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多事件触发巨灾债券设计与定价研究:以中国台风债券为例 被引量:5
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作者 李永 范蓓 刘鹃 《中国软科学》 CSSCI 北大核心 2012年第3期41-48,共8页
巨灾损失具有多样化、立体性特征,多国已经开始多事件触发巨灾债券尝试,定价问题成为研究难点与热点。本文设计并阐述了多事件触发巨灾债券产品定价模型及其实现过程,首次基于中国台风巨灾财产损失、受灾面积两事件,进行了产品初步设计... 巨灾损失具有多样化、立体性特征,多国已经开始多事件触发巨灾债券尝试,定价问题成为研究难点与热点。本文设计并阐述了多事件触发巨灾债券产品定价模型及其实现过程,首次基于中国台风巨灾财产损失、受灾面积两事件,进行了产品初步设计和价格估算。具体通过建立委托代理定价模型,对中国1990年以来历次台风直接经济损失和受灾面积的边缘分布分别进行拟合,借助Clayton Copula得到联合概率分布函数确定定价水平,最后进行了价格敏感性和稳定性检验和动态分析。 展开更多
关键词 巨灾债券 定价 多触发事件 委托代理理论
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跨期多事件触发巨灾债券定价模拟分析 被引量:3
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作者 李永 胡帅 范蓓 《数理统计与管理》 CSSCI 北大核心 2013年第6期1132-1140,共9页
巨灾导致的不同类损失分布具有异质性,而单一事件触发的巨灾债券不能统筹考虑多个损失维度.本文在考虑两个不同损失维度的基础上,构建了由两个损失指标共同触发的巨灾债券定价模型,进行了产品初步设计和价格估算,并通过蒙特卡罗模拟实... 巨灾导致的不同类损失分布具有异质性,而单一事件触发的巨灾债券不能统筹考虑多个损失维度.本文在考虑两个不同损失维度的基础上,构建了由两个损失指标共同触发的巨灾债券定价模型,进行了产品初步设计和价格估算,并通过蒙特卡罗模拟实现了多期限定价.本文以台风损失为例,对直接经济损失、受灾面积两个损失维度进行分布拟合,借助ClaytonCopula得到联合概率分布函数对巨灾债券定价,并进行了价格动态分析. 展开更多
关键词 巨灾债券 跨期 多触发事件 蒙特卡罗模拟
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EVENT-TRIGGERED AVERAGE-CONSENSUS OF MULTI-AGENT SYSTEMS WITH WEIGHTED AND DIRECT TOPOLOGY 被引量:16
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作者 Zhongxin LIU Zengqiang CHEN Zhuzhi YUAN 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2012年第5期845-855,共11页
This paper investigates the average-consensus problem of multi-agent systems with direct and weighted topologies. Event-triggered control laws are adopted so as to reduce the frequency of individual control updating s... This paper investigates the average-consensus problem of multi-agent systems with direct and weighted topologies. Event-triggered control laws are adopted so as to reduce the frequency of individual control updating since the agents may be resource-limited in many real systems. The discrete time instants where the events are triggered are determined by a trigger function with respect to a certain measurement error. A centralized average-consensus protocol is proposed first for networks with fixed interaction topology, the stability and influencing factors of which are also analyzed. The design of trigger functions for networks with variable topology is also discussed. Then the results are extended to the decentralized counterpart, in which agents require only the information of their neighbors. Numerical examples are also provided that demonstrate the effectiveness of the theoretical results. 展开更多
关键词 Average-consensus CONSENSUS DIGRAPH event-triggered control multi-agent system.
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Event-Triggered Consensus for Multiple Nonholonomic Systems 被引量:1
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作者 LI Miao LIU Zhongxin CHEN Zengqiang 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2018年第5期1227-1243,共17页
The paper investigates the consensus problem of multiple nonholonomic systems. Two event-triggered control strategies, one centralized and the other distributed, are developed, which can reduce the frequency of contro... The paper investigates the consensus problem of multiple nonholonomic systems. Two event-triggered control strategies, one centralized and the other distributed, are developed, which can reduce the frequency of control updating. Under the proposed protocols, the multiple nonholonomic systems can achieve consensus, and the bound of inter-event time intervals is provided to illustrate that no Zeno behavior exists. Finally, numerical simulations are also provided to demonstrate the effectiveness of the proposed control strategies. 展开更多
关键词 CONSENSUS event-triggered control multiple nonholonomic systems.
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Observer-Based Event-Triggered Tracking Control of Leader-Follower Systems with Time Delay 被引量:5
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作者 LIU Wenhui YANG Chunjie +1 位作者 SUN Youxian QIN Jiaxiang 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2016年第4期865-880,共16页
This paper studies the tracking control of general linear multi-agent systems with out time delays. The observer-based event-triggered control schemes will be considered or with- For the conventional distributed track... This paper studies the tracking control of general linear multi-agent systems with out time delays. The observer-based event-triggered control schemes will be considered or with- For the conventional distributed tracking protocol, the authors will not update the relative state in continuous time, i.e., the relative state will be updated by some events which happened in discrete time. A completely decentralized event-trigger will be designed for leader-follower systems. It is shown that all followers can track the leader asymptotically by the proposed protocol, if the feedback gain matrices are designed appropriately. Numerical simulations are also provided and the results show highly consistent with the theoretical results. 展开更多
关键词 CONSENSUS distributed control event-triggered control multi-agent systems time delay tracking control.
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Leader-Following Consensus for Discrete-Time Multi-Agent Systems with Parameter Uncertainties Based on the Event-Triggered Strategy 被引量:11
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作者 LIU Xiaoyu SUN Jian +1 位作者 DOU Lihua CHEN Jie 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2017年第1期30-45,共16页
In this paper, the leader-following consensus for discrete-time nmlti-agent systems with parameter uncertainties is investigated based on the event-triggered strategy. And the parameter un- certainty is assmned to be ... In this paper, the leader-following consensus for discrete-time nmlti-agent systems with parameter uncertainties is investigated based on the event-triggered strategy. And the parameter un- certainty is assmned to be norm-bounded. A consensus protocol is designed based on the event-triggered strategy to make the multi-agent systems achieve consensus without continuous communication among agents. Each agent only needs to observe its own state to determine its own triggering instants under the triggering function in this paper. In addition, a sufficient condition for the existence of the event- triggered consensus protocol is derived and presented in terms of the linear matrix inequality. Finally, a numerical example is given to illustrate to efficiency of the event-triggered consensus protocol proposed in this paper. 展开更多
关键词 Event-triggered strategy leader-following consensus multi-agent systems parameter uncertainties.
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