In this paper, we consider a risk model in which two types of individual claims, main claims and by-claims, are defined. Every by-claim is induced by the main claim randomly and may be delayed for one time period with...In this paper, we consider a risk model in which two types of individual claims, main claims and by-claims, are defined. Every by-claim is induced by the main claim randomly and may be delayed for one time period with a certain probability. The dividend policy that certain amount of dividends will be paid as long as the surplus is greater than a constant dividend barrier is also introduced into this delayed claims risk model. By means of the probability generating functions, formulae for the expected present value of total dividend payments prior to ruin are obtained for discrete-type individual claims. Explicit expressions for the corresponding results are derived for K n claim amount distributions. Numerical illustrations are also given.展开更多
Through the Economic-Value-Added(EVA)valuation model,the expected market value of equity can be determined by adding the book value of equity with the present value of expected EVAs under the assumption of constant re...Through the Economic-Value-Added(EVA)valuation model,the expected market value of equity can be determined by adding the book value of equity with the present value of expected EVAs under the assumption of constant required return and constant return on equity.The equation of EVA valuation model has taken its shape under the assumption of constant required return and constant return on equity.However,a large body of empirical evidence indicates that required rate of return never remain constant.The EVA-valuation model formulated under constant required return cannot be implemented under the scenario of changing required return.In this study,we explored whether the EVA valuation model could be implemented under changing required return by making any changes in the model and found that it could be implemented under the scenario of changing required return by replacing the book value of the equity of the existing model with the present value of required earnings or normal market earnings.We further examined whether the explanatory ability of the EVA valuation model under the assumption of changing required return is better than that of the valuation model under the assumption of constant required return.Relative information content analyses were conducted by considering sample of the intrinsic value of equities determined by valuation models and the market value of equities of 69 large-cap,88 mid-cap,and 79 small-cap companies.The results showed that the EVA-based valuation model with changing normal market return outperformed the EVA-based valuation model with constant required return.展开更多
软件项目通常会遇到项目花费超出预算、项目完工日期拖延等问题而导致软件质量下降甚至项目失败,为了提高软件质量、减少项目风险,人们提出了一系列的项目管理方法,实绩价值管理系统EVMS(Earned Value Management System)就是由美国国...软件项目通常会遇到项目花费超出预算、项目完工日期拖延等问题而导致软件质量下降甚至项目失败,为了提高软件质量、减少项目风险,人们提出了一系列的项目管理方法,实绩价值管理系统EVMS(Earned Value Management System)就是由美国国防部和国家标准学会建立的一个项目管理系统。本文介绍了EVMS的作用、历史、概念以及计算方法,最后结合软件过程改进的自底向上模型提出了软件企业应用EVMS管理项目的基本步骤以及组织关系。展开更多
Cyber losses in terms of number of records breached under cyber incidents commonly feature a significant portion of zeros, specific characteristics of mid-range losses and large losses, which make it hard to model the...Cyber losses in terms of number of records breached under cyber incidents commonly feature a significant portion of zeros, specific characteristics of mid-range losses and large losses, which make it hard to model the whole range of the losses using a standard loss distribution. We tackle this modeling problem by proposing a three-component spliced regression model that can simultaneously model zeros, moderate and large losses and consider heterogeneous effects in mixture components. To apply our proposed model to Privacy Right Clearinghouse (PRC) data breach chronology, we segment geographical groups using unsupervised cluster analysis, and utilize a covariate-dependent probability to model zero losses, finite mixture distributions for moderate body and an extreme value distribution for large losses capturing the heavy-tailed nature of the loss data. Parameters and coefficients are estimated using the Expectation-Maximization (EM) algorithm. Combining with our frequency model (generalized linear mixed model) for data breaches, aggregate loss distributions are investigated and applications on cyber insurance pricing and risk management are discussed.展开更多
基金The NSF (11201217) of Chinathe NSF (20132BAB211010) of Jiangxi Province
文摘In this paper, we consider a risk model in which two types of individual claims, main claims and by-claims, are defined. Every by-claim is induced by the main claim randomly and may be delayed for one time period with a certain probability. The dividend policy that certain amount of dividends will be paid as long as the surplus is greater than a constant dividend barrier is also introduced into this delayed claims risk model. By means of the probability generating functions, formulae for the expected present value of total dividend payments prior to ruin are obtained for discrete-type individual claims. Explicit expressions for the corresponding results are derived for K n claim amount distributions. Numerical illustrations are also given.
文摘Through the Economic-Value-Added(EVA)valuation model,the expected market value of equity can be determined by adding the book value of equity with the present value of expected EVAs under the assumption of constant required return and constant return on equity.The equation of EVA valuation model has taken its shape under the assumption of constant required return and constant return on equity.However,a large body of empirical evidence indicates that required rate of return never remain constant.The EVA-valuation model formulated under constant required return cannot be implemented under the scenario of changing required return.In this study,we explored whether the EVA valuation model could be implemented under changing required return by making any changes in the model and found that it could be implemented under the scenario of changing required return by replacing the book value of the equity of the existing model with the present value of required earnings or normal market earnings.We further examined whether the explanatory ability of the EVA valuation model under the assumption of changing required return is better than that of the valuation model under the assumption of constant required return.Relative information content analyses were conducted by considering sample of the intrinsic value of equities determined by valuation models and the market value of equities of 69 large-cap,88 mid-cap,and 79 small-cap companies.The results showed that the EVA-based valuation model with changing normal market return outperformed the EVA-based valuation model with constant required return.
文摘软件项目通常会遇到项目花费超出预算、项目完工日期拖延等问题而导致软件质量下降甚至项目失败,为了提高软件质量、减少项目风险,人们提出了一系列的项目管理方法,实绩价值管理系统EVMS(Earned Value Management System)就是由美国国防部和国家标准学会建立的一个项目管理系统。本文介绍了EVMS的作用、历史、概念以及计算方法,最后结合软件过程改进的自底向上模型提出了软件企业应用EVMS管理项目的基本步骤以及组织关系。
文摘Cyber losses in terms of number of records breached under cyber incidents commonly feature a significant portion of zeros, specific characteristics of mid-range losses and large losses, which make it hard to model the whole range of the losses using a standard loss distribution. We tackle this modeling problem by proposing a three-component spliced regression model that can simultaneously model zeros, moderate and large losses and consider heterogeneous effects in mixture components. To apply our proposed model to Privacy Right Clearinghouse (PRC) data breach chronology, we segment geographical groups using unsupervised cluster analysis, and utilize a covariate-dependent probability to model zero losses, finite mixture distributions for moderate body and an extreme value distribution for large losses capturing the heavy-tailed nature of the loss data. Parameters and coefficients are estimated using the Expectation-Maximization (EM) algorithm. Combining with our frequency model (generalized linear mixed model) for data breaches, aggregate loss distributions are investigated and applications on cyber insurance pricing and risk management are discussed.
