Closed-form likelihood estimation for one type of affine point processes

ABSTRACT

This paper presents a closed-form likelihood approximation for one type of affine point processes widely used in financial credit risk models. We proceed by first conjecturing the concrete series form of the transition density, verifying our postulation and then establishing the related coefficients by means of Kolmogorov equations. The asymptotic properties of the maximum-likelihood estimators (MLEs) are given in the end.     

ST公布和ST撤销事件的市场反应研究——来自沪深股市的实证检验

一、引言ST,是英文“Special Treatment”的缩写,中文意思是“特别处理”。ST特别处理,是为了完善退市机制,提高市场透明度并向投资者充分揭示风险,而从1998年起,在中国股市实施的一项特别的制度,这在其他国家的金融市场上是没有的。公司股票被特别处理,俗称“ST戴帽”,被撤销特别处理,俗称“ST摘帽”。根据有效市场学说,市场有效有三种形式:弱式有效、半强式有效和强式有效,它们分别对应历史信息、公告信息和私人信息这三类不同的信息集。ST戴帽和摘帽消息就属于其中的公告信息类。因此,通过对ST公布和ST撤销事件的市场反应进行观察…     

Mean-variance problem for an insurer with default risk under a jump-diffusion risk model

Abstract

This paper considers an optimal investment-reinsurance problem with default risk under the mean-variance criterion. We assume that the insurer is allowed to purchase proportional reinsurance and invest his/her surplus in a risk-free asset, a stock and a defaultable bond. The goal is to maximize the expectation and minimize the variance of the terminal wealth. We first formulate the problem to stochastic linear-quadratic (LQ) control problem with constraints. Then the optimal investment-reinsurance strategies and the corresponding value functions are obtained via the viscosity solutions of Hamilton-Jacobi-Bellman (HJB) equations for the post-default case and pre-default case, respectively. Finally, we provide numerical examples to illustrate the effects of model parameters on the optimal strategies and value functions.     

师范生对教师角色的认同是影响高师心理学课程教学效果的主要因素

师范生对教师角色的认同是影响高师心理学课程教学效果的主要因素如果说高等师范教育不重视对学生进行心理素质训练，那是不公平的。教师的学识结构包括普通文化知识修养，所教专业科学知识修养及教育理论知识修养。高师所设教育理论课程乃是高师培养师范生职业素质，训练...