Ruilin Tian - Academia.edu (original) (raw)
Papers by Ruilin Tian
SSRN Electronic Journal, 2013
We solve a moment problem to compute the best upper and lower bounds on the expected value E[φ(X)... more We solve a moment problem to compute the best upper and lower bounds on the expected value E[φ(X)], subject to constraints E[X^i] = μ_i for i = 1, 2,...,n. By setting φ(x)=I_(-\inf,t], the indicator function for the event X ≤ t, we calculate the bounds on Pr(X ≤ t) = E[I_(-\inf,t]]. The bounds can be narrowed if more information about distribution classes is added. Specifically, we show how to find the bounds on a variable with unimodal distribution. In addition, given a set of moments, we present a moment-constrained maximum entropy method that provides “point” estimates on tail probabilities. As robustness check, we investigate how the bounds can be narrowed if more moments are considered. In addition, to check the accuracy and reliability of our numerical bounds, we compare our method with De Schepper and Heijnen (2010) which provides explicit expressions for the bounds. The semiparametric bounds are useful in risk analysis where there is only incomplete information concerning the random variable X, such as an insurance loss or an asset return. We show how the inversion of these bounds leads to approximations to bounds on Value at Risk (VaR). Besides helping to construct a representative distribution with given moments, the moment-constrained maximum-entropy method can be used to define risk neutral probabilities for asset pricing. To illustrate this idea, we present a numerical example.
Risks
Land finance is a special land financing mode in China under the nationalization of urban land si... more Land finance is a special land financing mode in China under the nationalization of urban land since 1954. The policy authorizes local governments to collect fiscal revenue from land grant premiums and land taxes. As China is experiencing the social and economic transformation, heavily replying on land finance starts causing financial sustainable problems. Based on the spatial panel data of 30 provinces in China in the last two decades, we analyzed the spatial-temporal evolution of land finance. We found that the spatial variation of land finance declined during the period of study and decreased from east to west. The results revealed that land finance had significant positive spatial autocorrelation and robust spatial clustering characteristics. In addition, the spatial distribution of land finance was consistent with the population-based Hu Line. We also assessed land finance risks via a four-dimensional risk matrix through spatial panel regression (SPR). The spatial spillover eff...
Risks, 2022
In the past 30 years, as sponsors of defined benefit (DB) pension plans were facing more severe u... more In the past 30 years, as sponsors of defined benefit (DB) pension plans were facing more severe underfunding challenges, pension de-risking strategies have become prevalent for firms with DB plans to reduce pension-related risks. However, it remains unclear how pension de-risking activities affect firms’ performance, partially due to the lack of de-risking data. In this study, we develop a multi-phase methodology to build a de-risking database for the purpose of investigating impacts of firms’ pension risk transfer activities. We extract company filings between 1993 and 2018 from the SEC EDGAR database to identify different “de-risking” strategies that US-based companies have used. A combination of text mining, machine learning, and natural language processing methods is applied to the textual data for automated identification and classification of de-risking strategies. The contribution of this study is three-fold: (1) the design of a multi-phase methodology that identifies and ext...
Pension Risk Management eJournal, 2017
Pension becomes more and more important as people are living longer and pursuing higher living qu... more Pension becomes more and more important as people are living longer and pursuing higher living quality after retirement. This paper is to analyze the psychosocial factors that affect people’s pension demands in the US as well as in China. As two representative countries that have different pension systems, cultures, value systems, family structures, and age compositions, we identify the commonalities and differences involving in people’s pension decisions with a phenomenological qualitative method. American and Chinese residents’ experiences in pension selection and management are studied through in-depth interviews. While the existing studies focus on the macrostructure of a country’s pension system, we contribute to the literature by recognizing the micro influential factors at the individual level. Our analysis provides constructive suggestions and valuable implications to the policymakers who aim to amend an existing pension system, construct a new pension system, or carry out a...
The paper discusses how to assess risk by computing the best upper and lower bounds on the expect... more The paper discusses how to assess risk by computing the best upper and lower bounds on the expected value E[φ(X)], subject to the constraints E[X<sup>i</sup>] = µ<sub>i</sub> for i = 0, 1, 2, . . . , n. φ(x) can take the form of the indicator function φ(x) = 𝕀<sub>(−∞,K]</sub>(x) in which the bounds on Pr(X ≤ K) are calculated and the form φ(x) = (ϕ(x)−K)<sub>+</sub> in which the bounds on financial payments are founds. We solve the moment bounds on E[𝕀<sub>(−∞,K]</sub>(X)] through three methods; namely, the semidefinite programming method, the moment-matching method, and the linear approximation method. We show that for practical purposes, these methods provide numerically equivalent results. We explore the accuracy of bounds in terms of the number of moments considered. We investigate the usefulness of the moment method by comparing the moment bounds with the “point” estimate provided by the Johnson System of distribu...
International Journal of Portfolio Analysis and Management, 2018
This paper investigates tactical investment strategies for investors to survive financial crises.... more This paper investigates tactical investment strategies for investors to survive financial crises. Compared with the buy-and-hold strategy, the buy-and-sell strategy is much more effective in mitigating downside risk before, during, and after a crisis by restricting the left-tail volatility of portfolio returns through CVaR constraints. The paper also studies investors' optimal turnovers around a crisis under the buy-and-hold strategy. Considering investors' heterogeneous behaviours, we find the wealth-weighted average optimal turnover across all investors during a crisis is much higher than that before or after the crisis. This indicates investors who enter the market before a crisis may be better off by leaving their portfolios untouched during the market downturn. In addition, the downside risk control model can detect a market downturn earlier than the mean-variance model therefore it helps to 'spread out' the required asset adjustments over a longer horizon than the crisis period itself.
Journal of Forecasting, 2019
North American Actuarial Journal, 2017
ABSTRACT This article discusses how to assess risk by computing the best upper and lower bounds o... more ABSTRACT This article discusses how to assess risk by computing the best upper and lower bounds on the expected value E[φ(X)], subject to the constraints E[Xi] = μi for i = 0, 1, 2, …, n. φ(x) can take the form of the indicator function in which the bounds on are calculated and the form φ(x) = (ϕ(x) − K)+ in which the bounds on financial payments are found. We solve the moment bounds on through three methods: the semidefinite programming method, the moment-matching method, and the linear approximation method. We show that for practical purposes, these methods provide numerically equivalent results. We explore the accuracy of bounds in terms of the number of moments considered. We investigate the usefulness of the moment method by comparing the moment bounds with the “point” estimate provided by the Johnson system of distributions. In addition, we propose a simpler formulation for the unimodal bounds on compared to the existing formulations in the literature. For those problems that could be solved both analytically and numerically given the first few moments, our comparisons between the numerical and analytical results call attention to the potential differences between these two methodologies. Our analysis indicates the numerical bounds could deviate from their corresponding analytical counterparts. The accuracy of numerical bounds is sensitive to the volatility of X. The more volatile the random variable X is, the looser the numerical bounds are, compared to their closed-form solutions.
SSRN Electronic Journal, 2013
Journal of Macroeconomic Dynamics Research, 2013
This paper revisits the zero inflation policy in the post Great Recession period to bring the mos... more This paper revisits the zero inflation policy in the post Great Recession period to bring the most updated facts about the effectiveness of the policy in the United States. We analyze the major benefits and costs of zero inflation. We point out that the benefits of the policy are not as significant as people thought, while the costs can easily exceed the benefits. In addition, we discuss the feasibility of the policy. The money wage rigidity, people's suspicious attitude toward the disinflation policy, and the presence of zero lower bounds (ZLB) of interest rates place dramatic barriers to the implementation of the zero inflation policy, making it almost infeasible. Therefore, the Federal Reserve should achieve a balance between the costs and benefits of preventing inflation rather than target at zero inflation.
SSRN Electronic Journal, 2013
We solve a moment problem to compute the best upper and lower bounds on the expected value E[φ(X)... more We solve a moment problem to compute the best upper and lower bounds on the expected value E[φ(X)], subject to constraints E[X^i] = μ_i for i = 1, 2,...,n. By setting φ(x)=I_(-\inf,t], the indicator function for the event X ≤ t, we calculate the bounds on Pr(X ≤ t) = E[I_(-\inf,t]]. The bounds can be narrowed if more information about distribution classes is added. Specifically, we show how to find the bounds on a variable with unimodal distribution. In addition, given a set of moments, we present a moment-constrained maximum entropy method that provides “point” estimates on tail probabilities. As robustness check, we investigate how the bounds can be narrowed if more moments are considered. In addition, to check the accuracy and reliability of our numerical bounds, we compare our method with De Schepper and Heijnen (2010) which provides explicit expressions for the bounds. The semiparametric bounds are useful in risk analysis where there is only incomplete information concerning the random variable X, such as an insurance loss or an asset return. We show how the inversion of these bounds leads to approximations to bounds on Value at Risk (VaR). Besides helping to construct a representative distribution with given moments, the moment-constrained maximum-entropy method can be used to define risk neutral probabilities for asset pricing. To illustrate this idea, we present a numerical example.
North American Actuarial Journal, 2014
North American Actuarial Journal, 2010
Journal of Risk and Insurance, 2012
This paper provides a new method, which we call the "MV+CVaR approach", for managing unexpected m... more This paper provides a new method, which we call the "MV+CVaR approach", for managing unexpected mortality changes underlying annuities and life insurance. The MV+CVaR approach optimizes the mean-variance tradeoff of an insurer's mortality portfolio, subject to constraints on downside risk. We show the efficiency of our MV+CVaR mortality portfolio by conducting a detailed analysis of its performance based on the moment methods and the maximum entropy. Our numerical examples illustrate the superiority of the MV+CVaR approach in mortality risk management and shed new light on natural hedging effects of annuities and life insurance.
SSRN Electronic Journal, 2013
We solve a moment problem to compute the best upper and lower bounds on the expected value E[φ(X)... more We solve a moment problem to compute the best upper and lower bounds on the expected value E[φ(X)], subject to constraints E[X^i] = μ_i for i = 1, 2,...,n. By setting φ(x)=I_(-\inf,t], the indicator function for the event X ≤ t, we calculate the bounds on Pr(X ≤ t) = E[I_(-\inf,t]]. The bounds can be narrowed if more information about distribution classes is added. Specifically, we show how to find the bounds on a variable with unimodal distribution. In addition, given a set of moments, we present a moment-constrained maximum entropy method that provides “point” estimates on tail probabilities. As robustness check, we investigate how the bounds can be narrowed if more moments are considered. In addition, to check the accuracy and reliability of our numerical bounds, we compare our method with De Schepper and Heijnen (2010) which provides explicit expressions for the bounds. The semiparametric bounds are useful in risk analysis where there is only incomplete information concerning the random variable X, such as an insurance loss or an asset return. We show how the inversion of these bounds leads to approximations to bounds on Value at Risk (VaR). Besides helping to construct a representative distribution with given moments, the moment-constrained maximum-entropy method can be used to define risk neutral probabilities for asset pricing. To illustrate this idea, we present a numerical example.
Risks
Land finance is a special land financing mode in China under the nationalization of urban land si... more Land finance is a special land financing mode in China under the nationalization of urban land since 1954. The policy authorizes local governments to collect fiscal revenue from land grant premiums and land taxes. As China is experiencing the social and economic transformation, heavily replying on land finance starts causing financial sustainable problems. Based on the spatial panel data of 30 provinces in China in the last two decades, we analyzed the spatial-temporal evolution of land finance. We found that the spatial variation of land finance declined during the period of study and decreased from east to west. The results revealed that land finance had significant positive spatial autocorrelation and robust spatial clustering characteristics. In addition, the spatial distribution of land finance was consistent with the population-based Hu Line. We also assessed land finance risks via a four-dimensional risk matrix through spatial panel regression (SPR). The spatial spillover eff...
Risks, 2022
In the past 30 years, as sponsors of defined benefit (DB) pension plans were facing more severe u... more In the past 30 years, as sponsors of defined benefit (DB) pension plans were facing more severe underfunding challenges, pension de-risking strategies have become prevalent for firms with DB plans to reduce pension-related risks. However, it remains unclear how pension de-risking activities affect firms’ performance, partially due to the lack of de-risking data. In this study, we develop a multi-phase methodology to build a de-risking database for the purpose of investigating impacts of firms’ pension risk transfer activities. We extract company filings between 1993 and 2018 from the SEC EDGAR database to identify different “de-risking” strategies that US-based companies have used. A combination of text mining, machine learning, and natural language processing methods is applied to the textual data for automated identification and classification of de-risking strategies. The contribution of this study is three-fold: (1) the design of a multi-phase methodology that identifies and ext...
Pension Risk Management eJournal, 2017
Pension becomes more and more important as people are living longer and pursuing higher living qu... more Pension becomes more and more important as people are living longer and pursuing higher living quality after retirement. This paper is to analyze the psychosocial factors that affect people’s pension demands in the US as well as in China. As two representative countries that have different pension systems, cultures, value systems, family structures, and age compositions, we identify the commonalities and differences involving in people’s pension decisions with a phenomenological qualitative method. American and Chinese residents’ experiences in pension selection and management are studied through in-depth interviews. While the existing studies focus on the macrostructure of a country’s pension system, we contribute to the literature by recognizing the micro influential factors at the individual level. Our analysis provides constructive suggestions and valuable implications to the policymakers who aim to amend an existing pension system, construct a new pension system, or carry out a...
The paper discusses how to assess risk by computing the best upper and lower bounds on the expect... more The paper discusses how to assess risk by computing the best upper and lower bounds on the expected value E[φ(X)], subject to the constraints E[X<sup>i</sup>] = µ<sub>i</sub> for i = 0, 1, 2, . . . , n. φ(x) can take the form of the indicator function φ(x) = 𝕀<sub>(−∞,K]</sub>(x) in which the bounds on Pr(X ≤ K) are calculated and the form φ(x) = (ϕ(x)−K)<sub>+</sub> in which the bounds on financial payments are founds. We solve the moment bounds on E[𝕀<sub>(−∞,K]</sub>(X)] through three methods; namely, the semidefinite programming method, the moment-matching method, and the linear approximation method. We show that for practical purposes, these methods provide numerically equivalent results. We explore the accuracy of bounds in terms of the number of moments considered. We investigate the usefulness of the moment method by comparing the moment bounds with the “point” estimate provided by the Johnson System of distribu...
International Journal of Portfolio Analysis and Management, 2018
This paper investigates tactical investment strategies for investors to survive financial crises.... more This paper investigates tactical investment strategies for investors to survive financial crises. Compared with the buy-and-hold strategy, the buy-and-sell strategy is much more effective in mitigating downside risk before, during, and after a crisis by restricting the left-tail volatility of portfolio returns through CVaR constraints. The paper also studies investors' optimal turnovers around a crisis under the buy-and-hold strategy. Considering investors' heterogeneous behaviours, we find the wealth-weighted average optimal turnover across all investors during a crisis is much higher than that before or after the crisis. This indicates investors who enter the market before a crisis may be better off by leaving their portfolios untouched during the market downturn. In addition, the downside risk control model can detect a market downturn earlier than the mean-variance model therefore it helps to 'spread out' the required asset adjustments over a longer horizon than the crisis period itself.
Journal of Forecasting, 2019
North American Actuarial Journal, 2017
ABSTRACT This article discusses how to assess risk by computing the best upper and lower bounds o... more ABSTRACT This article discusses how to assess risk by computing the best upper and lower bounds on the expected value E[φ(X)], subject to the constraints E[Xi] = μi for i = 0, 1, 2, …, n. φ(x) can take the form of the indicator function in which the bounds on are calculated and the form φ(x) = (ϕ(x) − K)+ in which the bounds on financial payments are found. We solve the moment bounds on through three methods: the semidefinite programming method, the moment-matching method, and the linear approximation method. We show that for practical purposes, these methods provide numerically equivalent results. We explore the accuracy of bounds in terms of the number of moments considered. We investigate the usefulness of the moment method by comparing the moment bounds with the “point” estimate provided by the Johnson system of distributions. In addition, we propose a simpler formulation for the unimodal bounds on compared to the existing formulations in the literature. For those problems that could be solved both analytically and numerically given the first few moments, our comparisons between the numerical and analytical results call attention to the potential differences between these two methodologies. Our analysis indicates the numerical bounds could deviate from their corresponding analytical counterparts. The accuracy of numerical bounds is sensitive to the volatility of X. The more volatile the random variable X is, the looser the numerical bounds are, compared to their closed-form solutions.
SSRN Electronic Journal, 2013
Journal of Macroeconomic Dynamics Research, 2013
This paper revisits the zero inflation policy in the post Great Recession period to bring the mos... more This paper revisits the zero inflation policy in the post Great Recession period to bring the most updated facts about the effectiveness of the policy in the United States. We analyze the major benefits and costs of zero inflation. We point out that the benefits of the policy are not as significant as people thought, while the costs can easily exceed the benefits. In addition, we discuss the feasibility of the policy. The money wage rigidity, people's suspicious attitude toward the disinflation policy, and the presence of zero lower bounds (ZLB) of interest rates place dramatic barriers to the implementation of the zero inflation policy, making it almost infeasible. Therefore, the Federal Reserve should achieve a balance between the costs and benefits of preventing inflation rather than target at zero inflation.
SSRN Electronic Journal, 2013
We solve a moment problem to compute the best upper and lower bounds on the expected value E[φ(X)... more We solve a moment problem to compute the best upper and lower bounds on the expected value E[φ(X)], subject to constraints E[X^i] = μ_i for i = 1, 2,...,n. By setting φ(x)=I_(-\inf,t], the indicator function for the event X ≤ t, we calculate the bounds on Pr(X ≤ t) = E[I_(-\inf,t]]. The bounds can be narrowed if more information about distribution classes is added. Specifically, we show how to find the bounds on a variable with unimodal distribution. In addition, given a set of moments, we present a moment-constrained maximum entropy method that provides “point” estimates on tail probabilities. As robustness check, we investigate how the bounds can be narrowed if more moments are considered. In addition, to check the accuracy and reliability of our numerical bounds, we compare our method with De Schepper and Heijnen (2010) which provides explicit expressions for the bounds. The semiparametric bounds are useful in risk analysis where there is only incomplete information concerning the random variable X, such as an insurance loss or an asset return. We show how the inversion of these bounds leads to approximations to bounds on Value at Risk (VaR). Besides helping to construct a representative distribution with given moments, the moment-constrained maximum-entropy method can be used to define risk neutral probabilities for asset pricing. To illustrate this idea, we present a numerical example.
North American Actuarial Journal, 2014
North American Actuarial Journal, 2010
Journal of Risk and Insurance, 2012
This paper provides a new method, which we call the "MV+CVaR approach", for managing unexpected m... more This paper provides a new method, which we call the "MV+CVaR approach", for managing unexpected mortality changes underlying annuities and life insurance. The MV+CVaR approach optimizes the mean-variance tradeoff of an insurer's mortality portfolio, subject to constraints on downside risk. We show the efficiency of our MV+CVaR mortality portfolio by conducting a detailed analysis of its performance based on the moment methods and the maximum entropy. Our numerical examples illustrate the superiority of the MV+CVaR approach in mortality risk management and shed new light on natural hedging effects of annuities and life insurance.