Applications of the Aversion Order of Risks in Reinsurance

The aversion order is a way of ordering of risks. Is there the optimal in aversion order in reinsurance contracts of reinsurance？ This paper discusses these objects and gives some optimal reinsurance contracts in certain sets of feasible reinsurance contracts.

Value-at-risk under ambiguity aversion

This study explored the effects of ambiguity on the calculation of Value-at-Risk(VaR)using a mathematical model based on the theory of Choquet-Brownian processes.It was found that while a moderate degree of ambiguity aversion yields a higher value for VaR and Expected Shortfall(ES),the result can be reversed in a deeply ambiguous environment.Additionally,some sufficient conditions are provided for the preservation of this effect under various forms of risk aggregation.This study offers a new perspective to full awareness on capital requirement calculation as requested by international regulation.

Some Likelihood Based Properties in Large Samples: Utility and Risk Aversion, Second Order Prior Selection and Posterior Density Stability

The likelihood function plays a central role in statistical analysis in relation to information, from both frequentist and Bayesian perspectives. In large samples several new properties of the likelihood in relation to information are developed here. The Arrow-Pratt absolute risk aversion measure is shown to be related to the Cramer-Rao Information bound. The derivative of the log-likelihood function is seen to provide a measure of information related stability for the Bayesian posterior density. As well, information similar prior densities can be defined reflecting the central role of likelihood in the Bayes learning paradigm.

The risk aversion measures in Architectural Engineering Project Management

With the continuous development of the construction industry, the scale and volume of the construction project is expanding. And the project management of the construction project still has the big risk problem which influenced by many factors. These risks will not only bring unnecessary interference to the construction of the project, but also may jeopardize the safety of people＇s life and property. It is the focus of this article to do a good job in risk aversion in the management of construction projects.

Systematic Reform and Risk Aversion in the Interregional Flow of Chinese Rural Labor Force --Wuhan Case Study

Based on Wuhan city investigation, this paper makes a positive analysis to the uncertainty of shifting rural labors to urban areas, and put forward thoughts and countermeasures to avert the risk of the interregional flow of rural labors.

Time-varying impact of political risk on copper prices

Using the International Country Risk Guide(ICRG)index to represent countries’political risk,the time-varying effect of political risk on copper prices was examined based on the time-varying parameter structural vector autoregression with stochastic volatility(TVP-SVAR-SV)model.The empirical results show that the impact of political risk on copper prices is time-varying and has tended to increase gradually in recent years.There are significant country-level differences in the impact of political risk on copper prices.Political risk has a stronger and longer-lasting impact on copper prices in exporting countries.In terms of risk sources,external and internal conflicts contribute most to international copper price fluctuations in the sample period.The impact of political risk on copper prices reaches an extreme level during the international financial crisis,the European debt crisis,and the election of Donald Trump.

Uncertainty aversion and farmers' innovative seed adoption:Evidence from a field experiment in rural China

Based on the microdata of 705 wheat farmers in the Loess Plateau, this study empirically analyzes the impact of uncertainty on farmers' adoption of innovative seeds using a field experiment. The results indicate that farmers are generally ambiguity-averse and risk-averse. In addition, farmers with higher ambiguity aversion and risk aversion are less likely to adopt innovative wheat seeds, where their risk aversion plays a dominant role. Enhancing information access will alleviate the negative influence of ambiguity aversion on farmers' adoption of innovative seeds, and interlinked insurance and credit contracts will be beneficial to ease the adverse effect of risk aversion on the adoption of innovative wheat seeds. Meanwhile, heterogeneity analysis reveals that the inhibitory effects of ambiguity aversion and risk aversion on innovative seed adoption are more significant among farmers with lower education and household income.The government can establish both ex-ante and ex-post relevant guarantee mechanisms to help farmers preferably cope with various uncertainties in the production process, remitting farmers' ambiguity aversion and risk aversion to enhance new agricultural technology adoption rates.

Optimal Portfolio Selection of Wind Power Plants Using a Stochastic Risk-Averse Optimization Model, Considering the Wind Complementarity of the Sites and a Budget Constraint

This work focuses on the best financial resources allocation to define a wind power plant portfolio, considering a set of feasible sites. To accomplish the problem formulation and solution, the first step was to establish a long-term wind series reconstruction methodology for generating scenarios of wind energy, applying it to study five different locations of the Brazilian territory. Secondly, a risk-averse stochastic optimization model was implemented and used to define the optimal wind power plant selection that maximizes the portfolio financial results, considering an investment budget constraint. In a sequence, a case study was developed to illustrate a practical situation of applying the methodology to the portfolio selection problem, considering five wind power plants options. The case study was supported by the proposed optimization model, using the scenarios of generation created by the reconstruction methodology. The obtained results show the model performance in terms of defining the best financial resources allocation considering the effect of the complementarity between sites, making it feasible to select the optimal set of wind power plants, characterizing a wind plant optimal portfolio that takes into account the budget constraint. The adopted methodology makes it possible to realize that the diversification of the portfolio depends on the investor risk aversion. Although applied to the Brazilian case, this model can be customized to solve a similar problem worldwide.

存货质押融资中考虑银行Downside-risk的回购契约设计

本文研究供应链金融中存货质押融资模式下回购契约的设计问题,即在需求不确定和银行下侧风险(Downside-risk)规避的前提下,通过对契约合同中变量范围的控制实现供应链的协调。文中首先给出了考虑银行利息与风险规避在内的供应链契约模型,然后分别分析了银行下侧风险控制模型下供应商的促销成本分担比例的下限值和在不减少供应商期望收益原则下该比例的上限值,最终得出该下限值由银行下侧风险控制指标和质押量共同决定,而当销售商的订购量越多时,供应商愿意接受的努力成本分担比例上限值也越大,并给出相应的上下限值。

Analysis of Conditional Value-at-Risk for Newsvendor with Holding and Backorder Cost under Market Search

We consider a distribution system with one supplier and two retailers. For the two retailers, they face different demand and are both risk averse. We study a single period model which the supplier has ample goods and the retailers order goods separately. Market search is measured as the fraction of customers who unsatisfied with their ＂local＂ retailer due to stock-out, and search for the goods at the other retailer before leaving the system. We investigate how the retailers game for order quantity in a Conditional Value-at-Risk framework and study how risk averse degree, market search level, holding cost and backorder cost influence the optimal order strategies. Furthermore, we use uniform distribution to illustrate these results and obtain Nash equilibrium of order strategies.

Financial Innovation Way of Avoiding Risk of Climate Disasters in Food Production:Weather Index Insurance

Climate change will lead to a variety of climate disasters, and climate disasters have a greater impact on China＇s food production. Weather index insurance is a new financial way to avoid risk of climate disasters effectively in China＇s food production. Firstly, the relationship between weather index insurance and food production in China was elaborated, and then the development status, advantages and disadvantages of weather index insurance in China at present were analyzed. Finally, some countermeasures against the problems of weather index insurance in China were put forward.

UTILITY BASIS OF CONSUMPTION AND INVESTMENT DECISIONS IN A RISK ENVIRONMENT

Using expectations regarding utilities to make decisions in a risk environment hides a paradox,which is called the expected utility enigma.Moreover,the mystery has not been solved yet;an imagined utility function on the risk-return plane has been applied to establish the mean-variance model,but this hypothetical utility function not only lacks foundation,it also holds an internal contradiction.This paper studies these basic problems.Through risk preference VNM condition is proposed to solve the expected utility enigma.How can a utility function satisfy the VNM condition?This is a basic problem that is hard to deal with.Fortunately,it is found in this paper that the VNM utility function can have some concrete forms when individuals have constant relative risk aversion.Furthermore,in order to explore the basis of mean-variance utility,an MV function is founded that is based on the VNM utility function and rooted in underlying investment activities.It is shown that the MV function is just the investor's utility function on the risk-return plane and that it has normal properties.Finally,the MV function is used to analyze the laws of investment activities in a systematic risk environment.In doing so,a tool,TRR,is used to measure risk aversion tendencies and to weigh risk and return.

Review of Equity Risk Premium Puzzle

This paper comprehensively reviews the mainly famous and important literature about equity risk premium(ERP)puzzle.From the long term perspective,most markets show the equity yields surprisingly high return,and the discrepancy between the return of equity and risk free rate cannot be explained by any classical equilibrium models.The paper is divided into five parts.The first three parts review vast literature about the discovery and development of ERP puzzle.Most literature conducted on the development of quantitative model and qualitative theories briefly point out their failures of explaining ERP puzzle.The fourthpart shows the empirical studies about ERP puzzle among international countries and the robustness of testing methods.The last partis the brief conclusion of the paper and the prospectsof ERP puzzle.

On a Certain Method of Rejecting Games With Too Much Risk and Not Enough Expected Gain

Many important economic decisions involve an element of risk.Risk aversion is a concept in economics,game theory,finance,and psychology related to the behavior of consumers,players,and investors under uncertainty.Loss aversion is an important component of a phenomenon that has been widely discussed in recent years.It refers to a tendency to feel the pain of a loss more acutely than the pleasure of an equal-sized gain.Many scientists have analyzed the problem of profitability in games.Some authors presented certain features which characterize“safe”games played once.Kahneman and Tversky(1991)showed that the ratio of loss aversion to gain attraction should amount to 1:2.The aim of this paper is to show an asymptotically efficient strategy which enables the risk-averse player to establish boundary variables of loss and gain at each stage of a repeated game.

Risk Seeking Behavior in Anticipation to Volatility Mean Reversal:A Case Study Using Bitcoin and SKEW

The traditional finance approach to decision analysis,based on neo-classical economics,assumes self-interested,utility maximizing approach,and risk aversion.This essay points to a situation that investment in a risky asset(Bitcoin)is directly related to an increase in market risk,measured by SKEW index.This contradicts the traditional approach and aligns to several findings of behavioral finance.More specifically,it shows that investors may be risk seeking actors in anticipation to a belief that volatility will return to normal levels.

农村成长经历会影响城镇家庭储蓄率吗?——来自CHFS 2019的经验证据

由于城市与农村的经济金融环境存在显著差异,成年前在农村成长的城镇居民比在城市成长的城镇居民具有较高的风险厌恶程度和较低的金融知识水平,从而更加偏向低消费和高储蓄。采用中国家庭金融调查(CHFS)2019年数据,将“目前居住在城市地区且拥有非农业户口、18岁之前为农业户口”作为“拥有农村成长经历”的界定标准,实证检验城镇家庭户主的农村成长经历对其家庭储蓄率的影响,结果表明:户主拥有农村成长经历的城镇家庭比户主没有农村成长经历的城镇家庭有更高的储蓄率,风险态度和金融素养在其中发挥了中介作用,即拥有农村成长经历的户主会因较高的风险厌恶程度和较低的金融知识水平而导致其家庭储蓄率较高;农村成长经历对储蓄率的正向影响在户主受教育水平较高、家庭资产较少、经济发展水平较低地区(中西部地区)的家庭中更为显著。因此,需要从改善城市的经济金融状况(降低生活成本、增强社会保障、减少不确定性等)入手来释放城镇居民的消费需求,并通过改善风险态度、加强金融教育、缩小城乡差距等渠道来降低农村成长经历对城镇家庭储蓄率的正向影响。

基于条件风险价值的虚拟电厂参与能量及备用市场的双层随机优化

为充分发挥虚拟电厂的灵活性价值,提出了虚拟电厂参与电能量及备用辅助服务市场的双层随机优化模型。上层基于条件风险价值理论建立了虚拟电厂参与电能量及备用辅助服务市场的两阶段风险决策模型,其中,第一阶段考虑新能源不确定性的潜在风险,建立了虚拟电厂参与能量和备用辅助服务市场的投标报价模型,第二阶段针对不同场景下的新能源出力建立了以虚拟电厂期望运行成本最小为目标的分布式资源优化调度模型;下层在已知各市场主体的投标报价信息后,开展电能量市场及备用辅助服务市场的联合出清。仿真分析表明,所提方法能够有效指导虚拟电厂规避新能源不确定性的潜在风险,并通过将备用价格提高到下一个边际机组的报价从而增加自身利润。

消费者风险厌恶的运费险分担机制与供应链定价研究

考虑消费者的退货行为、风险厌恶态度和运费险价值敏感,建立零售商承担、消费者承担、零售商与消费者共同承担、零售商与制造商共同承担4种不同运费险承担方式的Stackelberg价格博弈模型,研究供应链的定价决策和在线零售商的最优退货运费险策略。研究表明:低退货率和高运费险敏感性有助于提高供应链的整体利润;低退货率时,在线零售商主动为消费者购买运费险优于消费者自行购买;运费险的分担机制不能实现供应链协调。

考虑消费者风险规避的供应链退货运费险与定价策略

针对线上买卖双方的退货运费承担纠纷,电商平台引入退货运费险来分摊商品退货风险,但宽松的退货政策又增加了消费者的退货行为。为此,将第三方保险公司引入制造商主导和网络零售商跟随的斯坦克尔伯格博弈中,考虑风险规避型消费者的退货行为和运费险敏感性,建立多方决策主体共同参与的卖家运费险、买家运费险和运费险共同分担等3种定价退货模型,研究网络零售商的定价决策和运费险策略。结果表明:消费者的风险规避态度有助于降低商品售价和运费险价格,提高市场需求和企业利润;运费险共同分担机制能够有效缓解客户流失;退货率较低时,消费者的运费险偏好有利于供应链总利润的增长。

基于信息不对称与风险规避的低碳闭环供应链定价决策研究

为确定闭环供应链的产品定价和碳减排率,同时考虑制造商的风险规避行为和零售回收运营成本信息的不对称性,构建以制造商为主导的Stackelberg博弈模型,分析对比信息对称和信息不对称两种情况下的最优决策,利用数值分析验证结论。研究表明:产品的销售价格、批发价格、碳减排率及制造商效用都将随着制造商风险规避程度的提高而降低,而市场需求与零售商效用将增加;当零售商谎报回收运营成本时,相较于坦白回收运营成本,产品转移价格与零售商效用均有所提升,产品回收价格、废旧产品回收量和制造商效用则降低,且风险规避和信息不对称均对碳减排产生消极影响。