Artificial Intelligence-Based Automated Actuarial Pricing and Underwriting Model for the General Insurance Sector

The Automated Actuarial Pricing and Underwriting Model has been enhanced and expanded through the implementation of Artificial Intelligence to automate three distinct actuarial functions: loss reserving, pricing, and underwriting. This model utilizes data analytics based on Artificial Intelligence to merge microfinance and car insurance services. Introducing and applying a no-claims bonus rate system, comprising base rates, variable rates, and final rates, to three key policyholder categories significantly reduces the occurrence and impact of claims while encouraging increased premium payments. We have enhanced frequency-severity models with eight machine learning algorithms and adjusted the Automated Actuarial Pricing and Underwriting Model for inflation, resulting in outstanding performance. Among the machine learning models utilized, the Random Forest (RANGER) achieved the highest Total Aggregate Comprehensive Automated Actuarial Loss Reserve Risk Pricing Balance (ACAALRRPB), establishing itself as the preferred model for developing Automated Actuarial Underwriting models tailored to specific policyholder categories.

Carbon emission trading system and stock price crash risk of heavily polluting listed companies in China:based on analyst coverage mechanism

This study reveals the inconsistencies between the negative externalities of carbon emissions and the recognition condition of accounting statements.Hence,the study identifies that heavily polluting enterprises in China have severe off-balance sheet carbon reduction risks before implementing the carbon emission trading system(CETS).Through the staggered difference-in-difference(DID)model and the propen-sity score matching-DID model,the impact of CETS on reducing the risk of stock price crashes is examined using data from China’s A-share heavily polluting listed companies from 2007 to 2019.The results of this study are as follows:(1)CETS can significantly reduce the risk of stock price crashes for heavily polluting companies in the pilot areas.Specifically,CETS reduces the skewness(negative conditional skewness)and down-to-up volatility of the firm-specific weekly returns by 8.7%and 7.6%,respectively.(2)Heterogeneity analysis further shows that the impacts of CETS on the risk of stock price crashes are more significant for heavily polluting enterprises with the bear market condition,short-sighted management,and intensive air pollution.(3)Mechanism tests show that CETS can reduce analysts’coverage of heavy polluters,reducing the risk of stock price crashes.This study reveals the role of CETS from the stock price crash risk perspective and helps to clarify the relationship between climatic risk and corporate financial risk.

Investor Attention,Analyst Optimism,and Stock Price Crash Risk

This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst optimism,and stock price crash risk.The results indicated that investor attention aggravates the stock price crash risk and has a positive effect on analyst optimism.Meanwhile,the analyst optimism plays a mediating role in the positive correlation between investor attention and stock price crash risk.In addition to that,institutional investor attention also has direct and indirect effects on the crash risk.

Corporate pledgeable asset ownership and stock price crash risk

We investigate how a firm’s corporate pledgeable asset ownership(CPAO)affects the risk of future stock price crashes.Using pledgeable asset ownership and crash risk data for a large sample of U.S.firms,we provide novel empirical evidence that a firm’s risk of a future stock price crash decreases with an increase in its pledgeable assets.Our main findings are valid after conducting various robustness tests.Further channel tests reveal that firms with pledgeable assets increase their collateral value,thereby enhancing corporate transparency and limiting bad news hoarding,resulting in lower stock price crash risk.Overall,the results show that having more pledgeable assets enables easier access to external financing,making it less likely that managers will hoard bad news.

Research on Agricultural Product Price Risk and Risk Management

There are a variety of reasons for agricultural product price risk,and drastic volatility in agricultural product price can give a tremendous negative impact on agriculture and even whole society. The paper argues that the agricultural product price risks include( i) price risk caused by decrease in yield and quality of agricultural products due to natural disasters;( ii) price risk caused by actual change of the market supply and demand;( iii) price fluctuation risk caused by the change of the price of the related products;( iv) sharp price volatility risk caused by market speculation;( v) risk caused by periodic property of agricultural products and lack of elasticity of agricultural demand;( vi)risk caused by lack of government management. Agricultural product price risk poses great harm to farmers,small and medium-sized agricultural operators and general consumers. This paper brings forward the specific recommendations for solving agricultural product price risk.

Rapid Price Hike and Tumble of Cocoon Risks in Chinese Silk Industry

Back to 1994, a transient price hike of cocoon silk eventually led to a predicament for Chinese silk industry in the following years. A decade later, is that slump going to happen again?

药品价格指数的构建与应用

目的基于药品零售价格大数据构建药品价格指数,描述其波动特征,发挥其药品价格宏观监管作用,促进药品价格保持合理水平。方法运用链式拉氏指数构建原理建立药品价格指数模型,运用时间序列模型描述指数波动特征,识别并分析药品价格波动异常状况。结果2015年1月—2020年12月,药品价格总指数小幅上涨,累计涨幅为14.43%,年均涨幅约2.40%,市场化改革成效较为显著。通过基于局部加权回归的季节趋势分解(seasonal-trend decomposition using loess,STL)方法对获得的药品价格总指数时间序列进行分析,指数呈长期平缓上升趋势,不规则波动值为-1.41~2.03,说明药品价格受外因影响较小,周期性特征仍有待进一步研究。2015年1月—2020年12月,根据药品价格指数共监测到价格异常风险32次。结论药品价格指数较全面地反映药品价格走势,对于药品价格异常波动具有一定的预警作用,能够为我国药品价格监管提供有效工具。

A Tale of Two“Skewness”:Managerial Epidemic Experience,Probability Weighting and Financial Market Stability

Under probability weighting,entrepreneurs with skewness preference tend to seek rightskewed and avoid left-skewed risks.We show that Chinese firms managed by CEOs with professional epidemic experience,i.e.,who previously experienced the outbreak of SARS during their tenure as high level executives,have a lower stock price crash risk measured by the negative skewness of stock prices in subsequent periods.In particular,those firms intentionally avoid stock price crashes by adopting more conservative strategies in decisionmaking.Overall,we provide the first evidence on the unintended effect of entrepreneurs'subjective judgments of the probabilities of disease outbreaks on financial market stability.These have long-term implications for the financial system.

Using electricity options to hedge against financial risks of power producers

As a consequence of competition in electricity markets,a wide variety of financial derivatives have emerged to allow market agents to hedge against risks.Electricity options and forward contracts constitute adequate instruments to manage the financial risks pertaining to price volatility or unexpected unit failures faced by power producers.A multi-stage stochastic model is described in this tutorial paper to determine the optimal forward and option contracting decisions for a risk-averse power producer.The key features of electricity options to reduce both price and availability risks are illustrated by using two examples.

Research on the influence of equity pledge on stock price crash risk:based on financial shock of 2015 stock market crisis

The 2015 Chinese stock market crisis triggered liquidation because of equity pledge so that the leverage effect of the small probability event with severe results got intensive attention from investors.It is found that the effects of equity pledge on stock price crash risk reversed significantly before and after the 2015 stock market crisis.In the mechanism analysis,we further find that the equity pledge influenced the stock price crash risk by longer suspension and greater price fluctuation.The shareholding ratio of institutional investors and information environment also had a significant moderating effect on the influence of equity pledge on stock price crash risk.Alternative interpretation tests excluded the tunnel effect and pressure effect by shareholders and incentive effect by management.This study by analysing empirical data provides evidence on the change of investors’risk recognition,which is caused by financial shock,in the Chinese capital market.

Does a national industrial policy promote financial market stability?A study based on stock price crash risk

Whether the implementation of a national industrial policy can maintain stability in the financial market is a question of theoretical and practical significance. Using data from China’s non-financial listed firms from 2007 to 2020,we find that a national industrial policy lowers stock price crash risk. We find that the effect of an industrial policy on lowering stock price crash risk is more pronounced in regions with low levels of regional marketization and if firms have high external uncertainty, low total asset turnover, greater earnings management and receive small increments of long-term loans and fewer government subsidies, suggesting that industrial policies lower stock price crash risk by improving firm fundamentals and reducing external uncertainty,agency costs and information asymmetry.

Institutional environment and risk of a stock price crash:evidence from China

Stock price crashes damage China’s macro-financial stability,restrict economic growth,and can lead to huge losses in wealth for investors.Therefore,how to reduce the risk for stock price crashes is an important theoretical and practical issue.This paper mainly studies the effects of the institutional environment that creates risks for stock price crashes.Using China’s non-financial A-share listed companies from 1997 to 2012 as an example,this paper finds that the lower the level of government intervention is,the better the legal environment is,the faster the market process in business area is,then the lower the risks for stock price crashes will be.To solve the endogenous problem between the institutional environment and the risk of a stock price crash,this paper uses the number of seaports and whether the commercial ports or leased territories are opened after the first Opium War in Qing Dynasty as instrumental variables of the institutional environment.We find that the above conclusion is still valid with the method of 2SLS regression.Furthermore,this paper also finds that the government intervention index,the legal environment index,and the market index are negatively related to stock price synchronicity to a significant degree.These conclusions illustrate that the institutional environment is an important factor in the healthy and stable development of the capital market,which has important implications for policy markers or regulators to develop policies to promote the stable development of the stock market,to control market risk of listed companies,and to make investment decisions.

The potential harms of goodwill impairment avoidance: Evidence based on future performance and stock prices

The rapidly increasing volume of goodwill assets in the capital market generates potential risks due to the possibility of an untimely recognition of goodwill impairment.In this paper,we investigate the financial consequences of goodwill impairment avoidance based on firms’future performance and stock prices.Using Chinese A-share listed firms with goodwill balances,we find that avoiding goodwill impairments negatively affects a firm’s performance growth and increases its risk of a future stock price crash.These adverse effects continue for the three years following the goodwill impairment avoidance.Our results indicate that goodwill impairment avoidance has detrimental impacts on a firm’s future performance and stock price and that these impacts are persistent.Our conclusions are helpful for regulators on how to prevent the risks hidden in goodwill impairment recognition and maintain the stable development of the financial market.