Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR p...Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.展开更多
Extreme mortality bonds(EMBs),which can transfer the extreme mortality risks confronted by life insurance companies into the capital market,refer to the bonds whose nominal values or coupons are associated with mortal...Extreme mortality bonds(EMBs),which can transfer the extreme mortality risks confronted by life insurance companies into the capital market,refer to the bonds whose nominal values or coupons are associated with mortality index.This paper first provides the expected value of mortality index based on the double exponential jump diffusion(DEJD)model under the risk-neutral measure;then derives the pricing models of the EMBs with principal reimbursement non-cumulative and cumulative threshold respectively;finally simulates the bond prices and conducts a parameter sensitivity analysis.This paper finds that the jump and direction characteristics of mortality index have significant impacts on the accuracy of the EMB pricing.展开更多
二氧化碳(carbon dioxide,CO_(2))捕集、利用与封存(CO_(2)capture,utilization and storage,CCUS)是实现碳中和目标不可或缺的关键技术。CO_(2)地质封存与利用作为CCUS技术的核心组成部分,面临着政策、技术、经济、安全等风险问题,对...二氧化碳(carbon dioxide,CO_(2))捕集、利用与封存(CO_(2)capture,utilization and storage,CCUS)是实现碳中和目标不可或缺的关键技术。CO_(2)地质封存与利用作为CCUS技术的核心组成部分,面临着政策、技术、经济、安全等风险问题,对项目的风险分析与评价能够降低不确定性对项目规划的影响,是实现项目顺利推进的有效保障。由于项目内部及外部环境的不确定因素多种多样,而且随着项目生命期的渐进,又会产生新的风险,风险反复发生的频率以及参与的各项目过程也会因项目而异,因此风险识别作为风险评价过程的第一步,是进行全面风险评价的重要前提。风险识别的目标是明确与项目有关的潜在风险源,在识别过程中,评估人员需要识别包括地质安全性、环境影响、人类健康、政策和社会因素等多种潜在的风险事件和类型,并评估风险的概率和影响。目前,国内外在CO_(2)地质封存工程的风险识别环节中已开展德尔菲法、头脑风暴法、专家面谈法、风险清单法、SWOT技术、风险分解结构、风险图解分析技术等多种分析方法。每种风险识别方法都有各自的优势和劣势,同一项目可能选择多种风险识别方法进行项目风险的前期排查。然而,当前已有研究大多是针对单一方法的介绍和应用,缺少对多种不同风险识别方法的系统介绍和对比,尚未形成完整的风险识别理论框架体系以及筛选方法。在全面综述CO_(2)地质封存风险识别现状、风险识别方法与应用的基础上,对多种风险识别方法进行了优缺点总结以及对比,提出了一种纺锤形风险识别筛选方法。最后,对宁夏回族自治区试注工程进行风险识别,以期指导封存项目风险管理,助力项目顺利开展,为未来宁夏开展大规模CCUS示范工程项目提供重要参考。展开更多
基金The National Natural Science Foundation of China (No.70671025)
文摘Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.
文摘Extreme mortality bonds(EMBs),which can transfer the extreme mortality risks confronted by life insurance companies into the capital market,refer to the bonds whose nominal values or coupons are associated with mortality index.This paper first provides the expected value of mortality index based on the double exponential jump diffusion(DEJD)model under the risk-neutral measure;then derives the pricing models of the EMBs with principal reimbursement non-cumulative and cumulative threshold respectively;finally simulates the bond prices and conducts a parameter sensitivity analysis.This paper finds that the jump and direction characteristics of mortality index have significant impacts on the accuracy of the EMB pricing.
文摘二氧化碳(carbon dioxide,CO_(2))捕集、利用与封存(CO_(2)capture,utilization and storage,CCUS)是实现碳中和目标不可或缺的关键技术。CO_(2)地质封存与利用作为CCUS技术的核心组成部分,面临着政策、技术、经济、安全等风险问题,对项目的风险分析与评价能够降低不确定性对项目规划的影响,是实现项目顺利推进的有效保障。由于项目内部及外部环境的不确定因素多种多样,而且随着项目生命期的渐进,又会产生新的风险,风险反复发生的频率以及参与的各项目过程也会因项目而异,因此风险识别作为风险评价过程的第一步,是进行全面风险评价的重要前提。风险识别的目标是明确与项目有关的潜在风险源,在识别过程中,评估人员需要识别包括地质安全性、环境影响、人类健康、政策和社会因素等多种潜在的风险事件和类型,并评估风险的概率和影响。目前,国内外在CO_(2)地质封存工程的风险识别环节中已开展德尔菲法、头脑风暴法、专家面谈法、风险清单法、SWOT技术、风险分解结构、风险图解分析技术等多种分析方法。每种风险识别方法都有各自的优势和劣势,同一项目可能选择多种风险识别方法进行项目风险的前期排查。然而,当前已有研究大多是针对单一方法的介绍和应用,缺少对多种不同风险识别方法的系统介绍和对比,尚未形成完整的风险识别理论框架体系以及筛选方法。在全面综述CO_(2)地质封存风险识别现状、风险识别方法与应用的基础上,对多种风险识别方法进行了优缺点总结以及对比,提出了一种纺锤形风险识别筛选方法。最后,对宁夏回族自治区试注工程进行风险识别,以期指导封存项目风险管理,助力项目顺利开展,为未来宁夏开展大规模CCUS示范工程项目提供重要参考。
