This paper constructs a stochastic endogenous growth model through introducing h into utility function,which is the symbol oflevel of education.We study the productive and welfare utility problem of human capital and ...This paper constructs a stochastic endogenous growth model through introducing h into utility function,which is the symbol oflevel of education.We study the productive and welfare utility problem of human capital and education. By using stochastic analysis methodsand Poisson process, we analyze the relationship between the model parameters,welfare and increase rate under equilibrium level. More-over we discuss the individuals'welfare,some helpful results are obtained.展开更多
A stochastic economic growth model may be transformed into a deterministic economic growth model with an infiaite dimentional Banach space of state-contingent capital stocks [6]. This paper proves that under the frame...A stochastic economic growth model may be transformed into a deterministic economic growth model with an infiaite dimentional Banach space of state-contingent capital stocks [6]. This paper proves that under the framework, the stochastic analogUes of the asymptotic turnpike theorems in the standard deterministic economic growth model [5] will continue tO hold if we assume that essentially smooth programs satisfy uniformly essentially dominant diagonal condition.展开更多
The main business of Life Insurers is Long Term contractual obligations with a typical lifetime of 20 - 40 years. Therefore, the Solvency metric is defined by the adequacy of capital to service the cash flow requireme...The main business of Life Insurers is Long Term contractual obligations with a typical lifetime of 20 - 40 years. Therefore, the Solvency metric is defined by the adequacy of capital to service the cash flow requirements arising from the said obligations. The main component inducing volatility in Capital is market sensitive Assets, such as Bonds and Equity. Bond and Equity prices in Sri Lanka are highly sensitive to macro-economic elements such as investor sentiment, political stability, policy environment, economic growth, fiscal stimulus, utility environment and in the case of Equity, societal sentiment on certain companies and industries. Therefore, if an entity is to accurately forecast the impact on solvency through asset valuation, the impact of macro-economic variables on asset pricing must be modelled mathematically. This paper explores mathematical, actuarial and statistical concepts such as Brownian motion, Markov Processes, Derivation and Integration as well as Probability theorems such as the Probability Density Function in determining the optimum mathematical model which depicts the accurate relationship between macro-economic variables and asset pricing.展开更多
In this paper, we present the compensated stochastic θ method for stochastic age-dependent delay population systems（SADDPSs） with Poisson jumps. The definition of mean-square stability of the numerical solution is ...In this paper, we present the compensated stochastic θ method for stochastic age-dependent delay population systems（SADDPSs） with Poisson jumps. The definition of mean-square stability of the numerical solution is given and a sufficient condition for mean-square stability of the numerical solution is derived. It is shown that the compensated stochastic θ method inherits stability property of the numerical solutions. Finally,the theoretical results are also confirmed by a numerical experiment.展开更多
文摘This paper constructs a stochastic endogenous growth model through introducing h into utility function,which is the symbol oflevel of education.We study the productive and welfare utility problem of human capital and education. By using stochastic analysis methodsand Poisson process, we analyze the relationship between the model parameters,welfare and increase rate under equilibrium level. More-over we discuss the individuals'welfare,some helpful results are obtained.
文摘A stochastic economic growth model may be transformed into a deterministic economic growth model with an infiaite dimentional Banach space of state-contingent capital stocks [6]. This paper proves that under the framework, the stochastic analogUes of the asymptotic turnpike theorems in the standard deterministic economic growth model [5] will continue tO hold if we assume that essentially smooth programs satisfy uniformly essentially dominant diagonal condition.
文摘The main business of Life Insurers is Long Term contractual obligations with a typical lifetime of 20 - 40 years. Therefore, the Solvency metric is defined by the adequacy of capital to service the cash flow requirements arising from the said obligations. The main component inducing volatility in Capital is market sensitive Assets, such as Bonds and Equity. Bond and Equity prices in Sri Lanka are highly sensitive to macro-economic elements such as investor sentiment, political stability, policy environment, economic growth, fiscal stimulus, utility environment and in the case of Equity, societal sentiment on certain companies and industries. Therefore, if an entity is to accurately forecast the impact on solvency through asset valuation, the impact of macro-economic variables on asset pricing must be modelled mathematically. This paper explores mathematical, actuarial and statistical concepts such as Brownian motion, Markov Processes, Derivation and Integration as well as Probability theorems such as the Probability Density Function in determining the optimum mathematical model which depicts the accurate relationship between macro-economic variables and asset pricing.
基金Supported by Major Innovation Projects for Building First-class Universities in China’s Western Region(No.ZKZD2017009)(China)
文摘In this paper, we present the compensated stochastic θ method for stochastic age-dependent delay population systems（SADDPSs） with Poisson jumps. The definition of mean-square stability of the numerical solution is given and a sufficient condition for mean-square stability of the numerical solution is derived. It is shown that the compensated stochastic θ method inherits stability property of the numerical solutions. Finally,the theoretical results are also confirmed by a numerical experiment.
