带干扰经典风险过程在破产时刻的余额分布

讨论带干扰的经典风险过程在破产时刻的余额分布,给出此分布所满足的积分方程,利用积分方程证明该分布的二次连续可微性．利用二次连续可微性导出该分布所满足的积分－微分方程．当索赔服从指数分布时给出该分布的明确表达式．     

Research on quantitative assessment of climate change risk at an urban scale: Review of recent progress and outlook of future direction

Cities are not only major contributors to global climate change but also stand at the forefront of climate change impact. Quantifying and assessing the risk potentially induced by climate change has great significance for cities to undertake positive climate adaptation and risk prevention. However, most of the previous studies focus on global, national or regional dimensions, only a few have attempted to examine climate change risk at an urban scale and even less in the case of a recent literature review. As a result, a quantitative assessment of climate change risk for cities remains highly challenging. To fill this gap, the article makes a critical review of the recent literature on urban-scale climate change risk assessment, and classifies them into four major categories of studies which jointly constitute a stepwise modelling chain from global climate change towards urban-scale risk assessment. On this basis, the study summarizes the updated research progresses and discusses the major challenges to be overcome for the seamless coupling of climate simulation between different scales, the reproduction of compound climate events, the incorporation of non-market and long-lasting impacts and the representation of risk transmission insides or beyond a city. Furthermore, future directions to advance quantitative assessment of urban-scale climate change risk are highlighted, with fresh insights into improving study methodology, enriching knowledge of climate change impact on city, enhancing abundance and accessibility to data, and exploring the best practice to provide city-specific climate risk service.     

人的可靠性分析:需要、状况和进展

本文回顾了人的可靠性分析（ＨＲＡ）的研究历史,叙述了当前的研究进展,介绍了相关的第一代ＨＲＡ方法以及人的行为类型和失误分类的基本概念和部分人的动态认知模型,重点介绍了两种第二代的ＨＲＡ方法．     

实数向量型阴性选择算法的改进

通过对实数向量型阴性选择算法的分析,提出了检测器空间覆盖率的概念,用它作为估计检测器数量的一项理论依据,将这个估计值引入到实数向量型阴性选择算法中,控制检测器的生成,同时对检测器采取了新的变异操作。实验表明,这一改进在保证算法检出率的同时,又可降低误报率。     

看涨期权型理财产品的对冲策略研究

理财产品已经成为国内银行不断提升综合竞争力和盈利水平的重要业务,银行出售看涨期权型理财产品为银行的经营带来新的风险,因此需要新的风险管理方法。对理财的一款看涨期权型理财产品进行Delta对冲结果显示,虽然银行可获得正的期望盈利,但即使通过每日动态调整策略该产品仍然有接近25%的机会出现亏损,并且出现最大亏损的概率也较大。因此,对于看涨期权型理财产品,单纯通过Delta对冲策略,银行并不能实现无风险套利。     

Geopolitical risk and global financial cycle: Some forecasting experiments

In this study, we investigate the connection between geopolitical risk (GPR) and global financial cycle (GFCy) as well as whether the former has predictive value for the out-of-sample predictability of the latter. We utilize both the historical and recent GPR data and their variants, namely, GPR act covering all “acts” that constitute GPR such as war, nuclear invasion and terrorism, and GPR threat, which represents threats of these acts. We construct a predictive model that accommodates the salient features of the predicted and predictor series while the forecast evaluation is conducted for both in-sample and out-of-sample periods. Our findings reveal that a rise in GPR discourages investments in risky assets and by implication worsens GFCy. The impact is more severe after the global financial crisis (gfc), and the GPR threat exerts more adverse effect on GFCy compared with GPR act regardless of whether historical GPR or recent GPR is used. Meanwhile, the predictive model of GFCy that accommodates the GPR data outperforms the benchmark model that ignores it both in the in-sample and out-of-sample estimates albeit with improved forecast performance during the post-gfc period and at a longer forecast horizon. However, the recent GPR data, which are broader in scope, offer better forecast accuracy than the historical GPR data. Additional analyses involving the vulnerability of global economic conditions reveal similar outcomes as GFCy.     

试析我国期货公司的风险管理

阐述了我国期货公司面临的外部风险挑战,分析了建立期货公司风险控制系统的迫切性和重要性,探讨了我国期货公司的风险特征和形成原因,为期货公司建立完善的外部风险控制系统以及内部风险控制系统提供了相应对策。     

北京地铁六号线盾构施工风险分析

结合北京地铁六号线青褡盾构区间的实际情况,研究盾构施工过程中的7个典型突出风险事件。基于现场巡视调查和地表沉降、盾构土压力的监测数据,从风险类别、施工过程中存在的问题和风险发生的原因等对区间地铁盾构施工安全风险进行分析;并提出相应的地铁盾构施工风险控制措施。     

井眼防碰监测技术在南海油田W9H的应用

目前,海上石油资源的勘探开发已进入一个新的阶段,丛式井、大位移井及水平井的应用正变得越来越普遍,特别是加密调整技术的应用,增大了井眼交碰风险,对钻井和油田正常生产构成了潜在威胁。利用定向井防碰地面监测系统在南海油田某区块的W9H实施钻井防碰监测,取得了良好效果。本文对该井防碰监测过程中不同工况条件下的信号特征进行识别、归纳,为定向井防碰地面监测系统和防碰工艺技术的不断完善提供技术与实践支撑。     

一类多险种的风险模型及其破产概率

从保险公司的经营实际出发,对已有的风险模型进行了推广,提出了一类多时段、多险种、带干扰且有累积投资收益的风险模型,并运用鞅方法给出了最终破产概率的Lundberg型不等式和一般公式．