【作者】 颜会芳；

【导师】 田水承；

【作者基本信息】 西安科技大学 ， 安全技术及工程， 2010， 博士

【摘要】 煤矿安全投入不足的一个重要原因是目前使用的安全投资评价方法对安全投资的外部竞争性、未来不确定性和潜在性等因素未予考虑,低估安全投资价值,不能准确衡量安全投资价值,影响了煤矿安全投资的积极性。本文结合煤矿安全投资项目的特殊性,基于实物期权和博弈论,建立了不确定条件下安全投资战略项目价值的概念模型,概括出了安全投资战略实物期权博弈分析的思路、理论依据、理论框架、分析工具和分析步骤,建立了以下模型:(1)基于Black-Scholes(简称B-S)模型和二叉树模型(又称二叉网格图),在无风险利率是常数情况下,创建了在煤矿资产本身价值有收益率和安全投资项目价值有期权价值的拓展B-S模型和二叉树模型,并用Real Option软件和Excel编程功能进行了求解。用实例验证了拓展B-S模型和二叉树模型的一致性和正确性。结果表明该方法既能使煤矿安全投资的潜在机会价值得到充分体现,又能反映净现值法估算的静态价值。(2)基于Merton模型和拓展B-S模型,在无风险利率是随机波动情况下,建立了煤矿安全投资的实物期权价值模型(该模型暂没考虑煤矿资产价值本身的收益率)。同时将Cox对银行利率运动规律的结论,应用到无风险利率的预测中。用差分方法从中国各年度国债利率的历史数据预测无风险利率均值、方差和利率向均值靠拢的速度。用实例验证了该模型在安全投资期限较长时,比无风险利率是常数的模型更能准确反映的安全投资价值。(3)在Geske复合期权定价公式的基础上,结合煤矿的特点,得出了分两阶段投资、具有复合期权特征的安全投资项目价值的连续型和离散型估算公式。并用实例验证了两种模型的一致性。在前阶段安全投资期权的执行影响后阶段安全投资期权的执行情况下,煤矿管理人员运用复合期权定价能克服净现值法定价的缺点,合理地计算安全投资价值,从而达到帮助煤矿高管层做出科学决策的目的。(4)运用博弈论研究煤矿安全投资水平与员工忠诚度的问题。建立了煤矿安全投资水平与员工忠诚度之间的博弈模型,寻找最优均衡投资战略,得出混合策略纳什均衡解,并对影响煤矿安全投资水平和员工忠诚度大小的因素进行分析,用两个煤矿调查数据对模型进行了论证。引导企业以积极的态度,加大安全投资力度,为员工提供安全和生活保障,只有使双方的“非合作博弈”逐步过渡到“合作博弈”,才能调动和爱护员工的爱岗敬业精神,提高劳动生产率,提高煤矿经济效益。基于实物期权博弈方法使煤矿安全投资项目的管理柔性价值和战略价值得到度量。它不仅弥补了传统的投资决策分析方法在分析不确定条件下的项目投资决策问题时存在的明显缺陷,对实物期权投资分析方法忽略竞争因素作了补充,使安全投资战略分析更加科学;同时也为安全投资理论的发展和研究提供了一种新的研究方法;更重要的是它的引入将改变投资者对待风险的态度,引导投资者从将不确定性作为一种消极的因素来考虑转变为将不确定性作为积极的因素加以考虑,可以充分调动项目管理者主动、积极、动态地管理安全投资项目。更多还原

【Abstract】 It is an importance reason about safety investment shortage of coal mine, that is the current safety investment assessment methods ignore such factors as external competition, future uncertainty, irreversibility, chronicity and potential, and underestimate safety investment value, and can′t measure safety investment value accurately, and influence enterprise′s aggressive for safety investment.Considering factors on coal mine safety investment and its particularity, this paper established the conceptual model of the project value of safety investment strategy under uncertain conditions based on real-option-games theory. Analytical thinking, the theoretical framework, theoretical basis, analysis tools and analysis steps of real-option-games in safety investment strategy are summed up. The following models were established:(1)According to Black-Scholes(B-S) model and binomial lattices model, extended B-S model and binomial lattices model on a coal mine property come out, which is at risk-free constant rate of interest, which is the value of the coal mine′s assets themselves have yield and safety investment projects have option value, and the solution was got by using Real Option software and Excel. The consistency and correctness of two extended models were verified by example. The results indicated that this method not only made the potential opportunities value of safety investment in coal mine is reflected fully, but also reflected the static value which was estimated by Net Present Value (NPV) method.(2)Regardless of gain in coal mine itself, a real option value model established, based on Merton model and at risk-free random rate of interest safety investment. This model makes use of Cox-Model, extended B-S model, and stochastic difference equations from China annual data of the national treasure interest rate to figure out average value at risk-free rate of interest, mean square error, and speed of closing to average value. A specific example proved the model to be more accurate in reflecting the value of security investments than the risk-free interest rate is constant if the period of safety investment is longer.(3)A two-step Compound-real-option estimating formula is provided, based on Geske compound option pricing formula, the characteristics of coal mine enterprise. Model proves to be accurate by a specific example. The early implementation of safety investment options can affect the future implementation. Compound-real-option pricing can avoid the shortcomings of NPV valuation and compute scientifically the option value of safety investment, and help the senior management in coal mine to make scientific decisions.(4)It benefits using the game theory to study on safety investment problems of coal mine, such as a solution model on safety investment of both enterprise and its employees, an optimized investment strategy to achieve a mixed strategy Nash Equilibrium solution. It also analyzes factors reflecting the relationship between the level of safety investment and employee′s loyalty. Accuracy of model is proved by examples in two coal mines. We should guide enterprises from a positive attitude to increase safety investment in order to initiate the staff′s safety and life guarantee system. In a word, only changing from the′non-cooperative game′between employees and enterprises gradually into′cooperative game′can motivate the employee′s positivity and loyalty, raise labor productivity, and improve the economic benefits of coal mine.This study realizes the accurate measurement of flexible value and strategic value in safety investment projects, making physically safety investment strategic analysis more accurate. It not only make up obvious blemish of traditional safety investment assessment methods, and the defects that the analysis of real option investment overlooked competitive factors, but also offering a kind of new approach to safety investment theories development and research, more importantly, leading to that investor′s attitude of risk change from negative into aggressive. Its item governor is active, aggressive, and dynamic for management investment.更多还原