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An optimal control problem motivated by a
portfolio and consumption choice problem in the financial market
where the expected utility of the investor is assumed to be the
Constant Relative Risk Aversion (CRRA) case is discussed. A local
stochastic maximum principle is obtained in the jump-diffusion
setting using classical variational method. The result is applied to
make optimal portfolio and consumption choice strategy for the
problem and the explicit optimal solution in the state feedback form
is given.
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In this paper, if some extra interval
data are available, that is, we assume we can know for sure whether
the missing data belong to some prescribed intervals or not, and the
missing data mechanism is known up to a -dimension unknown
parameter , then, the estimators of the underlying
distribution function and the unknown parameter can be derived, and
their asymptotical properties are studied
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In this paper, an insurer with perturbed
classical risk process and random premium income has the possibility
of investment into a risky market. The price process of the risky
market is assumed to follow a geometric Brownian motion. The aim of
this paper is to obtain the asymptotical behavior of the ruin
probability under the optimal strategy in the small claims. The
constant (denoted by maximizing the Lundburg exponent is
derived. It turns out that the optimal investment level convergence
to when the initial surplus tends to infinity. That is to say,
the constant we found is the asymptotically optimal strategy
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This study analyzes whether there exists
asymmetric relationship between financial openness and economic
growth for a panel of 55 countries and areas during the ten-year
period 1996 to 2006. Setting World Bank's Governance Indicators (GI)
which measures economic and political environment of countries as
threshold variable, the advanced panel threshold model in Hansen
(1999) is performed. The result reveals that there exists one
threshold effect between financial openness and economic growth and
the estimated threshold value is found to be 0.5896. When the GI of
an economy lies below the threshold, the estimated coefficient
between growth and financial openness is -0.0200, which means
financial openness will hurt growth. While in the higher regime, the
relationship between growth and financial openness is positive and
the coefficient is 0.0667. Among the 55 countries and areas, all
developed countries' GIs are in the higher regime, while more than
60\% of the developing economies' GIs lie in the lower regime. So
when developing economies carry out financial openness policy, they
should better the economic and political environment
simultaneously.
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In this paper, we propose an approach for
achieving simultaneously variable selection and estimation for the
linear and nonparametric components in high-dimensional partially
linear models. We use Dantzig selector, applied to the linear part
and various derivatives of nonparametric component, to achieve
sparsity in the linear part and produce nonparametric estimators.
Non-asymptotic theoretical bounds on the estimator error are
obtained. The finite sample properties of the proposed approach are
investigated through a simulation study
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Through the decomposition of risk function,
we first get an important indicator for the measure of nonlinearity
of complex systems which has be traditionally neglected in the
independently and identically distributed models or linear models.
Then how to reduce risk is discussed. The we gradually introduce the
departure degree, the disturbing degree and the
information-decomposition ratio which constitute the five indicators
together with the distortion degree and the risk function. Finally,
we discuss how to control measure indicators of the stability
center. It is also used to do a try for data analysis based on
global thinking
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The traditional claims reserving approaches
are all based on the aggregated data and usually produce inaccurate
predictions of the reserve because the aggregated data usually
failed to use all the information of the individual claims. A linear
prediction model based on the individual claims is proposed in this
paper, in which only the second order moment of the data is
required. This method is flexible and simple and hence easy to apply
in reality. The proposed method is compared with the traditional
chain ladder method via a simulation study as well, and the
simulation results illustrate that the proposed approach performs
well
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This article considers the compound Poisson
insurance risk model perturbed by diffusion with investment and
constant dividend barrier. Integro-differential equations for the
high order moments of the discounted dividend payments prior to ruin
are derived. Closed form solutions are formulated when the
individual claim amount distribution is exponential. Some satisfying
results about the distribution of the aggregate dividend are
obtained, even for general claim size distributions. We also
investigate the number and the amount of the dividend streams. Both
the time of ruin and the deficit at ruin are considered in some
special cases. Confluent hypergeometric functions play a key role in
this paper.
