THE OPTIMAL REINSURANCE-INVESTMENT PROBLEM CONSIDERING THE JOINT INTERESTS OF AN INSURER AND A REINSURER UNDER HARA UTILITY

This paper focuses on an optimal reinsurance and investment problem for an insurance corporation which holds the shares of an insurer and a reinsurer.Assume that the insurer can purchase reinsurance from the reinsurer,and that both the insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset which are governed by the Heston model and are distinct from one another.We aim to find the optimal reinsuranceinvestment strategy by maximizing the expected Hyperbolic Absolute Risk Aversion(HARA)utility of the insurance corporation’s terminal wealth,which is the weighted sum of the insurer’s and the reinsurer’s terminal wealth.The Hamilton-Jacobi-Bellman(HJB)equation is first established.However,this equation is non-linear and is difficult to solve directly by any ordinary method found in the existing literature,because the structure of this HJB equation is more complex under HARA utility.In the present paper,the Legendre transform is applied to change this HJB equation into a linear dual one such that the explicit expressions of optimal investment-reinsurance strategies for-1≤ρi≤1 are obtained.We also discuss some special cases in a little bit more detail.Finally,numerical analyses are provided.

Maximum Group Perceived Utility Consensus Models Considering Regret Aversion

In the consensus-reaching process(CRP),the actual utility of decision-makers(DMs)is often influenced by the psychological behavior of regret aversion.However,the influence of regret aversion on DMs’utilities is rarely taken into account in the existing consensus models.The consensus-reaching problem of DMs with regret aversion is explored to maximize their perceived utilities under a limited budget.Firstly,three basic types of perceived utility functions are constructed based on the regret theory to describe the perceived utility of DMs with various preferences.Then,considering the limited budget and individual regret aversion,the maximum perceived utility consensus models based on types of left-skewed,right-skewed,middle-skewed,and heterogeneous utility preferences are proposed to achieve the consensus that maximizes the group perceived utility.After that,an example of land-transfer price negotiation in China is given to illustrate the validity of the proposed models.Finally,the model comparison and the sensitivity analysis are presented to reveal the influence of DMs’regret aversion on the CRP.The results suggest that the DMs’regret aversion will not affect left-skewed and right-skewed groups,but will affect the consensus results of middle-skewed and heterogeneous groups.

Reflections on Improvement of Utility Model System in China

Even since 1985 when the Patent Law was launched in China, the utility model patent has been playing a very important role. Over the two decades, the utility model system has played an active part in encouraging invention-creations, and promoting the progress and development of science and technology.

Optimal Risk Sharing for Maxmin Choquet Expected Utility Model

This article analyzes the Pareto optimal allocations,agreeable trades and agreeable bets under the maxmin Choquet expected utility(MCEU)model.We provide several useful characterizations for Pareto optimal allocations for risk averse agents.We derive the formulation descriptions for non-existence agreeable trades or agreeable bets for risk neutral agents.We build some relationships between ex-ante stage and interim stage on agreeable trades or bets when new information arrives.

CGE model-based analysis of the neutralized hybrid carbon policy and its decomposed effects on economic growth,carbon reduction,and energy utilization costs

The hybrid policy is a flexible policy tool that combines features of carbon trading and carbon taxation.Its economic and environmental effects under China's background are still not studied in detail.Given the exogenous carbon reduction targets,carbon prices,and carbon tax-rates,by computable general equilibrium modeling methods and factor decomposition methods,this article investigates direct and cascaded effects of the hybrid policy on economic growth,energy utilization,and carbon emission on the national level and the sector level,with China's national input-output data-set.Stepwisely,policy scenarios with irrational estimated results are selectively excluded based on comprehensive evaluation among economic,carbon reduction and other policy targets.As a result,against national economic conditions in 2007,the hybrid policy,with a carbon reduction target of -10%,a carbon tax-rate of around $10,and a ceiling carbon price of $40,is highly recommended,because of its significant lower economic loss,lower energy utilization cost,and practical robustness against fluctuation of energy market and carbon market.Furthermore,by decomposition analysis,carbon reduction-related costs are decomposed into a direct part that includes carbon allowance price and carbon tax,and an indirect part as the energy price incremental induced by direct carbon costs.Gross carbon reduction may be decomposed into three parts such as energy intensity,economic scale,and technical progress.And,carbon taxation is the main policy tool that stimulates to improve the energy efficiency.

Design and Optimization of Multiple Interconnected Utility Systems in An Integrated Refining and Petrochemical Complex

In an integrated refining and petrochemical complex,a centralized utility system(CUS)is introduced to integrate the steam demands of production plants.Besides,two sub-utility systems(SUSs)located inside the alkene and refinery plants,respectively,can satisfy the shaft demands.It is difficult to determine the steam production of the CUS because the steam demands of the alkene and refinery plants also depend on the design and operation of the SUSs.To explore the complicated interaction between the CUS and SUSs,we proposed a mixed-integer nonlinear programming(MINLP)model for the design and optimization of multiple interconnected utility systems to minimize the total annualized cost(TAC).An extended superstructure was suggested to contain multiple inter-plant connected steam pipe alternatives between the CUS and SUSs.A more accurate model of the complex steam turbine was proposed.Then the proposed MINLP framework is applied to a new integrated refining and petrochemical complex.Two scenarios are investigated in the case study to explore the effect of steam main temperatures on system configurations and operating parameters.By optimizing the main temperatures,a TAC of$2.7 million can be saved.Judging from the results of the two scenarios,the feasibility and effectiveness of the proposed framework for the design and optimization of multiple interconnected utility systems have been demonstrated.

Simulation study of supercritical carbon dioxide jet fracturing for carbonate geothermal reservoir based on fluid-thermo-mechanical coupling model

Geothermal energy is a kind of renewable,sustainable and clean energy resource.Geothermal energy is abundant in carbonate reservoirs.However,low matrix permeability limits its exploitation.The super-critical carbon dioxide(SC-CO_(2))jet fracturing is expected to efficiently stimulate the carbonate geothermal reservoirs and achieve the storage of CO_(2) simultaneously.In this paper,we established a transient seepage and fluid-thermo-mechanical coupled model to analyze the impact performance of sc-CO_(2) jet fracturing.The mesh-based parallel code coupling interface was employed to couple the fluid and solid domains by exchanging the data through the mesh interface.The physical properties change of sC-CO_(2) with temperature were considered in the numerical model.Results showed that SC-CO_(2) jet frac-turing is superior to water-jet fracturing with respect to jetting velocity,particle trajectory and pene-trability.Besides,stress distribution on the carbonate rock showed that the tensile and shear failure would more easily occur by SC-CO_(2) jet than that by water jet.Moreover,pressure and temperature control the jet field and seepage field of sC-CO_(2) simultaneously.Increasing the jet temperature can effectively enhance the impingement effect and seepage process by decreasing the viscosity and density of SC-CO_(2).The key findings are expected to provide a theoretical basis and design reference for applying SC-CO_(2) jet fracturing in carbonate geothermal reservoirs.

Predictive Modeling of Gas Production, Utilization and Flaring in Nigeria using TSRM and TSNN: A Comparative Approach

Since the discovery of oil and gas in Nigeria in 1956, much gas has been flared because the operators pay little or no concern to its utilization, and as such, trillions of dollars have been lost. In this paper, a model is proposed using Time Series Regression Model (TSRM) and Time Series Neural Network (TSNN) to model the production, utilization and flaring of natural gas in Nigeria with the ultimate aim of observing the trend of each activity. The results show that TSNN has better predictive and forecasting capabilities compared to TSRN. It is also observed that the higher the hidden neurons, the lower the error generated by the TSNN.

Integration of Digital Technologies into Underground Utility Asset Management

Installation, detection, maintenance, mapping, and management of underground utility assets present challenges to owners, engineers and contractors. Industry-wide practices include the use of geophysical and similar technologies to determine depth and location, and 2D as-built plans integrated with GIS databases for information management. The feasibility of incorporating 3D BIM models of the subsurface to replace the 2D plans to improve visualization and data management is examined in this paper. Obtaining an accurate image of the underground infrastructure would help minimize excavation accidents due to equipment-utility collisions and prevent property damage. Further, the inclusion of automated data collection and sharing features realized through BIM technology can enhance operations of smart cities. The research methodology consists of a state-of-the-art review of the current underground utility management systems, combined with statistical analysis of survey responses received from utility providers and one-call centers in the U.S. Three categories of utility practices are identified based on the level of digital technology integration. It is found that a vast majority of utility firms have adopted GIS databases with 2D plans, depth and other asset information, while a smaller percentage of providers have achieved full GIS-BIM integration, incorporating a wide range of asset data. Future progress on broader implementation appears to be constrained by the digital literacy of personnel and high costs of technology acquisition and application. A three-step framework for converting 2D plans to 3D BIM models is also presented and discussed. The process model proposed for this purpose allows the utilization of commercially available software with minimal need for additional coding.

New Utilization Model of Karst Rocky Desertified Land in Southwest China:Ecological Planting of Dendrobium officinale Kimura et Migo on Bare Rocky Mountains

The Yunnan-Guangxi-Guizhou rocky desertified area in southwestern China is one of the contiguous extremely poor areas identified in the Outline of Poverty Alleviation and Development in the Rural Areas of China(2011-2020).In rocky desertified areas,due to long-term severe soil erosion,large areas of bedrock are exposed or gravels are accumulated.This bare rock and gravel-mulched land has become the main land type in the rocky mountains.Under normal circumstances,it cannot be directly used for agriculture,forestry,animal husbandry,and fishery production,and is classified as land that is difficult to be utilized.In recent years,in Debao County,Baise City,Guangxi Zhuang Autonomous Region,as a deeply impoverished county in the Yunnan-Guangxi-Guizhou rocky desertified area,a new land use model of karst rocky desertified land,that is,planting Dendrobium officinale Kimura et Migo on bare rocky ground,has emerged,and certain poverty alleviation benefits have been achieved initially.In this article,on the basis of analyzing the suitability of planting D.officinale Kimura et Migo on karst rocky desertified land,the practice of planning D.officinale Kimura et Migo on the rocky desertified land in Debao County was elucidated,and then suggestions for reasonable promotion of ecological planting of D.officinale Kimura et Migo in karst rocky desertified areas were put forward.

Follow the nevus: the cost-utility of monitoring for growth of choroidal nevi

AIM: To develop a model to evaluate the cost-utility of choroidal nevi monitoring recommendations with varying clinical risk factors.METHODS: A Markov model was created to evaluate the cost-utility in cost per quality-adjusted life-year($/QALY) for monitoring patients with choroidal nevus. This probabilistic model was applied both to a hypothetically monitored and unmonitored group of patients beginning at different ages and with varying clinical risk factors of the nevus. Duration of screening was modeled for the remainder of the patients’ life expectancy. Best available clinical data on the prevalence and incidence of choroidal nevi/melanoma, and relative risk of nevus transformation were combined with the initial and downstream costs of screening, downstream costs of melanoma-related mortality, and QALY saved by monitoring, to estimate the best monitoring regimen. Main outcome measures were average $/QALY saved by consensus recommended monitoring scenarios for the duration of a patient’s remaining life expectancy in comparison with no follow-up, and the cost-utility of modified regimens. RESULTS: The $/QALY of the recommended monitoring scenarios varied substantially based on nevus clinical risk factors, patient age, frequency of follow-up, and objective testing utilized. The $/QALY for the recommended monitoring scenario of a flat nevus without risk factors in a 60-yearold patient was $77 180. The $/QALY for monitoring a nevus with 3 clinical risk factors in a 60-year-old patient was $85 393. The $/QALY values for differently-aged patients were larger, and intermediate degrees of risk factors for nevus growth varied, depending largely upon the specifics of the modeled monitoring scenarios.CONCLUSION: The average $/QALY of currently recommended monitoring scenarios fall within economically acceptable standards and could provide insight for formulating appropriate clinical strategies. Cost-utility could be enhanced by targeting higher risk groups and considering less frequent monitoring for the lower risk groups.

Economic principles and fundamental model of the sustainable utilization of ecological resources

By analyzing the basic rules and measurement principles of the sustainable utilization of ecological resources and constructing its mathematical model, this paper points out that the sustainable utilization of ecological resources is in nature to use the double-period model thousands of times for the dynamic distribution of ecological resources effectively. And it points out that in order to realize the sustainable utilization of ecological resources we must follow the basic principle - non-decreasing ecological capital and put forward corresponding standards, measures, policies and proposals.

Optimal Quota-Share and Excess-of-Loss Reinsurance and Investment with Heston’s Stochastic Volatility Model

An optimal quota-share and excess-of-loss reinsurance and investment problem is studied for an insurer who is allowed to invest in a risk-free asset and a risky asset.Especially the price process of the risky asset is governed by Heston's stochastic volatility(SV)model.With the objective of maximizing the expected index utility of the terminal wealth of the insurance company,by using the classical tools of stochastic optimal control,the explicit expressions for optimal strategies and optimal value functions are derived.An interesting conclusion is found that it is better to buy one reinsurance than two under the assumption of this paper.Moreover,some numerical simulations and sensitivity analysis are provided.

Cost-Utility Analysis of Nivolumab plus Chemotherapy in the First-Line Treatment of Upper Gastrointestinal Adenocarcinoma

Objective: To evaluate the cost-utility of nivolumab plus chemotherapy compared with chemotherapy alone as the first-line treatment for advanced gastric, gastro-oesophageal junction, and esophageal adenocarcinoma in China. Methods: Based on CheckMate649, a partitioned survival model was carried out with a circulation cycle of 6 weeks to simulate the patient’s lifetime. Sensitivity analysis were adopted to verify the robustness of the results. Results: The results of the base-case analysis showed that both the total cost and utility of the nivolumab group were higher, and the ICUR value was CNY 267498.67/QALY, more than 3 times the GDP per capita of China in 2020. The results of deterministic sensitivity analysis indicated that the three most influential factors were the utility value of PFS state, the cost of nivolumab and the discount rate. The results of probabilistic sensitivity analysis were consistent with those of base-case analysis, proving that the results were robust. The scenario analysis illustrated that economical price of nivolumab was CNY 3652.71. Conclusions: Under the willing-to-pay threshold of three times the GDP per capita of China in 2020, compared with chemotherapy alone, nivolumab plus chemotherapy is not a cost-effective option in China.

数字经济、绿色创新与企业绿色全要素生产率

文章从绿色创新视角切入,以2011—2022年中国沪深A股重污染行业上市公司为样本,实证考察了城市数字经济对重污染企业绿色全要素生产率的影响效应和内在机制。研究发现:数字经济对重污染企业绿色全要素生产率具有显著的提升作用,且对国有性质和中小城市的重污染企业的促进作用更强;绿色创新是数字经济驱动重污染企业绿色生产的重要传导机制,但仅绿色发明专利申请量有中介效应,增加绿色实用新型专利不是数字经济提升重污染企业绿色全要素生产率的有效途径;数字经济对重污染企业绿色全要素生产率的推动作用表现出边际效应递增的非线性特征,且两者之间的关系存在绿色创新的门槛约束,随着绿色发明专利和绿色实用新型专利申请量的增加,数字经济对重污染企业绿色全要素生产率的促进作用分别表现出效应增强和效应减弱的非线性特征。

按病种分类的疾病诊疗难度测度及应用研究

本研究首次界定了按病种分类的疾病诊疗难度的内涵,运用按病种的疾病发生概率、平均总费用与治愈好转率对病种诊疗难度系数进行测算。采用七县(市)区2017年新农合医保报销数据计算住院病种诊疗难度系数,并绘制“病例数—诊疗难度系数”分布图与拟合曲线,结果符合病种发生的实际状况。对其中两个样本县分别计算相同病种的诊疗难度系数,并进行配对资料秩和检验,计算结果不存在显著差异(P=0.73),提示该算法结果稳健,能够较好地描绘病种的发生与分布规律。测度结果能够用于明确医疗机构病种诊疗范围,刻画医疗服务供给与需求行为,但也存在较为依赖样本量、权重确定较为主观等问题。

考虑柔性负荷整形的含源配电线路升级与开关配置综合优化

针对高比例分布式光伏接入造成配电线路重过载的问题,提出一种基于时序互补线路互联和柔性负荷整形的配电线路升级与开关配置综合优化方法。考虑柔性负荷功率调节意愿、线路负载率与功率反送约束,提出柔性负荷整形潜力和线路分段整形需求计算方法。以此为基础,建立了考虑柔性负荷整形的含源配电线路升级与开关配置综合优化双层模型。其中,上层模型以配电线路年规划成本最低、线路段净负荷功率和柔性资源均衡为目标进行线路选型和开关配置,下层模型以线路年运行成本最低为目标进行网络重构和负荷曲线整形,通过上、下层模型交互迭代获得互联线路改造优化方案。上、下层模型分别采用非支配排序遗传算法、二阶锥与大M法进行求解。算例仿真结果表明,所提方法可以提高互联线路资产利用率、规划方案的经济性和可靠性,对互联线路进行柔性负荷整形有利于突破线路负载率50%的限制。

堰塞坝开发利用综合评价方法与应用

现阶段堰塞坝开发利用工程设计建设大多沿用传统土石坝相关技术理论,应急抢险、风险分析及开发利用可行性分析完成后,缺少针对堰塞坝开发利用效果的定量评价方法。通过分析社会及生态、供水灌溉、发电功能及投资回报等堰塞坝开发利用需求,建立堰塞坝开发利用综合评价指标体系和多级模糊综合评价模型,引入云模型改进的层次分析法确定各指标权重,结合构建的隶属度函数确定各指标隶属度,并以红石岩、唐家山、白格、舟曲泥石流堰塞坝为典型案例,综合评价国内典型堰塞坝开发利用效果。结果表明:堰塞坝开发利用综合评价体系满足需求效果及收益最大化的评价要求,改进的多级模糊综合评价模型较好地解决了评价指标随机性、离散性等问题;综合评价结果与工程实际情况基本相符,评价体系及模型具有较好的适用性。研究成果可为堰塞坝开发利用综合评价提供理论参考和实践依据。

氟替美维吸入粉雾剂治疗慢性阻塞性肺疾病的药物经济学评价

目的从我国卫生体系角度出发,评价氟替美维吸入粉雾剂治疗有急性加重风险的症状性慢性阻塞性肺疾病患者的经济性。方法基于IMPACT研究中国亚组数据构建4个健康状态的Markov模型,循环周期设定为3个月,模型模拟期限11年,通过已发表文献获得临床疗效、健康收益及成本数据。健康产出指标为质量调整生命年(QALY),以3倍我国2023年人均国内生产总值(GDP)为意愿支付阈值,采用成本-效用分析法评价氟替美维的经济性,并采用情境分析、单因素敏感性分析和概率敏感性分析验证结果稳健性。结果与糠酸氟替卡松维兰特罗相比,氟替美维治疗有急性加重风险的症状性慢性阻塞性肺疾病患者可节省成本8118.66元,同时可以增加0.00006 QALYs,氟替美维具有经济学优势。与乌美溴铵维兰特罗相比,氟替美维治疗多支付了2784.41元,且少获得0.00045 QALYs,乌美溴铵维兰特罗更具经济性。情境分析结果进一步确定了模型的稳健性。敏感性分析结果显示,当氟替美维每周期药品成本下降至637.29元时,在3倍我国2023年人均GDP的意愿支付阈值下,氟替美维具有经济学效益。结论对于有急性加重风险的症状性慢性阻塞性肺疾病患者,氟替美维较糠酸氟替卡松维兰特罗更具经济性;而与乌美溴铵维兰特罗相比,氟替美维在适当降价后具有经济性。

投保人高损失区间存在净损失约束的最优保险设计

在不完全保险情形下,投保人通常期望出险后能够获得保险公司足够的赔偿而将自己的实际损失控制在一定的范围内。为了满足这类投保人的需求,本文引入了投保人的净损失约束,研究在该约束下投保人的最优保险问题。研究表明:如果Arrow模型的解满足该约束,本模型的解与Arrow模型解一致,最优保单是有且仅有一个免赔额的部分保险契约,否则最优保单将存在两个免赔额。投保人效用最优时,本模型在应对高损时所提供的赔付水平始终不低于Arrow模型,而本模型在应对低损时对于IARA(DARA/CARA)型投保人所提供的赔付水平依次要低于(高于/等于)Arrow模型。此外,投保人的期望效用将随着其净损失上限的提高而逐渐增大,直到Arrow模型的解满足该约束时其效用达到最大。