A class of non-zero-sum stochastic differential investment and reinsurance games

In this article, we provide a systematic study on the non-zero-sum stochastic differential investment and reinsurance game between two insurance companies. Each insurance company’s surplus process consists of a proportional reinsurance protection and an investment in risky and risk-free assets. Each insurance company is assumed to maximize his utility of the difference between his terminal surplus and that of his competitor. The surplus process of each insurance company is modeled by a mixed regime-switching Cramer–Lundberg diffusion approximation process, i.e. the coefficients of the diffusion risk processes are modulated by a continuous-time Markov chain and an independent market-index process. Correlation between the two surplus processes, independent of the risky asset process, is allowed. Despite the complex structure, we manage to solve the resulting non-zero sum game problem by applying the dynamic programming principle. The Nash equilibrium, the optimal reinsurance/investment, and the resulting value processes of the insurance companies are obtained in closed forms, together with sound economic interpretations, for the case of an exponential utility function.     

A regime-switching model with the volatility smile for two-asset European options

In this paper, we consider a numerical European-style option pricing method under two regime-switching underlying assets depending on the market regime. For a risk neutral market condition, we consider regime-switching model with two assets using a Feynman–Kac type formula. And to solve the option problem with regime-switching model, we apply an operator splitting method. Numerical examples show the volatility smile and the volatility term structure under varying parameters on a two state regime switching model.     

On the Continuous Dependence of Non-Ruin Probability on Claim Distribution Function in the Classical Risk Model

The Cramer–Lundberg model is considered as a model of insurance company. Since it is impossible to obtain an explicit solution for the non-ruin probability function of insurance company for an arbitrary distribution of the values of insurance claims, the authors consider the problem of estimating the convergence of the original non-ruin probability to one that would be obtained by approximating the values of claim distribution function.     

面向企业战略和服务的信息安全架构设计与应用

企业目前广泛采用的信息安全架构偏重风险管理,信息安全控制措施缺乏与企业战略的一致性和可追溯性,同时信息安全部门难以将信息安全价值与传递给内部其他部门。在实际项目经验的基础上,提出面向企业业务目标和高效服务的信息安全架构,旨在使信息安全从传统的成本中心转向企业发展的推动者。通过分析将本信息安全架构应用在保险企业的实际案例,结果显示实施本信息安全机构后,该企业在信息安全整体成熟度、员工安全意识水平、客户满意度和信息安全事件发生数量等方面均有较大幅度进步。     

Optimal ripple-free deadbeat control using an integral of time squared error (ITSE) index

This paper describes an optimal ripple-free deadbeat control strategy for single-input–single-output (SISO) linear sampled data plants. The cost function to be minimized is a linear combination of a time-weighted cumulative term that penalizes the tracking error, that is, an integral of time squared error (ITSE) cost term, and a cumulative term which penalizes the control signal deviations from its steady-state value. The optimization problem turns out to be convex, and closed-form solutions are obtained. An example is included to illustrate our results.     

Asymptotic optimal control of uncertain nonlinear Euler–Lagrange systems

A sufficient condition to solve an optimal control problem is to solve the Hamilton–Jacobi–Bellman (HJB) equation. However, finding a value function that satisfies the HJB equation for a nonlinear system is challenging. For an optimal control problem when a cost function is provided a priori, previous efforts have utilized feedback linearization methods which assume exact model knowledge, or have developed neural network (NN) approximations of the HJB value function. The result in this paper uses the implicit learning capabilities of the RISE control structure to learn the dynamics asymptotically. Specifically, a Lyapunov stability analysis is performed to show that the RISE feedback term asymptotically identifies the unknown dynamics, yielding semi-global asymptotic tracking. In addition, it is shown that the system converges to a state space system that has a quadratic performance index which has been optimized by an additional control element. An extension is included to illustrate how a NN can be combined with the previous results. Experimental results are given to demonstrate the proposed controllers.     

基于混合式结构的保险业客户管理系统设计

论文对保险公司客户管理信息系统的在ASP．NET平台上的实现进行了探讨,阐述了客户管理信息系统的研究意义及其内容。对保险公司客户管理信息系统数据库设计做了概要介绍,进行系统规划,在此规划上进一步细化抽象,得到整个系统的数据库设计结构。并详细介绍了费用管理系统模块和分析管理系统模块涉及的数据表。另外详细介绍了费用管理系统模块和分析管理模块的概要设计,给出了两个子系统的软件结构和各子模块的关系。详细介绍了系统中模块的设计思路及其功能的实现。阐述了各个模块的设计过程及实现效果。实现了保险公司e化客户信息管理。     

A sparse collocation method for solving time-dependent HJB equations using multivariate B-splines

This paper presents a sparse collocation method for solving the time-dependent Hamilton–Jacobi–Bellman (HJB) equation associated with the continuous-time optimal control problem on a fixed, finite time-horizon with integral cost functional. Through casting the problem in a recursive framework using the value-iteration procedure, the value functions of every iteration step is approximated with a time-varying multivariate simplex B-spline on a certain state domain of interest. In the collocation scheme, the time-dependent coefficients of the spline function are further approximated with ordinary univariate B-splines to yield a discretization for the value function fully in terms of piece-wise polynomials. The B-spline coefficients are determined by solving a sequence of highly sparse quadratic programming problems. The proposed algorithm is demonstrated on a pair of benchmark example problems. Simulation results indicate that the method can yield increasingly more accurate approximations of the value function by refinement of the triangulation.     

A probabilistic model for optimal insurance contracts against security risks and privacy violation in IT outsourcing environments

Day by day the provision of information technology goods and services becomes noticeably expensive. This is mainly due to the high labor cost for the service providers, resulting from the need to cover a vast variety of application domains and at the same time to improve or/and enhance the services offered in accordance to the requirements set by the competition. A business model that could ease the problem is the development or/and provision of the service by an external contractor on behalf of the service provider; known as Information Technology Outsourcing. However, outsourcing a service may have the side effect of transferring personal or/and sensitive data from the outsourcing company to the external contractor. Therefore the outsourcing company faces the risk of a contractor who does not adequately protect the data, resulting to their non-deliberate disclosure or modification, or of a contractor that acts maliciously in the sense that she causes a security incident for making profit out of it. Whatever the case, the outsourcing company is legally responsible for the misuse of personal data or/and the violation of an individual’s privacy. In this paper we demonstrate how companies adopting the outsourcing model can protect the personal data and privacy of their customers through an insurance contract. Moreover a probabilistic model for optimising, in terms of the premium and compensation amounts, the insurance contract is presented.     

A Hamiltonian approach to compute an energy efficient trajectory for a servomotor system

This paper considers a nonlinear constrained optimal control problem (NCOCP) originated from energy optimal trajectory planning of servomotor systems. Solving the exact optimal solution is challenging because of the nonlinear and switching cost function, and various constraints. This paper proposes a method to manage the switching cost function to establish a set of necessary conditions of an NCOCP. Specifically, a concept “sub-trajectory” is introduced to match multiple Hamiltonian due to switches in the cost function. Necessary conditions on the optimal trajectory are established as a union of conditions for all sub-trajectories and Weierstrass–Erdmann corner conditions between sub-trajectories. The set of feasible structures of optimal trajectories is further identified and represented by various state transition diagrams for the servomotor application. A decomposition-based shooting method is proposed to compute an optimal trajectory by solving multi-point boundary value problems. Simulations and experiments validate the effectiveness of the methodology and the energy saving benefit.     

基于PKI的USBKey在保险系统中的研究与应用

在Internet上开展保险业务缩短了销售渠道,但安全认证问题也成为发展网上保险的障碍。文章分析了用户密钥管理问题和PKI中签名应用和加密应用中对私钥管理上的不同要求,建议选择使用USBKey作为用户密钥安全管理的方案。研究了在PKI体系中引入USBKey,并且成功实现了基于USBKey的签名证书和加密证书在保险公司CA系统上的申请和签发流程。     

Risk Processes with Random Interest Rates

The behavior of the capital value of a life insurance company with one type of policies and a random interest rate is investigated.     

Occupational slips and falls: more than a trivial problem

Abstract

The significance of occupational falls is established through analysis of workers' compensation data of a major insurance company. The data covered 11%of the American privately insured workforce and exposure estimates were based on Bureau of Labor Statistics demographics. The number of incidents and the relative cost of falls were examined by age, gender, industry, climate and geographic region and empirical data are presented. These data establish the enormous cost of falls measured in terms of individual pain and suffering and in losses to industrial organizations.     

A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models

This work develops an approximation procedure to find optimal annuity-purchasing strategies for minimizing the probability of lifetime ruin. The wealth is modelled as a regime-switching diffusion modulated by a continuous-time Markov chain. Based on Markov chain approximation techniques, a discrete-time controlled Markov chain with two components is constructed. Under simple conditions, the convergence of the approximation sequence to the wealth process is obtained. The convergence of the approximation to the value function is also established. Several examples are provided to demonstrate the performance of the algorithms.     

Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation

This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function is introduced, where the surplus is modeled by a regime-switching process subject to both regular and singular controls. To approximate the value function and optimal controls, Markov chain approximation techniques are used to construct a discrete-time controlled Markov chain. The proofs of the convergence of the approximation sequence to the surplus process and the value function are given. Examples of proportional and excess-of-loss reinsurance are presented to illustrate the applicability of numerical methods.     

Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model

We find optimal (from the insurer’s point of view) strategies for insurance and reinsurance in a controllable Cramér-Lundberg risk process that describes the capital dynamics of an insurance company over an extended time interval. As the optimality criterion being minimized, we use the stationary variation coefficient, taking into account additional constraints on residual risks for both insurers and reinsurer. We establish that it is best to use stop-loss reinsurance with an upper limit and insurance which is a combination of a stop-loss strategy and franchise. We derive equations that define optimal strategy parameters.     

Coordination policy for a two-stage supply chain considering quantity discounts and overlapped delivery with imperfect quality

Unlike the traditional integrated supplier–buyer coordination model, this research incorporates overlapped delivery and imperfect items into the production–distribution model. This model improves the observable fact that the system might experience shortage during the screening duration and also takes quantity discount into account. This approach has not been discussed in previous integrated supplier–buyer coordination models. The expected annual integrated total cost function is derived and properties and theorems are explored to help develop an algorithm. A solution procedure, free from the convexity associated with an algorithm is established to find the optimal solution. A numerical example is given to illustrate the proposed procedure and algorithm. A sensitivity analysis is made to investigate the effects of five important parameters (the inspect rate, the annual demand, the defective rate, the holding cost, and the receiving cost) on the optimal solution. Managerial insights are also discussed.     

The method of successive approximations for calculating the probability of bankruptcy of a risk process in a Markovian environment

A generalized model of a classical risk process describing the evolution of the capital of an insurance company in a random environment is considered. A system of integral equations for the bankruptcy probability if a function of initial state. The possibility of applying the method of successive approximation to solve the system is analyzed. The method generates approximations that converge from above and below to the solution.Translated from Kibernetika i Sistemnyi Analiz, No. 6, pp. 149–161. November–December 2004.This revised version was published online in April 2005 with a corrected cover date.     

A Reusable Multi-Agent Architecture for Active Intelligent Websites

In this paper a reusable multi-agent architecture for intelligent Websites is presented and illustrated for an electronic department store. The architecture has been designed and implemented using the compositional design method for multi-agent systems DESIRE. The agents within this architecture are based on a generic information broker agent model. It is shown how the architecture can be exploited to design an intelligent Website for insurance, developed in co-operation with the software company Ordina Utopics and an insurance company.     

利用大数据提高电力企业社会保险管理水平

中文摘要：随着信息数据的快速发展,我国的社会保险信息化建设正在稳步推进,社会保险信息化建设程度依赖于各企业社会保险基础管理水平,电力企业的社会保险基础管理虽然开展较早,但距离数据共享及精确管理还有很大差距,如何在工作中将人力资源大数据充分应用在社会保险专业工作中,实现数据共享,提升数据价值,提高管理水平成为亟待解决的课题。本论文研究探索如何更好的实现人力资源社会保险大数据的共享与关联,实现大数据的应用服务,更好地开展人力资源中社会保险管理水准,更好地服务于企业与员工提出了很好的研究和探索,大数据的共享提高使社会保险管理工作的上升到了新高度,大数据的全面利用将成为提升公司管理水平、增强公司管理效能的有效手段。