With the increase of international trade activities and the gradual melting of the polar ice cap,the importance of the Arctic route for marine transportation has been emphasized.Prediction of the polar navigation wind...With the increase of international trade activities and the gradual melting of the polar ice cap,the importance of the Arctic route for marine transportation has been emphasized.Prediction of the polar navigation window period is crucial for navigating in the Arctic route,which is of great significance to the selection of the route and the optimization of navigation.This paper introduces the establishment of a risk index system,determination of risk index weight,establishment of a risk evaluation model,and prediction algorithm for the window period.In addition,data sources of both environmental factors and ship factors are introducted,and their shortcomings are analyzed,followed by introduction of various methods involved in window prediction and analysis of their advantages and disadvantages.The quantitative risk evaluation and window period algorithm can provide a reference for the research of polar navigation window period prediction.展开更多
Risk management often plays an important role in decision making un-der uncertainty.In quantitative risk management,assessing and optimizing risk metrics requires eficient computing techniques and reliable theoretical...Risk management often plays an important role in decision making un-der uncertainty.In quantitative risk management,assessing and optimizing risk metrics requires eficient computing techniques and reliable theoretical guarantees.In this pa-per,we introduce several topics on quantitative risk management and review some of the recent studies and advancements on the topics.We consider several risk metrics and study decision models that involve the metrics,with a main focus on the related com-puting techniques and theoretical properties.We show that stochastic optimization,as a powerful tool,can be leveraged to effectively address these problems.展开更多
The electricity-hydrogen integrated energy system(EH-IES)enables synergistic operation of electricity,heat,and hydrogen subsystems,supporting renewable energy integration and efficient multi-energy utilization in futu...The electricity-hydrogen integrated energy system(EH-IES)enables synergistic operation of electricity,heat,and hydrogen subsystems,supporting renewable energy integration and efficient multi-energy utilization in future low carbon societies.However,uncertainties from renewable energy and load variability threaten system safety and economy.Conventional chance-constrained programming(CCP)ensures reliable operation by limiting risk.However,increasing source-load uncertainties that can render CCP models infeasible and exacerbate operational risks.To address this,this paper proposes a risk-adjustable chance-constrained goal programming(RACCGP)model,integrating CCP and goal programming to balance risk and cost based on system risk assessment.An intelligent nonlinear goal programming method based on the state transition algorithm(STA)is developed,along with an improved discretized step transformation,to handle model nonlinearity and enhance computational efficiency.Experimental results show that the proposed model reduces costs while controlling risk compared to traditional CCP,and the solution method outperforms average sample sampling in efficiency and solution quality.展开更多
Trade credit,as an effective tool for integrating and coordinating material,information,and financial flows in supply chain management,is becoming increasingly widespread.We explore how a manufacturer can design optim...Trade credit,as an effective tool for integrating and coordinating material,information,and financial flows in supply chain management,is becoming increasingly widespread.We explore how a manufacturer can design optimal trade credit contracts when a risk-averse retailer hides its sales cost information(adverse selection)and selling effort level(moral hazard).We develop incentive models for a risk-averse supply chain when adverse selection and moral hazard coexist,which are then compared with the results under single information asymmetry(moral hazard).Moreover,we analyze the effects of private information and risk-aversion coefficient on contract parameters,selling effort level and the profit or utility of the supply chain.The study shows that when the degree of retailer’s risk aversion is within a certain range,reasonable trade credit contracts designed by the manufacturer can effectively induce the retailer to report its real sales cost and encourage it to exert appropriate effort.Furthermore,we find that the optimal trade credit period,optimal transfer payment,and retailer’s optimal sales effort level under dual information asymmetry are less than those under single information asymmetry.Numerical analysis are conducted to demonstrate the effects of the parameters on decisions and profits.展开更多
Unlike the traditional decentralized channel,the drop-shipping channel entails a retailer relaying consumers’orders to the manufacturer,which proceeds to stock the orders and directly ship them to the consumers.This ...Unlike the traditional decentralized channel,the drop-shipping channel entails a retailer relaying consumers’orders to the manufacturer,which proceeds to stock the orders and directly ship them to the consumers.This study explores supply chain coordination and product quality in drop-shipping and traditional channels.Specifically,we analyze the performance of both channels under wholesale price and revenue-sharing contracts.Our study yields several key findings.First,the revenue-sharing contract can coordinate both traditional and drop-shipping channels,effectively increasing supply chain performance.Second,given the channel structure,the retailer prefers the wholesale price contract,whereas the manufacturer prefers the revenue-sharing contract.Third,product quality is higher in the drop-shipping channel when demand uncertainty is high.Finally,the implementation of the revenue-sharing contract increases product quality in the traditional channel,whereas it keeps product quality unchanged in the drop-shipping channel.展开更多
In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space...In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.展开更多
A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establ...A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establish three lemmas:normal corre-lation,equivalent pricing and equivalent profit,which can guarantee to turn our model into a model with insider knowing full information.Then we investigate the impact of the two correlated signals on the market equilibrium consisting of optimal insider trading strategy and semi-strong pricing rule.It shows that in the equilibrium,(1)the market depth is constant over time;(2)if the two noisy signals are not linerly correlated,then all private information of the insider is incorporated into prices in the end while the whole information on the asset value can not incorporated into prices in the end;(3)if the two noisy signals are linear correlated such that the insider can infer the whole information of the asset value,then our model turns into a model with insider knowing full information;(4)if the two noisy signals are the same then the total ex ant profit of the insider is increasing with the noise decreasing,while down to O as the noise going up to infinity;(5)if the two noisy signals are not linear correlated then with one noisy signal fixed,the total ex ante profit of the insider is single-peaked with a unique minimum with respect to the other noisy signal value,and furthermore as the noisy value going to O it gets its maximum,the profit in the case that the real value is observed.展开更多
文摘With the increase of international trade activities and the gradual melting of the polar ice cap,the importance of the Arctic route for marine transportation has been emphasized.Prediction of the polar navigation window period is crucial for navigating in the Arctic route,which is of great significance to the selection of the route and the optimization of navigation.This paper introduces the establishment of a risk index system,determination of risk index weight,establishment of a risk evaluation model,and prediction algorithm for the window period.In addition,data sources of both environmental factors and ship factors are introducted,and their shortcomings are analyzed,followed by introduction of various methods involved in window prediction and analysis of their advantages and disadvantages.The quantitative risk evaluation and window period algorithm can provide a reference for the research of polar navigation window period prediction.
文摘Risk management often plays an important role in decision making un-der uncertainty.In quantitative risk management,assessing and optimizing risk metrics requires eficient computing techniques and reliable theoretical guarantees.In this pa-per,we introduce several topics on quantitative risk management and review some of the recent studies and advancements on the topics.We consider several risk metrics and study decision models that involve the metrics,with a main focus on the related com-puting techniques and theoretical properties.We show that stochastic optimization,as a powerful tool,can be leveraged to effectively address these problems.
基金Project(2022YFC2904502)supported by the National Key Research and Development Program of ChinaProject(62273357)supported by the National Natural Science Foundation of China。
文摘The electricity-hydrogen integrated energy system(EH-IES)enables synergistic operation of electricity,heat,and hydrogen subsystems,supporting renewable energy integration and efficient multi-energy utilization in future low carbon societies.However,uncertainties from renewable energy and load variability threaten system safety and economy.Conventional chance-constrained programming(CCP)ensures reliable operation by limiting risk.However,increasing source-load uncertainties that can render CCP models infeasible and exacerbate operational risks.To address this,this paper proposes a risk-adjustable chance-constrained goal programming(RACCGP)model,integrating CCP and goal programming to balance risk and cost based on system risk assessment.An intelligent nonlinear goal programming method based on the state transition algorithm(STA)is developed,along with an improved discretized step transformation,to handle model nonlinearity and enhance computational efficiency.Experimental results show that the proposed model reduces costs while controlling risk compared to traditional CCP,and the solution method outperforms average sample sampling in efficiency and solution quality.
基金supported by the Plan Project of Shanghai Philosophy and Social Science(2017BGL014)the National Natural Science Foundation of China(71832001)the Fundamental Research Funds for the Central Universities(2232020B-04,2232018H-07).
文摘Trade credit,as an effective tool for integrating and coordinating material,information,and financial flows in supply chain management,is becoming increasingly widespread.We explore how a manufacturer can design optimal trade credit contracts when a risk-averse retailer hides its sales cost information(adverse selection)and selling effort level(moral hazard).We develop incentive models for a risk-averse supply chain when adverse selection and moral hazard coexist,which are then compared with the results under single information asymmetry(moral hazard).Moreover,we analyze the effects of private information and risk-aversion coefficient on contract parameters,selling effort level and the profit or utility of the supply chain.The study shows that when the degree of retailer’s risk aversion is within a certain range,reasonable trade credit contracts designed by the manufacturer can effectively induce the retailer to report its real sales cost and encourage it to exert appropriate effort.Furthermore,we find that the optimal trade credit period,optimal transfer payment,and retailer’s optimal sales effort level under dual information asymmetry are less than those under single information asymmetry.Numerical analysis are conducted to demonstrate the effects of the parameters on decisions and profits.
基金supported by the Key Fund Project for Youth Innovation of USTC(WK2040000042).
文摘Unlike the traditional decentralized channel,the drop-shipping channel entails a retailer relaying consumers’orders to the manufacturer,which proceeds to stock the orders and directly ship them to the consumers.This study explores supply chain coordination and product quality in drop-shipping and traditional channels.Specifically,we analyze the performance of both channels under wholesale price and revenue-sharing contracts.Our study yields several key findings.First,the revenue-sharing contract can coordinate both traditional and drop-shipping channels,effectively increasing supply chain performance.Second,given the channel structure,the retailer prefers the wholesale price contract,whereas the manufacturer prefers the revenue-sharing contract.Third,product quality is higher in the drop-shipping channel when demand uncertainty is high.Finally,the implementation of the revenue-sharing contract increases product quality in the traditional channel,whereas it keeps product quality unchanged in the drop-shipping channel.
基金supported by the Jiangsu University Philosophy and Social Science Research Project(Grant No.2019SJA1326).
文摘In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.
文摘A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establish three lemmas:normal corre-lation,equivalent pricing and equivalent profit,which can guarantee to turn our model into a model with insider knowing full information.Then we investigate the impact of the two correlated signals on the market equilibrium consisting of optimal insider trading strategy and semi-strong pricing rule.It shows that in the equilibrium,(1)the market depth is constant over time;(2)if the two noisy signals are not linerly correlated,then all private information of the insider is incorporated into prices in the end while the whole information on the asset value can not incorporated into prices in the end;(3)if the two noisy signals are linear correlated such that the insider can infer the whole information of the asset value,then our model turns into a model with insider knowing full information;(4)if the two noisy signals are the same then the total ex ant profit of the insider is increasing with the noise decreasing,while down to O as the noise going up to infinity;(5)if the two noisy signals are not linear correlated then with one noisy signal fixed,the total ex ante profit of the insider is single-peaked with a unique minimum with respect to the other noisy signal value,and furthermore as the noisy value going to O it gets its maximum,the profit in the case that the real value is observed.
