关于统计信息产品定价的探讨

文章从统计信息产品的特性和其价格形成的特殊性入手 ,将统计信息产品分为基础性统计信息产品和竞争性统计信息产品 ,然后对两类信息产品的定价分别进行探讨 ,对我国的统计信息商品化有一定的理论意义。     

Major Chinese Full-Text Electronic Information Resources for Researchers and Scholars

China's electronic publishing industry has developed very rapidly over the past decade. China has become one of the electronic publishing centers in Asia and will continue to flourish in the future. Chinese electronic databases provide the most efficient way for scholars, researchers, and students to perform searches, as well as to provide information for businesses and governments. In this article the author gives a brief overview of selected databases that represent a small portion of the Chinese electronic resources and will serve as a reference to Chinese scholars worldwide.     

Publications and Information of the United States Government in an Electronic Age

Abstract

The OMB is making policy decisions regarding information that have far-reaching implications. Its directives instruct agencies to confine their dissemination activities to that information necessary for the transaction of the public business as stipulated in existing statutory law. These directives support a shift in the agencies' emphasis from publishing printed materials to making information available in electronic format. They also give the OMB license to proceed as it so desires.     

区域电子信息产业竞争力评价研究

为了清晰认识中国区域电子信息产业竞争力现状和区域间存在的差距,找出影响区域电子信息产业竞争力的关键要素,提升产业发展水平。以全国2009—2012年统计数据为依据,通过构建区域电子信息产业竞争力评价模型,运用熵值法对全国29个省市的电子信息产业综合竞争力进行了实证分析。结果表明:各区域电子信息产业在创新能力、生产能力、市场实现能力等方面存在一定差距,各省份依据其综合竞争力指数可划分为竞争实力强弱不均的四类地区,各地区内部省份之间电子信息产业发展水平仍存在区域性差异。     

非线性定价有效吗

非线性定价存在于日常生活的方方面面,如阶梯电、水、气价格以及累进税率、通话套餐等。然而,价格信号的复杂性,使得消费者常常并未基于边际价格做出经济决策,关于非线性定价对于需求是否存在抑制的争论亦是此起彼伏。有鉴于此,本文基于Ito（2014）所提模型,利用广东省2010-2013年间各城市阶梯水价在时间维度和横截面维度的变异性以及微观住户月度用水消费数据,对消费者认知价格进行了甄别,并指出既往研究存在的识别问题。实证结果显示,住户当月消费基本是对上月平均价格而非边际价格或者期望边际价格做出反应,弹性约为-0.24。这说明,阶梯水价并未如设计初衷那样,通过跳跃性的价格激励机制降低住户用水需求,而是通过提高平均价格实现了对于住户用水的抑制。本文对于税率设计以及其他能源价格、通信套餐定价也有一定启发意义。     

Pricing of Digital Resources

Abstract

In this interview, Simon Tanner, senior consultant with Higher Education Digitization Services at the University of Hertfordshire in the United Kingdom, discusses the economics and market issues related to pricing of digital resources. Serials Review 2003; 29:121–126.     

A Model for Water Pricing

This note describes a situation in which a simple mathematical model helped solve an important practical problem: how to price water fairly. It is intended as an example, rather than as a mathematical contribution to control theory.     

认股权证定价模型与泡沫度分析

在分析认股权证特性及其影响因素的基础上，同时考虑现金分红和股权稀释效应，运用类似期权定价理论，推导出认股权证的定价模型，并结合实际例子，进行了泡沫度分析。     

实物期权的三叉树定价模型

一、引言在进行风险投资项目决策分析时,由于投资项目预期收益的不确定性,常常需要用到相机权益决策分析即实物期权定价理论。然而尽管实物期权的类种繁多,能够求出精确解析解的却是有限的,人们往往借助于数值处理的方法来解决实物期权定价问题。常用的实物期权数值计算方法是二叉树定价模型[1]。该模型被广泛应用于评价各种风险投资项目,主要的原因是:第一,它将投资项目预期收益连续的变化近似地看作离散的随机游走过程,用完全透明的方式来处理投资项目预期收益和实物期权价值的运动过程,使得投资者很容易掌握该方法;第二,它将风险中性的概…     

融资融券制度与市场定价效率——基于卖空摩擦的视角

我国融资融券制度不同于国外成熟市场的一个重要特征是存在较大的卖空摩擦,但这一卖空摩擦对市场定价效率的影响及其作用机制尚未被研究揭示.本文运用双重差分固定效应模型、处理效应模型和倾向性匹配双重差分模型,研究了融资融券制度中的卖空摩擦对市场定价效率的影响及其内在机制.实证结果表明,融资融券制度中的卖空摩擦抑制了市场参与者对公司特质信息的充分挖掘,促使其过度利用市场或行业信息进行交易,从而延缓了公司特质信息融入股价,加速了市场或行业信息融入股价,最终加剧了股价同涨同跌现象,不利于市场定价效率的提高.本文研究结论为监管部门合理扩大融资融券标的范围、降低交易成本和交易门槛,营造高效的市场环境提供了依据和思路.     

基于Copula-EVT模型的巨灾再保险定价

基于巨灾损失具有厚尾分布的特征,采用POT极值模型分别估计两个保险标的的边缘分布,并用二元Copula函数刻画这两个标的的关联性,同时应用Monte Carlo模拟方法估算巨灾再保险的纯保费。通过对洪水损失数据的实证分析表明:Clayton Copula函数能较好地反映两标的间的相关结构;起赔点的设定是影响纯保费的重要因素,且起赔点按条件分位点取值更优更合理。研究结果对保险人开发多元保险标的的巨灾再保险具有重要的参考价值。     

Derivative Pricing With Wishart Multivariate Stochastic Volatility

This paper deals with the pricing of derivatives written on several underlying assets or factors satisfying a multivariate model with Wishart stochastic volatility matrix. This multivariate stochastic volatility model leads to a closed-form solution for the conditional Laplace transform, and quasi-explicit solutions for derivative prices written on more than one asset or underlying factor. Two examples are presented: (i) a multiasset extension of the stochastic volatility model introduced by Heston (1993), and (ii) a model for credit risk analysis that extends the model of Merton (1974) to a framework with stochastic firm liability, stochastic volatility, and several firms. A bivariate version of the stochastic volatility model is estimated using stock prices and moment conditions derived from the joint unconditional Laplace transform of the stock returns.     

Electronic Social Psychology

Abstract

Unfortunately, it is not possible to comment on how the social psychological community has responded to ESP and its somewhat novel features, because ESP has not yet obtained a large audience. Many social psychologist are interested, but most simply do not have the equipment needed to use ESP. Many have personal computers, but few have modems, and those who do have modes haves not used them much. Further, some have expressed resersvations about the cost of telecommunicating, claiming that traditional means of communication serve the purpose well enough. Cost is a very legitimate concern, as telecommunicating can be expensive, but it is also somewhat short-sighted. (It reminds one of the reaction of some London business men who resisted the telephone because there were plenty of messenger boys in the city.) Computers offer people the chance to communicate and share information in ways that have not been possible before--in ways that can be beneficial to the community of social psychologists. One cannot evaluate telecommunications (or anything) solely in terms of its costs; it should be judged on a cost-benefit bases. While the benefits are somewhat difficult to judge at present, members of the profession will undoubtedly realize them in time. Telecommunications will not only stand the test of cost-benefit evaluation, but pass it with flying colors.     

Pricing and hedging equity-indexed annuities via local risk-minimization

Lin et al. (2009) employed the Esscher transform method to price equity-indexed annuities (EIAs) when the dynamic of the market value of a reference asset was driven by a generalized geometric Brownian motion model with regime-switching. Some rare events (release of an unexpected economic figure, major political changes or even a natural disaster in a major economy) can lead to brusque variations in asset prices, and hence we sometimes need to consider jump models. This paper extends the model and analysis in Lin et al. (2009). Specifically, we assume that the financial market has a regime-switching jump-diffusion model, under which we price the point-to-point, the Asian-end, the high water mark and the annual reset EIAs by exploiting the local risk-minimization approach. The effects of the model parameters on the EIAs pricing are illustrated through numerical experiments. Meanwhile, we present the locally risk-minimizing hedging strategies for EIAs.     

Exact Estimation of Demand Functions under Block-Rate Pricing

This article proposes an exact estimation of demand functions under block-rate pricing by focusing on increasing block-rate pricing. This is the first study that explicitly considers the separability condition which has been ignored in previous literature. Under this pricing structure, the price changes when consumption exceeds a certain threshold and the consumer faces a utility maximization problem subject to a piecewise-linear budget constraint. Solving this maximization problem leads to a statistical model in which model parameters are strongly restricted by the separability condition. In this article, by taking a hierarchical Bayesian approach, we implement a Markov chain Monte Carlo simulation to properly estimate the demand function. We find, however, that the convergence of the distribution of simulated samples to the posterior distribution is slow, requiring an additional scale transformation step for parameters to the Gibbs sampler. These proposed methods are then applied to estimate the Japanese residential water demand function.     

基于混合Copula模型的水稻保险费率厘定

模拟产量风险和价格风险的联合分布是农业收入保险费率厘定的重点和难点。借助核密度估计方法和混合Copula模型研究了水稻产量和价格风险因子的联合分布并厘定了产量、价格和收入三种保险的纯费率。研究表明:(1)与单一Copula函数相比,混合Copula模型更适合拟合多风险因子的联合分布。(2)早稻价格风险导致的收入损失高于产量风险导致的收入损失,中稻和晚稻产量风险导致的收入损失高于价格风险导致的收入损失。(3)由于产量风险和价格风险的对冲,江苏、安徽、江西、河南、贵州和广西具备了在中稻、晚稻主产区试点收入保险的客观条件。(4)在100%的保障水平下,中国水稻产区早稻收入险纯费率为8.60%～12.84%、中稻收入险纯费率为5.89%～12.07%、晚稻收入险纯费率为4.59%～7.94%。     

Pricing longevity-linked derivatives using a stochastic mortality model

Abstract

We propose a 2-factor MBMM model with exponential Lévy process to develop a stochastic mortality process. The two components are fitted by two independent NIG distributions. Compared to Lee–Carter model or 1-factor MBMM model, our mortality model explains more variation and improves the goodness of fit by including the second time component. Based on the improved model, we price three longevity-linked financial instruments, namely the longevity bond, q-forward and s-forward. The pricing is demonstrated on English and Welsh males aged 65 in 2013. Results indicate that the 2-factor MBMM model gives the highest price for mortality-related type of contract.     

国债回购率的定价模型研究

一、引言国债回购是金融衍生市场中一种最常用、最普通的交易品种 ,国债回购交易的不断发展是推动整个国债市场顺利运行的重要手段。同时也是整个资本市场的重要组成部分。国债回购是远期合约交易的方式之一。所谓国债回购交易是指某一投资者在卖出债券的同时 ,约定于某一特定日期再以预先约定的价格将债券购回的合约交易。如果投资者Ａ从投资者Ｂ那里购得一个回购 ,则称投资者Ｂ成交一个“反回购”。在西方国家里 ,利用国债回购市场进行“回购”和“反回购”交易最多的是国债一级自营商、大的商业银行、投资银行、基金管理机构和中央银行 ,…