This paper considers a non-zero-sum stochastic differential game between two competitive mean-variance insurers, who aim to seek the time-consistent reinsurance and investment strategies. These two ...insurers are allowed to purchase proportional reinsurance to mitigate individual claim risks; and can invest in one risk-free asset and one risky asset whose price dynamics follows the constant elasticity of variance model. The main objective of each insurer is to maximizing the mean-variance utility of his relative terminal wealth with respect to that of his competitor. Applying the techniques of stochastic control theory, we derive the Nash equilibrium reinsurance and investment strategies explicitly and present the corresponding verification theorem. Furthermore, Nash equilibrium strategies and value functions are also provided under the diffusion approximation model. Finally, we perform some numerical examples to illustrate the influence of model parameters on the equilibrium reinsurance and investment strategies and draw some economic interpretations from these results.
Ethical culture is the epitome of the success of various organizations and a prerequisite for progress. This study aimed to examine the construct validity of the Corporate Virtue Scale (CEV) and find ...if there is any association between ethical culture and its impact on employees' wellbeing. The sample was composed of 277 managers from various government entities in the Buffalo Municipality in South Africa. A confirmatory factor analysis was used to validate the eight-factor CEV scale. The employees' perceptions of ethical culture in public entities were associated with their stress levels and emotional exhaustion. Thus, the findings of this study revealed that the ethical culture of organizations plays a huge role in the wellbeing of employees. The study concludes that the CEV scale is a proven instrument with construct validity. The recommendation is that the government should focus on simplifying rules and procedures that help to cultivate an ethical culture within public entities.
During a disease outbreak, affected fish exhibit particular clinical signs, and the task in veterinary diagnostics is to identify the causative agent(s) as a prerequisite for appropriate treatment ...measures. In this study, we present an outbreak of a multifactorial gill disease in a cohort of ornamental koi Cyprinus carpio with gill necrosis as the main exterior clinical sign. By means of pathogen identification and determining pathogen abundance in various tissues, mortality of individual fish was found to be caused by different agents. Three out of 5 diseased individuals suffered from koi herpesvirus disease (KHVD) associated with a systemic infection with cyprinid herpesvirus 3 (CyHV-3), 1 fish succumbed to koi sleepy disease (KSD) caused by a high carp edema virus (CEV) load in the gills co-infected with CyHV-3 and flavobacteria, and the last fish had low loads of both viruses but high flavobacteria and Ichthyobodo burdens and most likely died from an interaction of these bacterial and parasitic agents. The results indicated that correct identification of the agent responsible for the observed clinical signs or mortality during co-infection might require quantitative determination of the abundance of the pathogens as well as detailed knowledge of the infection biology of these pathogens.
Gill disorders are responsible for substantial losses in the aquaculture industry. This is because gills are delicate and anatomically complex tissues, responsible for maintaining homeostasis in fish ...by being involved in many important physiological processes. Pathogens that infect gills, together with chemical irritants can modify the function of this organ and seriously affect fish health often leading to mass mortality. Since many fish pathogens affect not only gills, but also other organs, the impact of gill disorders alone on disruption of fish homeostasis is difficult to determine. There are, however, fish poxviruses that have a high affinity for the gills: carp edema virus (CEV), salmon gill poxvirus (SGPV) and Plecoglossus altivelis poxvirus (PaPV). These poxviruses could therefore help in defining the principal characteristics of gill disorders. Thus, the present study reviews the effects of gill disorders caused by CEV, SGPV and PaPV on fish health. CEV and SGPV infect fish species that are very important for global aquaculture: common carp (Cyprinus carpio) and Atlantic salmon (Salmo salar), and induce gill pathology that has a very negative impact on respiratory and osmoregulatory functions, nitrogenous waste excretion and energy metabolism. Furthermore, we highlight that a disruption of these metabolic processes increases stress response and results in immunosuppression, exposing fish to secondary infections. Finally, this review emphasises the importance of maintaining gill health for fish in order to perform well in aquaculture settings as well as underlining that gill health should be focused on in fish farming.
In this article, explicit representation of solution for the Hamilton–Jacobi–Bellman (HJB) equation associated with the portfolio optimization problem for an investor who seeks to maximize the ...expected power (CRRA) utility of the terminal wealth in a defined-contribution pension plan under a constant elasticity of variance model is derived based on the application of the Lie symmetry method to the partial differential equation and its associated terminal condition. Compared with the ingenious ansatz techniques used before, here we present a group theoretical analysis of the terminal value problem for the solution following the algorithmic procedure of the Lie symmetry analysis. It shows that the interesting properties of the group structures of the original HJB equation and its successive similarity reduced equations lead to an elegant resolution of the problem. Moreover, we identify the meaningful range of risk aversion coefficient which is ignored in the previous work. At last, the properties and sensitivity analysis of the derived optimal strategy are demonstrated by numerical simulations and several figures. The method used here is quite general and can be applied to other equations obtained in financial mathematics.
•Pricing of European call options under a hybrid CEV-Heston model•It is proved theoretically that the CEV-Heston model covers the leverage-effect•The paper shows empirically the volatility clustering ...property of the model•An approximate formula for European call options under CEV-Heston is obtained•Simulations show the efficiency of our approximate formula
In this paper we investigate, since both, the theoretical and the empirical point of view, the pricing of European call options under a hybrid CEV-Heston model. CEV-Heston model captures two typical behaviors of financial assets: (i) the leverage effect and (ii) the stochastic volatility. We prove theoretically that the CEV-Heston model covers the leverage-effect and show empirically the volatility clustering property. Then, we utilize a decomposition of the option price to get an approximate formula for European call options. The accuracy of this estimate is compared with the Monte Carlo method. The results show the efficiency of our approximate formula.
As the first caprine enterovirus identified from goat herds characterized by severe diarrhea with a high morbidity and mortality rate, the underlying pathogenesis and tissue tropism for CEV-JL14 ...remains largely unknown. Here, we reported the establishment of a neonatal murine model for caprine enterovirus and the unveiling of the tissue tropism and underlying pathogenesis for CEV-JL14 enterovirus. Susceptible murine strains, the infective dose, the infective routes, viral loads, and tissue tropism for CEV-JL14 infection were determined. The findings showed that ICR mice were susceptible to CEV-JL14 infection via all infection routes. Tissue viral load analysis showed that CEV-JL14 was detected in almost all tissues including the heart, liver, spleen, lung, kidney, intestine, brain, and muscle, with significantly higher viral loads in the heart, liver, lung, kidney, and intestine. These results revealed the pattern of viral load and tropism for CEV-JL14 and provided a model system for elucidating the pathogenesis of CEV-JL14 viruses.
Caprine/ovine enterovirus (CEV/OEV) infection is an emerging disease and remains largely unknown for its infection distribution, epidemic pattern, and the underlying contribution factors. Here, we ...report the investigation on CEV/OEV infection pattern and the underlying contribution factors by employing a sandwich ELISA kit for detection of CEV/OEV antigen. Epidemiological investigation revealed a wide range of infection rates of CEV/OEV from 19.80%-39.00% on goat/sheep farms in the major goat/sheep-raising provinces as such Henan, Shandong, Ningxia, Jilin, Inner Mongolia autonomous region, and Xinjiang autonomous region in China. Epidemic patterns and infection rates for CEV/OEV were affected by the breeds, raising mode, regions, and seasons. CEV/OEV infection rates were varied in different regions in China and significantly higher in the diarrheal herds (40.30%) than these in non-diarrheal herds (13.83%). Moreover, infection rate was higher in sheep (24.59%) than that in goats (9.84%), even dramatic difference among different breeds of goat or sheep. Out of different breeds of goat, Boer (20.13%) had the highest infection rate, followed by local breed (5.62%) and Saanen (2.61%). Among these breeds of sheep, higher infection rates were detected in local breed sheep (42.86%) and small-tailed Han sheep (35.91%) than these of Hu sheep (13.41%) and Dorper sheep (16.34%). Furthermore, raising modes were showed to contribute to the infection rate, where higher rates were detected among goats/sheep in captivity (27.10%) than these in free-range (12.27%) and semi-free range (19.24%). Additionally, CEV/OEV infection rate had obvious seasonality, while they increased from year 2015 to 2019. In summary, we investigated the CEV/OEV infection among the goat/sheep herds from different regions in China, revealed the epidemic pattern and the contribution factors to the infection, which provided the epidemiological data for future prevention and control of this emerging infection.
In this paper, we develop an extended constant elasticity of variance (CEV) model with stochastic volatility to study an optimal investment strategy problem. This extended CEV model remedies the ...shortcoming of classical CEV model. In CEV model, the volatility term is an power function of stock price, which only covers firm-specific risks. Consequently, we consider the coefficient of volatility with the mean reverting process to make the volatility involve the market risks to improve the classical CEV model. For the optimal investment objective with a constant absolute risk aversion (CARA) utility function, the analytical solution under the extended CEV model cannot be obtained due to the complicated nonlinearity of the partial differential equation. In this paper we successfully employ a dual method, Legendre transformation, and an asymptotic expansion technique to approach an asymptotic solution. The numerical examples indicate the optimal strategy is an increasing function of the expectation of stock returns and correlations between the two market risks. Besides, it is a decreasing function of interest rate and risk aversion coefficient. In addition, by statistical analysis, we find that the power parameter, the expectation of stock returns and interest rate are all significant factors affecting the investment strategy.
We propose an accurate method for pricing arithmetic Asian options on the discrete or continuous average in a general model setting by means of a lower bound approximation. In particular, we derive ...analytical expressions for the lower bound in the Fourier domain. This is then recovered by a single univariate inversion and sharpened using an optimization technique. In addition, we derive an upper bound to the error from the lower bound price approximation. Our proposed method can be applied to computing the prices and price sensitivities of Asian options with fixed or floating strike price, discrete or continuous averaging, under a wide range of stochastic dynamic models, including exponential Lévy models, stochastic volatility models, and the constant elasticity of variance diffusion. Our extensive numerical experiments highlight the notable performance and robustness of our optimized lower bound for different test cases.
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