This paper discusses optimal reinsurance strategy by minimizing insurer's risk under one general risk measure:Distortion risk measure.The authors assume that the reinsurance premium is determined by the expected v...This paper discusses optimal reinsurance strategy by minimizing insurer's risk under one general risk measure:Distortion risk measure.The authors assume that the reinsurance premium is determined by the expected value premium principle and the retained loss of the insurer is an increasing function of the initial loss.An explicit solution of the insurer's optimal reinsurance problem is obtained.The optimal strategies for some special distortion risk measures,such as value-at-risk(VaR) and tail value-at-risk(TVaR),are also investigated.展开更多
China is the largest emerging market and attracts a great deal of attention from investors and researchers worldwide.The Fama-French three-factor model is the outcome of decades of research on US stock returns.To what...China is the largest emerging market and attracts a great deal of attention from investors and researchers worldwide.The Fama-French three-factor model is the outcome of decades of research on US stock returns.To what extent the three factors explain the variation in Chinese stock returns is an intriguing question.This paper documents empirical evidence on this issue and identifies some pitfalls that arise in the application of the three-factor model to Chinese stock returns.We find that several special features in China affect the three factors considerably and also influence the explanatory power of the three-factor model.展开更多
基金Zheng's research was supported by the Program of National Natural Science Foundation of Youth of China under Grant No.11201012 and PHR201007125Yang's research was supported by the Key Program of National Natural Science Foundation of China under Grant No.11131002the National Natural Science Foundation of China under Grant No.11271033
文摘This paper discusses optimal reinsurance strategy by minimizing insurer's risk under one general risk measure:Distortion risk measure.The authors assume that the reinsurance premium is determined by the expected value premium principle and the retained loss of the insurer is an increasing function of the initial loss.An explicit solution of the insurer's optimal reinsurance problem is obtained.The optimal strategies for some special distortion risk measures,such as value-at-risk(VaR) and tail value-at-risk(TVaR),are also investigated.
文摘China is the largest emerging market and attracts a great deal of attention from investors and researchers worldwide.The Fama-French three-factor model is the outcome of decades of research on US stock returns.To what extent the three factors explain the variation in Chinese stock returns is an intriguing question.This paper documents empirical evidence on this issue and identifies some pitfalls that arise in the application of the three-factor model to Chinese stock returns.We find that several special features in China affect the three factors considerably and also influence the explanatory power of the three-factor model.
