Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion

This article considers the pricing of equity-indexed annuity (EIA). By employing the change of measure technique, we derive the closed-form solutions for the prices of both point-to-point and annual reset equity-indexed annuities. We also provide numerical results to illustrate the method and computational efficiency of our simulation scheme and the effects of various model parameters on the participation rate.     

中国区域性寿险市场比较研究

文章选取与寿险市场发展密切相关的经济、社会和文化等方面的12项关键指标,应用因子分析和聚类分析方法对中国30个省、市、自治区的寿险市场资源禀赋情况进行评估和分类,并结合保险密度和保险深度指标对中国区域性寿险市场的发展水平和市场潜力进行了比较分析.结果表明,中国区域性寿险市场资源禀赋差异很大,并且市场资源禀赋的多寡与市场发展水平也并不完全一致.文章最后对这些差异进行了经济解释并提出了相应的意见和建议.     

Hypothesis Testing in a Rayleigh Diffusion Model

Applying the large and moderate deviations for the log-likelihood ratio of the Rayleigh diffusion model, we give the negative regions in testing Rayleigh diffusion model and obtain the decay rates of the error probabilities.     

Storage Life Prediction for a High-Performance Capacitor Using Multi-Phase Wiener Degradation Model

Capacitance is a critical performance characteristic of high-voltage-pulse capacitor which is used to store and discharge electrical energy rapidly. The capacitors usually are stored for a long period of time before put into use. Experimental result and engineering experience indicate that the capacitance increases with storage time and will eventually exceed the failure threshold, which means that the capacitor may fail during storage. This is a typical mode of degradation failure for long storage products. Further, the capacitance degradation path can be extrapolated in several stages based on the shifting characteristics. That is, the capacitance increases slowly or fluctuates in the initial storage stage that lasts about three months. Then it increases sharply in the middle stage which lasts about four months. After the two stages, the capacitor enters into the third stage in which capacitance increases constantly. This degradation phenomenon motivates us to study the storage life prediction method based on multi-phase degradation path model. The storage performance degradation mechanism of high-voltage-pulse capacitor was investigated, which provides the physical basis for multi-phase Wiener degradation model. Identification procedure for the transition points in the degradation path was proposed using maximum likelihood principle (MLP). The result of Kruskal-Wallis test which is the method to test whether two populations are consistent or not in statistics showed that the transition points are statistically effective. Other parameters in the multi-phase degradation model are estimated with maximum likelihood estimation (MLE) after the transition points have been specified. The multi-phase Inverse Gaussian (IG) distribution for storage life was deduced for the capacitor, and the point and interval estimation procedure for reliable storage life are constructed with bootstrap method. The efficiency and effectiveness of the proposed multi-phase degradation model is compared with storage life prediction under single-phase condition.     

Estimating the Nitrous Oxide Emission Rate from the Soil Surface by Means of a Diffusion Model

Soil cover methods are probably the most widely used methods for measuring the nitrous oxide emission rate from the soil surface. The methodology involves estimation of the emission rate from repeated measurements of the nitrous oxide concentration beneath a soil cover. Based on a deterministic model proposed by Hutchinson & Mosier (1981) we propose to use a diffusion process as a stochastic model for the evolution of the nitrous oxide concentrations beneath a soil cover. From this model we derive methods for statistical inference about the emission rate that significantly extend the method proposed by Hutchinson & Mosier (1981). In particular, the derived methods provide solutions to important problems with the method proposed by Hutchinson & Mosier (1981).     

基于MixedLogit模型的道路交通统计生命价值评价研究

道路交通统计生命价值是道路交通安全项目经济评价的重要指标。运用意愿选择法和正交试验法设计了出行路径选择的调查问卷。假定时间、死亡风险为常数,费用服从对数正态分布,建立了基于Mixed Logit模型的统计生命价值评价模型。以大连市私家车出行者为调查对象获得调查数据,利用Monte Carlo方法并借助GAUSS软件对模型进行了150次仿真实验。研究表明：模型各参数的估计值具有较强集中性,t检验值具有较强显著性,模型优度比较高。统计生命价值服从参数为0．922和0．814的对数正态分布,其数学期望是35万元,可以作为道路交通安全项目经济评价的参考数据。