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Chain ladder method: Bayesian bootstrap versus classical bootstrap
Claims reserving distribution-free chain ladder mean square error of prediction Bayesian chain ladder approximate Bayesian computation Markov chain Monte Carlo annealing bootstrap
2010/4/28
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities of...
Asymptotic analysis for stochastic volatility: Edgeworth expansion
stochastic volatility Edgeworth expansion European option prices
2010/4/28
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Algorithmic Dierentiation Monte Carlo Simulations Derivatives Pricing Credit Derivatives
2010/4/28
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construct...
We performed a comprehensive analysis on the price bounds of CDO tranche options, and illustrated that the CDO tranche option prices can be effectively bounded by the joint distribution of default tim...
协调利益关系与企业所有权结构调整——以中国国有企业为例
利益关系 企业所有权 结构调整 中国国有企业
2010/6/30
如何依据马克思主义社会协调原则，化解目前凸现的社会经济利益矛盾，理顺、协调好转型与发展过程中的各种利益关系，既是中国深化体制改革中的基本任务，也是构建社会主义和谐社会的本质要求。为此，我们必须探索、寻找、创设深化体制改革中具有均衡性和协调性的利益兼容机制。本文通过对西方主流企业理论关于企业分配关系及所有权结构理论的评述，以中国国有企业为例，研究微观企业机制中不同主体的利益如何协调与所有权结构之间的...
转型过程中的劳资关系与实物工资向量问题
转型过程 劳资关系 实物工资 向量问题
2010/6/30
转形问题的难点在于如何证明是否存在能够满足“总计一致2命题”（即平均利润总额等于剩余价值总额,生产价格总额等于价值总额）的一般转形模型。否定转形问题并不容易，因为需要证明这种转形模型不存在，这是很困难的。而肯定转形问题，只需要找到这样一个转形模型就可以了，尽管这种转形模型可能存在多个。
Any Regulation of Risk Increases Risk
regulation crisis risk management value-at-risk risk Basel
2010/4/28
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwis...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Multinomial Approximations American Options Merton's Model
2010/4/28
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
Limit Theorems for Partial Hedging Under Transaction Costs
Limit Theorems Partial Hedging Transaction Costs
2010/4/28
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall ri...
We present an approach to derivative exposure management based on subjective and implied probabilities. We suggest to maximize the valuation difference subject to risk constraints and propose a class ...
资产托管经营的经济分析
托管经营 不完全契约 风险偏好
2010/3/19
本文从资产托管的内涵入手，通过构造托管双方的对未来收益的预期函数，深入分析受托方在托管经营过程中的行为模式以及相应的委托方的激励机制，探讨各种托管的外在因素对托管合约中有关收益分配原则的影响，其中包括托管双方对风险的偏好、对自身未来经营成果的预期，等等。
湘西州属于不发达地区，融资环境恶劣，长期以来招商引资困难，而商业银行纷纷将湘西州列为高风险放贷区，中小企业融资的“前门”和“后门”都被关死；另一方面，湘西州民间资本充裕，但缺乏投资出路，民众投资心态、投资技术和风险意识都不成熟，因此，企业的资金需求与民间资金供给很难对接起来。近十年来，湘西民间集资经历了启动期、膨胀期、崩溃期三个阶段，是由合法集资向非法集资的演化过程。
管理层规模与会计信息质量之关系的实证研究
管理层规模 会计信息质量 股权分置改革
2012/11/22
从上市公司会计的多个信息披露的角度入手，构建了一个会计信息质量的综合指数，采用多元回归分析的方法对我国上市公司管理层规模与会计信息质量之间的关系进行了实证研究，并分析了股权分置改革的实施对上述相关关系的影响。研究结果表明：在股权分置改革前后，董事会规模、监事会规模与会计信息质量之间的关系并不一致；独立董事规模与会计信息质量之间没有相关性。
Managing Innovation: An Empirical study of innovation and Change in Public and Private Companies
Leadership Management Innovation and Change Innovation Management
2010/10/18
The purpose of this research was to study the impact of innovation and change in public and private companies and its relationship to the overall net income or losses in the respective companies. The ...
The learning effects of brands: Determined through Markovian analysis of brand switching
Learning effects Markovian analysis
2010/10/18
It is the learning effect that gives rise to brand loyalty for a repeat purchase product and is an important consideration in today’s competitive market. This paper aims at determining the learning ef...