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On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models 论动态传染索赔模型中的均值-方差最优再保险-投资策略
IF 1.1 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Pub Date : 2024-09-06 DOI: 10.1007/s10203-024-00475-9
Marina Santacroce, Barbara Trivellato

We consider the reinsurance-investment problem under the mean variance criterion in a dynamic contagion model that takes into account self and externally excited claim clustering effects. We find explicit time-consistent reinsurance-investment strategies for a generalized proportional contract in which only losses above a certain level are reinsured. This greater flexibility in the contract mitigates the possible drawback of the primary insurer ceding too much at the expense of profitability, while still ensuring that the higher risks are shared with the reinsurance counterparty.

我们考虑了一个动态传染模型中平均方差标准下的再保险投资问题,该模型考虑了自身和外部激发的索赔集群效应。我们为广义比例合同找到了明确的时间一致性再保险投资策略,在这种合同中,只有超过一定水平的损失才会得到再保险。合同中更大的灵活性减轻了主承保人以牺牲盈利为代价过多分保可能带来的弊端,同时仍能确保与再保险对手分担更高的风险。
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引用次数: 0
Stochastic assessment of special-rate life annuities 特殊费率人寿年金的随机评估
IF 1.1 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Pub Date : 2024-09-04 DOI: 10.1007/s10203-024-00476-8
Annamaria Olivieri, Daniela Tabakova

Special-rate life annuities offer customized annuity rates, based on the lifestyle or health status of the individual. Their main purpose is to encourage the annuity demand, which is still underdeveloped in many markets; as better annuity rates are quoted for individuals showing a higher mortality profile, the number of individuals attracted by life annuities could increase. Providers should then gain larger pool sizes; however, this is possibly matched by a greater heterogeneity of the pool, due to several risk classes defined by the annuity design. Heterogeneity emerges not only in terms of different life expectancies, but also in respect of the dispersion of the lifetime distribution; indeed, situations resulting in a lower life expectancy also show greater variability of the lifetime. As it is well-known, pooling effects are reinforced by the pool size, while they are weakened by its heterogeneity, with a possibly unclear impact on the overall longevity risk to which the provider is exposed. In this paper we investigate the longevity risk profile of an annuity pool consisting of several risk classes. We consider both the idiosyncratic and aggregate components of the risk, by modelling the random number of deaths and assuming a stochastic mortality dynamics. The heterogeneity of risk classes is represented alternatively in a deterministic and stochastic setting. Our conclusions are in line with similar findings discussed in the literature, but obtained in a deterministic framework. Results suggest that the longevity risk profile of the provider is not significantly undermined by a greater pool heterogeneity, with a prevalence of the aggregate component whatever the pool composition.

特别费率人寿年金根据个人的生活方式或健康状况提供定制的年金费率。其主要目的是鼓励年金需求,而这一需求在许多市场上仍未得到充分开发;随着为死亡率较高的个人提供更好的年金费率,受人寿年金吸引的人数可能会增加。因此,提供者应获得更大的资金池规模;然而,与之相匹配的可能是资金池的更大异质性,因为年金设计定义了多个风险等级。异质性不仅体现在不同的预期寿命上,还体现在寿命分布的分散性上;事实上,导致预期寿命较低的情况也显示出寿命的更大变异性。众所周知,集合效应会因集合规模而加强,也会因集合的异质性而减弱,这对提供者所面临的总体长寿风险可能会产生不明确的影响。在本文中,我们研究了由多个风险类别组成的年金池的长寿风险状况。通过模拟随机死亡人数和假设随机死亡率动态,我们考虑了风险的特异性和总体成分。风险等级的异质性在确定性和随机性环境中交替体现。我们的结论与文献中讨论的类似结论一致,但都是在确定性框架下获得的。结果表明,提供者的长寿风险状况并不会因更大的集合异质性而受到显著削弱,无论集合的构成如何,集合成分都会普遍存在。
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引用次数: 0
Newsvendor problem with discrete demand and constrained first moment under ambiguity 模糊条件下具有离散需求和受限第一矩的新闻供应商问题
IF 1.1 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Pub Date : 2024-08-30 DOI: 10.1007/s10203-024-00477-7
Andrea Cinfrignini, Davide Petturiti, Gabriele Stabile

We study a single period newsvendor problem under ambiguity in the presence of a discrete random demand. Ambiguity is introduced in the model by (epsilon )-contaminating the newsvendor’s prior probability measure with respect to two suitable classes of probability measures, assuring that the lower expected demand and the upper expected demand are both equal to the prior expected demand. Assuming that the newsvendor has a pessimistic attitude towards ambiguity, we characterize the order quantity that either maximizes the lower expected profit or minimizes the upper expected loss. Since the two contamination classes are cores of two distinct belief functions, we show that the maximin and minimax problems translate in the maximization and minimization of two distinct Choquet integrals.

我们研究的是在离散随机需求存在的情况下,模糊性条件下的单期新闻供应商问题。模糊性是通过(epsilon )污染新闻销售商的先验概率度量来引入模型的,它涉及两类合适的概率度量,确保下限预期需求和上限预期需求都等于先验预期需求。假定新闻销售商对模糊性持悲观态度,我们就能确定下限预期利润最大化或上限预期损失最小化的订货量。由于两个污染类别是两个不同信念函数的核心,我们证明最大化和最小化问题转化为两个不同 Choquet 积分的最大化和最小化。
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引用次数: 0
Erio Castagnoli: scientist, teacher, mentor and friend 埃里奥-卡斯塔尼奥利:科学家、教师、良师益友
IF 1.4 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Pub Date : 2024-08-09 DOI: 10.1007/s10203-024-00473-x
Paola Modesti, Lorenzo Peccati
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引用次数: 0
Two sided ergodic singular control and mean-field game for diffusions 扩散的双面遍历奇异控制和均场博弈
IF 1.1 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Pub Date : 2024-08-09 DOI: 10.1007/s10203-024-00464-y
Sören Christensen, Ernesto Mordecki, Facundo Oliú

In a probabilistic mean-field game driven by a linear diffusion an individual player aims to minimize an ergodic long-run cost by controlling the diffusion through a pair of –increasing and decreasing– càdlàg processes, while he is interacting with an aggregate of players through the expectation of a similar diffusion controlled by another pair of càdlàg processes. In order to find equilibrium points in this game, we first consider the control problem, in which the individual player has no interaction with the aggregate of players. In this case, we prove that the best policy is to reflect the diffusion process within two thresholds. Based on these results, we obtain criteria for the existence of equilibrium points in the mean-field game in the case when the controls of the aggregate of players are of reflection type, and give a pair of nonlinear equations to find these equilibrium points. In addition, we present an approximation result for nash equilibria of erdogic games with finitely many players to the mean-field game equilibria considered above when the number of players tends to infinity. These results are illustrated by several examples where the existence and uniqueness of the equilibrium points depend on the coefficients of the underlying diffusion.

在一个由线性扩散驱动的概率均值场博弈中,个体博弈者的目标是通过一对递增和递减的 càdlàg 过程控制扩散,从而使遍历长期成本最小化,同时他通过对由另一对 càdlàg 过程控制的类似扩散的期望,与博弈者群体相互作用。为了找到这个博弈的均衡点,我们首先考虑控制问题,即个体博弈者与总体博弈者之间没有互动。在这种情况下,我们证明最佳策略是在两个阈值内反映扩散过程。在这些结果的基础上,我们得到了当玩家总数的控制是反射型时,均场博弈中均衡点存在的标准,并给出了一对非线性方程来寻找这些均衡点。此外,我们还给出了当博弈者数量趋于无穷大时,有限多博弈者的纳什均衡点与上述均场博弈均衡点的近似结果。我们通过几个例子来说明这些结果,在这些例子中,均衡点的存在性和唯一性取决于底层扩散的系数。
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引用次数: 0
Preferences over risk changes in variance 对差异变化风险的偏好
IF 1.1 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Pub Date : 2024-08-07 DOI: 10.1007/s10203-024-00474-w
Marzia De Donno, Mario Menegatti

This paper studies the linkages between different aspects of preferences in the presence of risk increases of different degrees in the variance of consumption. We find that the effects on expected utility of risk increases in variance of consecutive degrees are in opposite directions. Applying this result to saving choice when either labour income or the interest rate is random, we obtain that the effects on the optimal level of saving of risk increases in variance of subsequent degrees are in opposite directions. Lastly, similar results are obtained for risk increases in the variance of the variance of consumption.

本文研究了在消费方差不同程度地增加风险的情况下,偏好的不同方面之间的联系。我们发现,风险方差连续增加对预期效用的影响是相反的。将这一结果应用于劳动收入或利率随机时的储蓄选择时,我们会发现,风险连续增加对最佳储蓄水平的影响是相反的。最后,消费方差的风险增加也得到了类似的结果。
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引用次数: 0
On Specimen Theoriae Novae de Mensura Sortis of Daniel Bernoulli 论丹尼尔-伯努利的新孟说样本
IF 1.1 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Pub Date : 2024-08-07 DOI: 10.1007/s10203-024-00471-z
Paola Modesti

This piece in the Milestones series is dedicated to the paper “Specimen Theoriae Novae de Mensura Sortis ” by Daniel Bernoulli, published in 1738 on the Commentarii Academiae Scientiarum Imperialis Petropolitanae.

里程碑》系列中的这篇文章献给丹尼尔-伯努利(Daniel Bernoulli)的论文 "Specimen Theoriae Novae de Mensura Sortis",该论文发表于 1738 年的 Commentarii Academiae Scientiarum Imperialis Petropolitanae 上。
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引用次数: 0
Backward hedging for American options with transaction costs 有交易成本的美式期权后向套期保值
IF 1.1 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Pub Date : 2024-08-06 DOI: 10.1007/s10203-024-00472-y
Ludovic Goudenège, Andrea Molent, Antonino Zanette

In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is determined by minimizing an appropriate loss function, which is based on either a risk measure or the mean squared error of the hedging strategy at maturity. Specifically, the algorithm moves backward in time, determining, for each time-step and different market states, the optimal hedging strategy that minimizes the loss function at the time the option is exercised, by assuming that the strategy used in the future for hedging the liability is the one determined at the previous steps of the algorithm. The proposed approach only employs classic techniques, such as an optimization algorithm, Monte Carlo simulation, and interpolation on a grid. Above all, our choice of a backward iterating approach addresses the issue of time-inconsistency inherent in many traditional risk measures, compelling the optimal strategy to maintain consistency over time, even though the original problem might not inherently support such consistency. Comparisons with the Deep Hedging algorithm in various numerical experiments showcase the efficiency and accuracy of the proposed method.

在本文中,我们介绍了一种名为 "后向对冲"(Backward Hedging)的算法,旨在对冲欧式和美式期权,同时考虑交易成本。最优策略通过最小化适当的损失函数来确定,该函数基于风险度量或到期时对冲策略的均方误差。具体地说,该算法在时间上向后移动,在每个时间步和不同的市场状态下,通过假设未来用于对冲负债的策略是算法前几步所确定的策略,来确定在期权行使时使损失函数最小化的最优对冲策略。所提出的方法只采用了经典技术,如优化算法、蒙特卡罗模拟和网格插值。最重要的是,我们选择的后向迭代方法解决了许多传统风险度量方法中固有的时间不一致性问题,迫使最优策略保持时间上的一致性,即使原始问题可能本质上不支持这种一致性。在各种数值实验中与深度对冲算法的比较显示了所提方法的效率和准确性。
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引用次数: 0
Amortization dismantling to remove any doubt of anatocism 摊销拆除,消除任何对解剖学的怀疑
IF 1.1 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Pub Date : 2024-08-03 DOI: 10.1007/s10203-024-00470-0
Viviana Fanelli, Silvana Musti

We propose in this paper a method for verifying the non-existence of anatocism in a periodic amortization with n periodic installments, by the replication of its cash flows. The cash flows are obtained by recursively constructing an appropriate sequence of n consecutive single period loans, at the periodic interest rate i, each one with repayment of principal and interest at the end of the single period. Since each elementary transaction is concluded within one time unit, there is no possibility of interest accruing on interest and hence anatocism is ruled out. Therefore, this characteristic must be acknowledged to be valid also for the loan amortization schedule with n periodic installments whose cash flows are perfectly replicated by the unique loan sequence obtained.

我们在本文中提出了一种通过复制现金流来验证 n 期定期分期付款中不存在锐减现象的方法。现金流是通过递归构建一个适当的 n 个连续的单期贷款序列得到的,每笔贷款的周期利率为 i,每笔贷款在单期结束时偿还本金和利息。由于每笔基本交易都是在一个时间单位内完成的,因此不可能出现利滚利的情况,也就排除了锐减的可能性。因此,必须承认这一特征也适用于有 n 个定期分期付款期的贷款摊还表,其现金流完全由所获得的唯一贷款序列复制。
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引用次数: 0
The limitations of comonotonic additive risk measures: a literature review 单调相加风险度量的局限性:文献综述
IF 1.1 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Pub Date : 2024-08-03 DOI: 10.1007/s10203-024-00469-7
Samuel S. Santos, Marcelo Brutti Righi, Eduardo Horta

Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with properties that are central in specific contexts. In this paper, we present a literature review of these incompatibilities. Specifically, we highlight the conflict between comonotonic additivity and surplus invariance, eligible assets, elicitabilty, and dynamic consistency.

人们对满足协约可加性公理的风险度量进行了广泛的研究,这可以说是因为大量结果表明了这类风险度量的有趣方面。然而,最近的研究表明,该公理与特定情况下的核心属性不相容。在本文中,我们将对这些不相容之处进行文献综述。具体来说,我们强调了协约可加性与盈余不变性、合格资产、可激发性和动态一致性之间的冲突。
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引用次数: 0
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Decisions in Economics and Finance
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