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Quantile hedging for equity-linked life insurance contracts with stochastic interest rate 随机利率下股票挂钩人寿保险合约的分位数对冲
Systems Engineering Procedia Pub Date : 2012-01-01 DOI: 10.1016/j.sepro.2011.11.044
Alexander Melnikov , Shuo Tong
{"title":"Quantile hedging for equity-linked life insurance contracts with stochastic interest rate","authors":"Alexander Melnikov ,&nbsp;Shuo Tong","doi":"10.1016/j.sepro.2011.11.044","DOIUrl":"10.1016/j.sepro.2011.11.044","url":null,"abstract":"<div><p>This paper studies the problem of pricing equity-linked life insurance contracts, and also focuses on the valuation of insurance contracts with stochastic guarantee. The contracts under consideration are based on two risky assets which satisfy a two-factor jump-diffusion model: one asset is responsible for future gains, and the other one is a stochastic guarantee. As most life insurance products are long-term contracts, it is more practical to consider the problem in a stochastic interest rate environment. In our setting, the stochastic interest rate behaviour is also described by a jump-diffusion model. In addition, quantile hedging technique is developed and exploited to price such finance/insurance contracts with initial capital constraints. Explicit formulas for both the price of the contracts and the survival probability are obtained. Our results are illustrated by numerical example based on financial indexes Russell 2000 and S&amp;P 500.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"4 ","pages":"Pages 9-24"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.044","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77057208","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Agent-based Simulation Model of Single Point Inventory System 基于agent的单点库存系统仿真模型
Systems Engineering Procedia Pub Date : 2012-01-01 DOI: 10.1016/j.sepro.2011.11.079
DONG Fu-gui, LIU Hui-mei, LU Bing-de
{"title":"Agent-based Simulation Model of Single Point Inventory System","authors":"DONG Fu-gui,&nbsp;LIU Hui-mei,&nbsp;LU Bing-de","doi":"10.1016/j.sepro.2011.11.079","DOIUrl":"10.1016/j.sepro.2011.11.079","url":null,"abstract":"<div><p>Maintaining normal stock amount can reduce ordering cost and improve service level, but excessive stock needs expensive inventory holding costs and occupies too much floating capital, so it is necessary to seek a balance between the stock holdings and inventory cost. Using AnyLogic software, the single point inventory system simulation model is built based on Agent method in this paper. Through comparing the two continuous replenishment strategies, the (R, S) and (Q, R) strategies, the simulation results show that (R, S) strategy is better than (Q, R) strategy. Then the optimal inventory policy to minimize inventory cost with a certain service level is analyzed by the optimization experiment.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"4 ","pages":"Pages 298-304"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.079","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77192363","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Grey Synthetical Evaluation of University's Engineering Innovation Ability 高校工程创新能力的灰色综合评价
Systems Engineering Procedia Pub Date : 2012-01-01 DOI: 10.1016/j.sepro.2011.11.036
Zhang Lei
{"title":"Grey Synthetical Evaluation of University's Engineering Innovation Ability","authors":"Zhang Lei","doi":"10.1016/j.sepro.2011.11.036","DOIUrl":"10.1016/j.sepro.2011.11.036","url":null,"abstract":"<div><p>University's engineering innovation ability has an increasingly active effect to guide and support talent cultivation and community service. It plays important role to evaluate university's engineering innovation ability. The paper establishes evaluation index system, composed of such four broad headings as resources into ability, social influence power, domestic radianting capacity and sustainable development ability. On the basis of Delphi, analytic hierarchy process, grey incidence degree and fuzzy system theory, a grey synthetical evaluation model is put forward to quantitatively assess university's engineering innovation ability. The study shows that it is feasible and effective to evaluate the university's engineering innovation ability with the grey synthetical evaluation model by researching and calculating.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"3 ","pages":"Pages 319-325"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.036","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83675044","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Research on Banking Crisis Contagion Dynamics Based on the Complex Network of System Engineering 基于系统工程复杂网络的银行危机传染动力学研究
Systems Engineering Procedia Pub Date : 2012-01-01 DOI: 10.1016/j.sepro.2012.04.025
Cao Huaihu, Zhu Jianming
{"title":"Research on Banking Crisis Contagion Dynamics Based on the Complex Network of System Engineering","authors":"Cao Huaihu,&nbsp;Zhu Jianming","doi":"10.1016/j.sepro.2012.04.025","DOIUrl":"10.1016/j.sepro.2012.04.025","url":null,"abstract":"<div><p>For the banking crisis contagion problem on the Financial Engineering, a crisis contagion dynamic model is proposed for the banking network based on the Complex Network of latest System Engineering theory. The model combines the contagion process of risk, the network structural features and the behavior characteristics of banking crisis. Contagion dynamics simulation and analysis are made for this model, and a conclusion is draw that the ultimate number of the immune state banks in the crisis banking network depends on contagion probability and network structure. Finally, we discuss that the role of contagion threshold value for the immune strategy for crisis contagion in the banking network, which are important for control the extent of crisis contagion.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"5 ","pages":"Pages 156-161"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2012.04.025","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85588387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Great East Japan Earthquake Emergency Evolution and Contingency Decision Based on System Engineering Approach 基于系统工程方法的东日本大地震应急演变与应急决策
Systems Engineering Procedia Pub Date : 2012-01-01 DOI: 10.1016/j.sepro.2012.04.040
Yongjian Li, Zhe Li
{"title":"Great East Japan Earthquake Emergency Evolution and Contingency Decision Based on System Engineering Approach","authors":"Yongjian Li,&nbsp;Zhe Li","doi":"10.1016/j.sepro.2012.04.040","DOIUrl":"https://doi.org/10.1016/j.sepro.2012.04.040","url":null,"abstract":"<div><p>In recent years, unconventional emergencies that have generated widespread concern in the society have frequently occurred. In 2011, the Great East Japan Earthquake and the nuclear crisis as a result of this disaster have gained tremendous attention worldwide. The present paper used a system engineering approach, an extended event graph, to analyze this earthquake and its event evolution as well as associated contingency decisions. Some pertinent countermeasures are also presented for reference of similar emergency event evolution in the future.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"5 ","pages":"Pages 254-259"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2012.04.040","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138381381","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Monte-Carlo simulation of information system project performance 蒙特卡罗模拟信息系统项目绩效
Systems Engineering Procedia Pub Date : 2012-01-01 DOI: 10.1016/j.sepro.2011.11.039
Weihua Yang, Cong Tian
{"title":"Monte-Carlo simulation of information system project performance","authors":"Weihua Yang,&nbsp;Cong Tian","doi":"10.1016/j.sepro.2011.11.039","DOIUrl":"10.1016/j.sepro.2011.11.039","url":null,"abstract":"<div><p>This paper aims to put forward an approach to verify the feasible degree of information system development engineering project and indentify the key risk factors in the process of system development. Firstly, six risk factors, to which have been paid great attention in risk management area, are chosen as independent random variables. Then we use Crystal ball software to fit a probablity distribution for each risk factor, also the structural equation modeling method is adopted to establish a mathematical formula between risk factors and project performance. Finally, we run a Monte-Carlo simulation and get the frequency chart and sensitivity chart of performance, from that we can know about the statistic data and the key risk factors. The conclusion shows that the mean value of project performance is high and User Participation, Project Communication, Personnel Conflict have most greatest impact on project performance.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"3 ","pages":"Pages 340-345"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.039","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77663662","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Analysis on the impact of large-scale wind power accessing the power grid on Inner Mongolia grid 大型风电并网对内蒙古电网的影响分析
Systems Engineering Procedia Pub Date : 2012-01-01 DOI: 10.1016/j.sepro.2011.11.005
Gaoqiang Zhao, Jianxun Qi, Sen Guo
{"title":"Analysis on the impact of large-scale wind power accessing the power grid on Inner Mongolia grid","authors":"Gaoqiang Zhao,&nbsp;Jianxun Qi,&nbsp;Sen Guo","doi":"10.1016/j.sepro.2011.11.005","DOIUrl":"10.1016/j.sepro.2011.11.005","url":null,"abstract":"<div><p>With the adjustment of energy structure and the development of wind power accessing the power grid in China, large-scale wind power will certainly have a significant impact on the power grid. For the large-scale wind power accessing the power grid in Inner Mongolia, a quantitative study has been done from two aspects which are ancillary facilities of wind power project accessing to power grid and the average price and cost of purchasing electricity for power Grid Corporation. The result shows: firstly, large-scale wind power accessing the power grid will not only increase the transmission line, but also increases the grid construction cost; secondly, large-scale wind power accessing the power grid will increase the average price and cost of purchasing electricity for power Grid Corporation. The analysis on the impact of large-scale wind power accessing the power grid on Inner Mongolia grid can provide some references for policy-makers and researchers.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"3 ","pages":"Pages 36-41"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.005","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74550204","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Technology Feasibility Evaluation of Grid-connected Distributed Generation Based on Cloud Model 基于云模型的并网分布式发电技术可行性评价
Systems Engineering Procedia Pub Date : 2012-01-01 DOI: 10.1016/j.sepro.2011.11.080
Dongxiao Niu, Leilei Fan
{"title":"Technology Feasibility Evaluation of Grid-connected Distributed Generation Based on Cloud Model","authors":"Dongxiao Niu,&nbsp;Leilei Fan","doi":"10.1016/j.sepro.2011.11.080","DOIUrl":"10.1016/j.sepro.2011.11.080","url":null,"abstract":"<div><p>According to the particularity of the grid-connected distributed generation, this paper established a comprehensive multi-level evaluation index system for technology feasibility of the grid-connected distributed generation. The analytic hierarchy process was introduced based on cloud model. Compared to the traditional analytic hierarchy process, this method calculated both the fuzziness and randomness of evaluation language. The results are more objective, which is in favour of developing grid-connected distributed generation.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"4 ","pages":"Pages 305-313"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.080","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76158185","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Evolutionary Mechanism of Self-organization of University Core Competence Construction Engineering System 高校核心能力建设工程系统自组织演化机制
Systems Engineering Procedia Pub Date : 2012-01-01 DOI: 10.1016/j.sepro.2011.11.086
Zhang Fusong , Diao Zhaofeng
{"title":"Evolutionary Mechanism of Self-organization of University Core Competence Construction Engineering System","authors":"Zhang Fusong ,&nbsp;Diao Zhaofeng","doi":"10.1016/j.sepro.2011.11.086","DOIUrl":"10.1016/j.sepro.2011.11.086","url":null,"abstract":"<div><p>There is an important transition from analytical paradigm to systematic engineering paradigm in the method of research on university core competence. As a new trend of system engineering theory, self-organization theory focuses on the study of the mechanism, condition and law of system evolution from disorderly to orderly and low to high stages .The purpose of this paper is to answer what constituent elements of university core competence construction engineering system are, what its self-organization characteristic is and how to evolve its self-organization system. Firstly, this paper has discussed its constituent elements and structural model by systematic engineering method; Secondly, this paper has revealed its self-organization characteristics by utilizing organization theory; Finally, this paper has established the dynamic engineering model of its organization evolution by using organizing theory. The innovative point of this paper is that based on the definition of resources gain and conformity competence, personnel training competence, educational reform and innovation competence, scientific research competence, social service competence and management innovation competence the university core competence construction engineering 6 strength engineering dimension structural model and its system dynamic engineering model have been constructed in order to discuss the evolving mechanism of university core competence construction engineering self-organization system.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"4 ","pages":"Pages 352-358"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.086","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75903279","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An Improved Mixed Conjugate Gradient Method 一种改进的混合共轭梯度法
Systems Engineering Procedia Pub Date : 2012-01-01 DOI: 10.1016/j.sepro.2011.11.069
Wen Jia , Jizhou Zong , Xiaodong Wang
{"title":"An Improved Mixed Conjugate Gradient Method","authors":"Wen Jia ,&nbsp;Jizhou Zong ,&nbsp;Xiaodong Wang","doi":"10.1016/j.sepro.2011.11.069","DOIUrl":"10.1016/j.sepro.2011.11.069","url":null,"abstract":"<div><p>Conjugate gradient method is an important and efficient method to solve the unconstrained optimization problems, especially for large scale problems. Based on the mixed conjugate gradient method proposed by Jing and Deng <span>[1]</span>, we improve the mixed conjugate gradient method and prove the global convergence under a sufficient condition. At last, some numerical experiments from engineering are shown.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"4 ","pages":"Pages 219-225"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.069","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82538854","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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