The aversion order is a way of ordering of risks. Is there the optimal in aversion order in reinsurance contracts of reinsurance？ This paper discusses these objects and gives some optimal reinsurance contracts in cer...The aversion order is a way of ordering of risks. Is there the optimal in aversion order in reinsurance contracts of reinsurance？ This paper discusses these objects and gives some optimal reinsurance contracts in certain sets of feasible reinsurance contracts.展开更多
以往关于为自己和代他人决策的冒险行为研究结果不一致,这可能是因为以往的研究没有考虑决策情境和决策者人际特质等因素对于决策行为的影响。社会价值取向(social value orientation,SVO)是一种典型的人际特质,是个体在对自我和他人资...以往关于为自己和代他人决策的冒险行为研究结果不一致,这可能是因为以往的研究没有考虑决策情境和决策者人际特质等因素对于决策行为的影响。社会价值取向(social value orientation,SVO)是一种典型的人际特质,是个体在对自我和他人资源分配时所表现出的社会偏好,通常分为亲社会者和亲自我者。为探究SVO对自我-他人风险决策的影响及其机制,采用为自己和陌生人分别完成多轮混合赌博游戏的任务。结果发现亲自我比亲社会者代他人决策更冒险。用模型量化的损失厌恶和对潜在损失的敏感度部分中介了自我-他人风险决策差异,但只有对他人潜在损失的敏感度部分中介自我-他人决策的SVO效应。说明SVO会影响自我-他人风险决策,且该效应可以通过对他人利益的关心程度起作用,所以在自我-他人风险决策的研究中应将SVO这一决策者的人际特质因素考虑在内。展开更多
International oil and gas projects feature high capital-intensity, high risks and contract diversity. Therefore, in order to help decision makers make more reasonable decisions under uncertainty, it is necessary to me...International oil and gas projects feature high capital-intensity, high risks and contract diversity. Therefore, in order to help decision makers make more reasonable decisions under uncertainty, it is necessary to measure the risks of international oil and gas projects. For this purpose, this paper constructs a probabilistic model that is based on the traditional economic evaluation model, and introduces value at risk(VaR) which is a valuable risk measure tool in finance, and applies Va R to measure the risks of royalty contracts, production share contracts and service contracts of an international oil and gas project. Besides, this paper compares the influences of different risk factors on the net present value(NPV) of the project by using the simulation results. The results indicate:(1) risks have great impacts on the project's NPV, therefore, if risks are overlooked, the decision may be wrong.(2) A simulation method is applied to simulate the stochastic distribution of risk factors in the probabilistic model. Therefore, the probability is related to the project's NPV, overcoming the inherent limitation of the traditional economic evaluation method.(3) VaR is a straightforward risk measure tool, and can be applied to evaluate the risks of international oil and gas projects. It is helpful for decision making.展开更多
An equivalent condition is derived for g-concave function defined by (static) g-expectation. Several extensions including quadratic generators and (g,h)-concavity are also considered.
Using expectations regarding utilities to make decisions in a risk environment hides a paradox,which is called the expected utility enigma.Moreover,the mystery has not been solved yet;an imagined utility function on t...Using expectations regarding utilities to make decisions in a risk environment hides a paradox,which is called the expected utility enigma.Moreover,the mystery has not been solved yet;an imagined utility function on the risk-return plane has been applied to establish the mean-variance model,but this hypothetical utility function not only lacks foundation,it also holds an internal contradiction.This paper studies these basic problems.Through risk preference VNM condition is proposed to solve the expected utility enigma.How can a utility function satisfy the VNM condition?This is a basic problem that is hard to deal with.Fortunately,it is found in this paper that the VNM utility function can have some concrete forms when individuals have constant relative risk aversion.Furthermore,in order to explore the basis of mean-variance utility,an MV function is founded that is based on the VNM utility function and rooted in underlying investment activities.It is shown that the MV function is just the investor's utility function on the risk-return plane and that it has normal properties.Finally,the MV function is used to analyze the laws of investment activities in a systematic risk environment.In doing so,a tool,TRR,is used to measure risk aversion tendencies and to weigh risk and return.展开更多
文摘The aversion order is a way of ordering of risks. Is there the optimal in aversion order in reinsurance contracts of reinsurance？ This paper discusses these objects and gives some optimal reinsurance contracts in certain sets of feasible reinsurance contracts.
文摘以往关于为自己和代他人决策的冒险行为研究结果不一致,这可能是因为以往的研究没有考虑决策情境和决策者人际特质等因素对于决策行为的影响。社会价值取向(social value orientation,SVO)是一种典型的人际特质,是个体在对自我和他人资源分配时所表现出的社会偏好,通常分为亲社会者和亲自我者。为探究SVO对自我-他人风险决策的影响及其机制,采用为自己和陌生人分别完成多轮混合赌博游戏的任务。结果发现亲自我比亲社会者代他人决策更冒险。用模型量化的损失厌恶和对潜在损失的敏感度部分中介了自我-他人风险决策差异,但只有对他人潜在损失的敏感度部分中介自我-他人决策的SVO效应。说明SVO会影响自我-他人风险决策,且该效应可以通过对他人利益的关心程度起作用,所以在自我-他人风险决策的研究中应将SVO这一决策者的人际特质因素考虑在内。
基金supported by the Young Fund of Shanxi University of Finance and Economics(No.QN-2018002)National Natural Science Foundation of China(No.71774105)the Fund for Shanxi Key Subjects Construction(FSKSC)and Shanxi Repatriate Study Abroad Foundation(No.2016-3)
文摘International oil and gas projects feature high capital-intensity, high risks and contract diversity. Therefore, in order to help decision makers make more reasonable decisions under uncertainty, it is necessary to measure the risks of international oil and gas projects. For this purpose, this paper constructs a probabilistic model that is based on the traditional economic evaluation model, and introduces value at risk(VaR) which is a valuable risk measure tool in finance, and applies Va R to measure the risks of royalty contracts, production share contracts and service contracts of an international oil and gas project. Besides, this paper compares the influences of different risk factors on the net present value(NPV) of the project by using the simulation results. The results indicate:(1) risks have great impacts on the project's NPV, therefore, if risks are overlooked, the decision may be wrong.(2) A simulation method is applied to simulate the stochastic distribution of risk factors in the probabilistic model. Therefore, the probability is related to the project's NPV, overcoming the inherent limitation of the traditional economic evaluation method.(3) VaR is a straightforward risk measure tool, and can be applied to evaluate the risks of international oil and gas projects. It is helpful for decision making.
基金supported by the NSFC(11871050 and11401414)SF of Jiangsu Province(BK20160300+3 种基金BK2014029914KJB110022)supported by NSFC(11171186)the"111"project(B12023)
文摘An equivalent condition is derived for g-concave function defined by (static) g-expectation. Several extensions including quadratic generators and (g,h)-concavity are also considered.
文摘Using expectations regarding utilities to make decisions in a risk environment hides a paradox,which is called the expected utility enigma.Moreover,the mystery has not been solved yet;an imagined utility function on the risk-return plane has been applied to establish the mean-variance model,but this hypothetical utility function not only lacks foundation,it also holds an internal contradiction.This paper studies these basic problems.Through risk preference VNM condition is proposed to solve the expected utility enigma.How can a utility function satisfy the VNM condition?This is a basic problem that is hard to deal with.Fortunately,it is found in this paper that the VNM utility function can have some concrete forms when individuals have constant relative risk aversion.Furthermore,in order to explore the basis of mean-variance utility,an MV function is founded that is based on the VNM utility function and rooted in underlying investment activities.It is shown that the MV function is just the investor's utility function on the risk-return plane and that it has normal properties.Finally,the MV function is used to analyze the laws of investment activities in a systematic risk environment.In doing so,a tool,TRR,is used to measure risk aversion tendencies and to weigh risk and return.
