基于Pareto Optimality的PPP项目三大主参与方效用探讨

在PPP项目的众多参与方中,选取项目发起人、SPC和贷款银行三个最主要的参与方,通过分析项目发起人与SPC、SPC与贷款银行和贷款银行与项目发起人之间的内在联系,在Pareto Optimality理论分析的基础上,得到三者之间两两优势互补的埃奇沃思方框图,并根据瓦尔拉斯均衡理论得出PPP项目能够实现帕累托最优,实现项目效用的最大化,最后拟画出PPP项目三大主参与方的效用可能性曲线。     

Risk Finance for Catastrophe Losses with Pareto‐Calibrated Lévy‐Stable Severities

For catastrophe losses, the conventional risk finance paradigm of enterprise risk management identifies transfer, as opposed to pooling or avoidance, as the preferred solution. However, this analysis does not necessarily account for differences between light‐ and heavy‐tailed characteristics of loss portfolios. Of particular concern are the decreasing benefits of diversification (through pooling) as the tails of severity distributions become heavier. In the present article, we study a loss portfolio characterized by nonstochastic frequency and a class of Lévy‐stable severity distributions calibrated to match the parameters of the Pareto II distribution. We then propose a conservative risk finance paradigm that can be used to prepare the firm for worst‐case scenarios with regard to both (1) the firm's intrinsic sensitivity to risk and (2) the heaviness of the severity's tail.     

作业时间依赖顺序的拆卸线平衡多目标优化

在废旧产品拆卸时无先后关系约束的任务之间可能存在拆卸干扰,使任务作业时间依赖于拆卸顺序,导致产品总作业时间不确定,从而影响拆卸线的平衡。为此,考虑拆卸过程中任务间的相互干扰,以最小化拆卸成本和环境危害为目标,构建作业时间依赖顺序的拆卸线平衡多目标优化模型,并提出一种Pareto人工蜂群算法进行求解,采用混合生成法保证种群质量与多样性,设计变邻域深度搜索策略以提高雇佣蜂局部开采效率,为降低侦察蜂探测的盲目性采用基于外部存档的单点变异算子进行搜索。最后通过算例与实例验证算法的有效性以及平衡任务在拆卸线上分配的重要性。     

经济理想与道德理想

经济发展与道德进步在现实中存在着一些矛盾 ,但从本质上、从发展趋势看 ,二者则是相互依存、相互统一的。作为经济运行理想状态的帕累托佳境蕴涵着深刻的伦理规定 ,也需要健全的道德来维持。现代市场经济和社会发展已展现出经济与道德相互依存、共同发展的美好态势 ,人类经济的发展必将走向义与利、公平与效率、经济发展与人的发展完美统一的自由王国。     

THE HURWITZ ZETA DISTRIBUTION

This paper shows that a normalization of the Hurwitz zeta function is a characteristic function. This generalizes the 1938 result of Khinchine about the Riemann zeta function. The paper investigates the infinite divisibility of the resulting distribution.     

ON CHARACTERIZING DISTRIBUTIONS VIA LINEARITY OF REGRESSION FOR ORDER STATISTICS

Let X₁X_n be a random sample from an absolutely continuous distribution with the corresponding order statistics X_1:n≤X_2:n≤X_n:n. A complete solution of the problem, posed in 1967 by T. Ferguson, of determining the distribution by linearity of regression of X_k+2:n with respect to X_k:n is given. The only possible distributions are of the exponential, power and Pareto type. A linear regression relation for exponents of order statistics is also considered.     

美式认购期权最佳执行时间决策

期权最佳执行时间是一个十分复杂的问题,受到许多随机因素的影响,至今还没有得到很好地解决．本文运用马尔可夫转移概率,讨论了满足齐次性条件的平稳系统中美式认购期权的最佳执行时间决策问题．研究了几种常见概率分布的最佳执行时间集．定理3－6的结论,与期权交易市场的实际情况吻合较好．主要结果可以直接应用到股票、期货交易、工程项目投资决策以及国家重大科技、经济、政治、军事战略决策之中．     

洛伦兹曲线的半参数估计

洛伦兹曲线与基尼系数是研究社会收入分配差异的重要工具.社会收入分配是一个复杂的过程,用尽可能精确的曲线给出洛伦兹曲线的估计进而给出基尼系数的估计,历来是统计学者和经济学者的工作目标.基于将参数方法与非参数方法相结合的思想给出洛伦兹曲线的半参数估计,进而导出基尼系数的估计,并据此进行了实证分析.     

The Distribution of Wealth and Fiscal Policy in Economies With Finitely Lived Agents

We study the dynamics of the distribution of wealth in an overlapping generation economy with finitely lived agents and intergenerational transmission of wealth. Financial markets are incomplete, exposing agents to both labor and capital income risk. We show that the stationary wealth distribution is a Pareto distribution in the right tail and that it is capital income risk, rather than labor income, that drives the properties of the right tail of the wealth distribution. We also study analytically the dependence of the distribution of wealth—of wealth inequality in particular—on various fiscal policy instruments like capital income taxes and estate taxes, and on different degrees of social mobility. We show that capital income and estate taxes can significantly reduce wealth inequality, as do institutions favoring social mobility. Finally, we calibrate the economy to match the Lorenz curve of the wealth distribution of the U.S. economy.     

Statistical regularity of firm size distribution: the Pareto IV and truncated Yule for Italian SCI manufacturing

In this paper we model the firm size distribution (FSD) of Italian manufacturing firms of SCI, the GDP survey of ISTAT, by a continuous and a discrete distribution: the Pareto IV distribution on total assets and the Yule distribution on Number of Employees. The Pareto IV distribution is characterized by four parameters and shows a better fit than both the Lognormal and Pareto I, which are the distributions more frequently applied to model firm size. The Pareto IV is inconsistent with Gibrat’s Law according to which the different segments of an Industry are characterized by proportionate growth and the distribution of size is Lognormal. A truncation of the Yule distribution has been necessary because the dataset is characterized by firms with at least 20 employees. The truncated Yule distribution shows a good fit for medium–large firms (firms with more than 50 employees). The partition of the dataset in innovative and non-innovative firms – both of which are well described by the Pareto IV – reveals a beneficial effect of scale on innovation. Finally, the good fit of both distributions holds not only for the composite industry, but for the single sectors too. The present work is part of a more general research project: “Industry evolution: innovation, profitability and firm’s growth”, conducted within the Department of Economic and Social Sciences of the Università Cattolica del Sacro Cuore (UCSC), Piacenza, coordinated by Professor Maurizio Baussola in cooperation with ISTAT (Italian Statistical Office, regional office for Lombardy). Part of this research was done when Lisa Crosato was a visiting research student at the LSE Statistics Department, during her Ph.D program in “Quantitative Models for Policy Analysis” at the UCSC of Piacenza.