In this paper,we study the optimal timing to convert the risk of business for an insurance company in order to improve its solvency.The cash flow of company evolves according to a jump-diffusion process.Business conve...In this paper,we study the optimal timing to convert the risk of business for an insurance company in order to improve its solvency.The cash flow of company evolves according to a jump-diffusion process.Business conversion option offers the company an opportunity to transfer the jump risk business out.In exchange for this option,the company needs to pay both fixed and proportional transaction costs.The proportional cost can also be seen as the profit loading of the jump risk business.We formulated this problem as an optimal stopping problem.By solving this stopping problem,we find that the optimal timing of business conversion mainly depends on the profit loading of the jump risk business.A larger profit loading would make the conversion option valueless.The fixed cost,however,only delays the optimal timing of business conversion.In the end,numerical results are provided to illustrate the impacts of transaction costs and environmental parameters to the optimal strategies.展开更多
Strong orthogonal arrays(SOAs) were recently introduced and studied as a class of spacefilling designs for computer experiments. To surely realize better space-filling properties, SOAs of strength three or higher are ...Strong orthogonal arrays(SOAs) were recently introduced and studied as a class of spacefilling designs for computer experiments. To surely realize better space-filling properties, SOAs of strength three or higher are desirable. In addition, orthogonality is also an important property for designs of computer experiments, because it guarantees that the estimates of the main effects are uncorrelated. This paper first provides a systematic study on the construction of(nearly) orthogonal strength-three SOAs with better space-filling properties. The newly proposed strength-three SOAs enjoy almost the same space-filling properties of strength-four SOAs, and can accommodate much more columns than the latter. Moreover, they are(nearly) orthogonal and flexible in run sizes. The construction methods are straightforward to implement, and their theoretical supports are well established. In addition to the theoretical results, many designs are tabulated for practical needs.展开更多
To the Editor:Esophageal cancer,one of the most common cancer types in China,with an estimated 346,633 new cases and 323,600 deaths in 2022,is becoming an increasingly serious clinical and public health problem.^([1])...To the Editor:Esophageal cancer,one of the most common cancer types in China,with an estimated 346,633 new cases and 323,600 deaths in 2022,is becoming an increasingly serious clinical and public health problem.^([1])The successful promotion of the self-management strategy has indicated that lifestyle modifications can be valuable in the primary prevention of cancer development.Adopting a healthy lifestyle has become a novel strategy for primary prevention and risk reduction in high-risk areas.Previous epidemiological studies have identified several lifestyle-related risk factors for esophageal cancer,including smoking and diet.^([2])Each factor can typically explain a modest proportion of cancer risk.However,when combined,these known risk factors may substantially affect the risk of esophageal cancer.Nevertheless,some risk factors for esophageal cancer are non-modifiable,including age,low socioeconomic status,and family history.Whether and how these non-modifiable risk factors affect primary cancer prevention by intervening with modifiable risk factors remain unclear.展开更多
Linguistic specificity effectively reduces barriers to information cognition,increasing the efficiency of information acquisition,integration and processing.Combining the psycholinguistics theory of the concreteness e...Linguistic specificity effectively reduces barriers to information cognition,increasing the efficiency of information acquisition,integration and processing.Combining the psycholinguistics theory of the concreteness effect with assetpricing theory,we determine that linguistic specificity in the management discussion and analysis section of a firm’s annual reports is negatively associated with stock price synchronicity,particularly in firms with strong external information demand or insufficient information supply.Furthermore,only specificity of the review section leads to a reduction in stock price synchronicity.Mechanism tests show that specificity reduces information processing costs and enhances information credibility.Additionally,proprietary costs are an essential determinant of linguistic specificity adoption.Our findings suggest that linguistic specificity plays an essential role in improving market pricing efficiency.展开更多
Many covariate-adaptive randomization procedures have been proposed and implemented to balance important covariates in clinical trials. These methods are usually based on fully observed covariates. In practice,the cov...Many covariate-adaptive randomization procedures have been proposed and implemented to balance important covariates in clinical trials. These methods are usually based on fully observed covariates. In practice,the covariates of a patient are often partially missing. We propose a novel covariate-adaptive design to deal with missing covariates and study its properties. For the proposed design, we show that as the number of patients increases, the overall imbalance, observed margin imbalance and fully observed stratum imbalance are bounded in probability. Under certain covariate-dependent missing mechanism, the proposed design can balance missing covariates as if the covariates are observed. Finally, we explore our methods and theoretical findings through simulations.展开更多
基金supported by the National Natural Science Foundation of China(No.12101300,No.12371478 and No.12071498)。
文摘In this paper,we study the optimal timing to convert the risk of business for an insurance company in order to improve its solvency.The cash flow of company evolves according to a jump-diffusion process.Business conversion option offers the company an opportunity to transfer the jump risk business out.In exchange for this option,the company needs to pay both fixed and proportional transaction costs.The proportional cost can also be seen as the profit loading of the jump risk business.We formulated this problem as an optimal stopping problem.By solving this stopping problem,we find that the optimal timing of business conversion mainly depends on the profit loading of the jump risk business.A larger profit loading would make the conversion option valueless.The fixed cost,however,only delays the optimal timing of business conversion.In the end,numerical results are provided to illustrate the impacts of transaction costs and environmental parameters to the optimal strategies.
基金supported by the National Natural Science Foundation of China under Grant Nos. 12131001and 12226343the MOE Project of Key Research Institute of Humanities and Social Sciences under Grant No.22JJD110001the National Ten Thousand Talents Program of China。
文摘Strong orthogonal arrays(SOAs) were recently introduced and studied as a class of spacefilling designs for computer experiments. To surely realize better space-filling properties, SOAs of strength three or higher are desirable. In addition, orthogonality is also an important property for designs of computer experiments, because it guarantees that the estimates of the main effects are uncorrelated. This paper first provides a systematic study on the construction of(nearly) orthogonal strength-three SOAs with better space-filling properties. The newly proposed strength-three SOAs enjoy almost the same space-filling properties of strength-four SOAs, and can accommodate much more columns than the latter. Moreover, they are(nearly) orthogonal and flexible in run sizes. The construction methods are straightforward to implement, and their theoretical supports are well established. In addition to the theoretical results, many designs are tabulated for practical needs.
基金supported by grants from the National Natural Science Foundation of China(No.72104150)MOE Project of Key Research Institute of Humanities and Social Sciences(No.22JJD910001)+2 种基金CAMS Innovation Fund for Medical Sciences(No.2021-I2M-1-010)the Natural Science Foundation of Beijing(No.7204249)Platform of Public Health&Disease Control and Prevention,Major Innovation&Planning Interdisciplinary Platform for the"Double-First Class"Initiative,Renmin University of China
文摘To the Editor:Esophageal cancer,one of the most common cancer types in China,with an estimated 346,633 new cases and 323,600 deaths in 2022,is becoming an increasingly serious clinical and public health problem.^([1])The successful promotion of the self-management strategy has indicated that lifestyle modifications can be valuable in the primary prevention of cancer development.Adopting a healthy lifestyle has become a novel strategy for primary prevention and risk reduction in high-risk areas.Previous epidemiological studies have identified several lifestyle-related risk factors for esophageal cancer,including smoking and diet.^([2])Each factor can typically explain a modest proportion of cancer risk.However,when combined,these known risk factors may substantially affect the risk of esophageal cancer.Nevertheless,some risk factors for esophageal cancer are non-modifiable,including age,low socioeconomic status,and family history.Whether and how these non-modifiable risk factors affect primary cancer prevention by intervening with modifiable risk factors remain unclear.
基金funded by grants from the Major Program of National Fund of Philosophy and Social Science of China(No.18ZDA073)National Natural Science Foundation of China(No.71790602)
文摘Linguistic specificity effectively reduces barriers to information cognition,increasing the efficiency of information acquisition,integration and processing.Combining the psycholinguistics theory of the concreteness effect with assetpricing theory,we determine that linguistic specificity in the management discussion and analysis section of a firm’s annual reports is negatively associated with stock price synchronicity,particularly in firms with strong external information demand or insufficient information supply.Furthermore,only specificity of the review section leads to a reduction in stock price synchronicity.Mechanism tests show that specificity reduces information processing costs and enhances information credibility.Additionally,proprietary costs are an essential determinant of linguistic specificity adoption.Our findings suggest that linguistic specificity plays an essential role in improving market pricing efficiency.
基金supported by National Natural Science Foundation of China(Grant Nos.11371366 and 11201479)Research Fund for the Doctoral Program of Higher Education of China(Grant No.20120004120007)the Basic Research Funds in Renmin University of China from the central government(Grant Nos.13XNLJ03 and 12XNQ049)
文摘Many covariate-adaptive randomization procedures have been proposed and implemented to balance important covariates in clinical trials. These methods are usually based on fully observed covariates. In practice,the covariates of a patient are often partially missing. We propose a novel covariate-adaptive design to deal with missing covariates and study its properties. For the proposed design, we show that as the number of patients increases, the overall imbalance, observed margin imbalance and fully observed stratum imbalance are bounded in probability. Under certain covariate-dependent missing mechanism, the proposed design can balance missing covariates as if the covariates are observed. Finally, we explore our methods and theoretical findings through simulations.
