiers with no short-selling.展开更多
基金supported by National Natural Science Foundation of China (Grant No.11001139)Fundamental Research Funds for the Central Universities (Grant No.65010771)+1 种基金Specialized Research Fund for the Doctoral Program of Higher Education (SRFDP Grant No.20100031120002)the second author is supported by the Discovery Grant from the Australian Research Council (ARC) (Project No.DP1096243)
文摘In this paper, the surplus of an insurance company is modeled by a Markovian regime- switching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.
文摘This paper studies the rise and fall of the first financial futures market in China. We compare the characteristics in the Chinese Government bond futures market with those in the US T-bond futures market. They differ in market design and structure, market governance, margin requirements, position limits, delivery process, and the way in which the settlement price is calculated. Furthermore, with a unique dataset, we show that prior to maturities of government bond futures, traders began to accumulate significant amounts of long positions for several selected contracts without the intention to offset, forcing short position holders to either purchase deliverable bonds or offset futures at highly inflated prices, causing higher market volatility and price disequilibrium in both spot and futures markets. Arbitrage opportunity arises and the market eventually collapses. The lessons learned from the suspension of the Chinese Government bond futures market offer an invaluable learning experience.
基金Supported in part by the National Natural Science Foundation of China (No. 10771214)the Key research project of RUC, the Ministry of Education Humanities Social Science Key Research Institute in University Foundation (NO. 07JJD910244)
文摘This paper considers the optimal control problem with constraints for an insurance company. The risk process is assumed to be a jump-diffusion process and the risk can be reduced through an excess of loss （XL） reinsurance. In addition, the surplus can be invested in the financial market. In the financial market, the short-selling constraint is one of the main factors which make models more realistic. Our goal is to find the optimal investment-reinsurance policy without short-selling, which maximizes the expected exponential utility of the terminal wealth. By solving the corresponding Hamilton-Jacobi-Bellman equation, the value function and the optimal investment-reinsurance policy are given in a closed form.
基金the National Natural Science Foundation of China (Grant Nos. 10501005, 10701021)Northeast Normal University (Grant No. NENU-STC07001)
文摘Most of the previous researches about portfolio analysis focus on short-selling. In fact, no short-selling is also important because short-selling is not allowed in stock markets of some countries. This paper gives the sufficient and necessary conditions and proposes an optimal algorithm for Markowitz’s mean-variance models and Sharpe’s ratio with no short-selling. The optimal algorithm makes it easier to obtain the efficient frontiers with no short-selling.
