免赔额和NCD赔付条件下保险索赔次数的分布

本文分析了免赔额及NCD赔付条件对索赔次数分布的影响,通过比较风险事件与索赔事件的差异引出了一类同质集合保单索赔次数的分布(PG分布);给出了PG分布的性质及参数估计方法。通过两个保险实例展示了数据拟合效果。     

随机组合风险的风险溢价

随机组合风险在保险索赔理论、金融及经济管理等领域有广泛的应用,数学上采用随机和来刻画随机组合风险。风险溢价在金融经济学及保险经济学的理论中都是很重要的概念,它不仅与风险的大小有关,还与当事人对风险的态度有关,从理论上看就是与当事人的效用函数有关。本文研究在期望效用理论下随机组合风险的风险溢价问题,探讨了由组合数(如索赔次数)的不确定性所引起的风险溢价,给出了几种不同效用函数下随机组合风险的风险溢价的计算公式,并特别针对随机Poisson组合及随机Poisson-Geometric组合给出了其风险溢价的计算公式及性质。     

个别风险模型中总索赔额分布函数的界值及应用

根据单个保单索赔额分布函数的一些性质,本文研究了个别风险模型中总索赔额分布函数的界值问题,并给出了计算实例和应用。     

重尾索赔条件下现代风险模型的破产概率估计:多险种混合情形

破产概率是非寿险保险风险理论的核心问题。与经典的Cramér-Lundberg模型相比, 由Li Zehui等建立的现代风险模型更为准确地描述了非寿险保险运营的主要特征, 对现实保险业务具有较好的解释力。本文基于现代风险模型, 考虑保险公司多个险种混合经营这一更为现实的情形, 在索赔额服从正则尾分布条件下获得了破产概率的渐近等价估计。我们发现, 在具有大额索赔特征的多个险种混合的条件下, 公司面临的极端索赔风险将由索赔额分布尾部最厚的那些险种决定, 而索赔额分布尾部相对较薄的那些险种的影响作用将被淹没。该结论的有效性可用MATLAB数值模拟得到理想的验证。本文结果是对风险模型研究的重要推广, 也为多险种混合情形下保险公司的风险控制与初始保证金界定提供了依据。     

浅析物业管理责任保险

物业管理企业是劳动密集型行业,在日常服务的同时,也伴随着＂因小区安全措施不当、或警告标识不明显,引起第三者滑倒、碰撞、坠落等意外事故,造成第三者财产损失或人身伤亡＂、＂水管爆裂、水淹造成物业财产损失＂等等共11种可能存在的风险.2000年9月,中国人民财产保险公司推出了一个专门针对物业管理企业的风险状况而开发、设计的险种--＂物业责任保险＂.此种保险的推出,为微利状态下的物业管理企业提供了一定保障.     

索赔次数为复合Poisson-Geometric过程下破产概率的显式表达

本文研究索赔次数为复合Poisson-Geometric过程下的风险模型;当个体索赔额服从相位(Phase-Type)分布时,得到了破产概率的显式表达式及数值结果。     

我国车险市场效益提高途径研究——基于哈顿矩阵

近年来,我国机动车辆保险发展十分迅速,是我国财险业务中的第一大险种,与此同时,车险赔付率也处于较高水平,严重影响财险公司的盈利能力。本文将机动车辆保险纳入哈顿矩阵模型,按照车险事故在碰撞前、碰撞时、碰撞后三个阶段对影响机动车辆保险市场效益的因素进行分析,并从投保人、保险人、保险中介人、交警、汽车制造商、汽车修理商、政府等6个方面提出提高我国车险市场效益的建议。     

基于WEKA平台的文本聚类研究与实现

文本聚类是文本挖掘领域的一个重要研究分支.是聚类方法在文本处理领域的应用.本文首先对基于空间向量模型的文本聚类过程做了较深入的讨论和总结.另外,本文回顾了现有的文本聚类算法,以及常用的文本聚类效果评价指标.在研究了已有成果的基础上,本文利用20Newsgroup文本语料库,针对向量空间表示模型,在开源的数据挖掘平台WEKA上实现了文本预处理和k-means聚类算法,并根据实际聚类效果,就文本表示、特征选择、特征降维等方面提出优化方案.     

Erlang风险模型有限时间的破产概率

Erlang风险模型广泛应用于排队论、控制论以及金融风险过程.本文在索赔来到(claim-arrival)为Erlang过程,索赔额服从帕雷托分布以及具有常数利息力度的假设下,得到了有限时间内破产概率的渐近表达公式.该结果实质性地推广了Kluppelberg and Stadtmuller[1]和Tang[2]的结果:前者考虑了无穷时间的破产概率,而后者考虑的过程局限为泊松的.由破产模型与排队模型之间的联系可知,本文的结果在管理科学中有许多应用.     

基于XML的施工索赔标记语言CCML的索赔数据分析

工程施工索赔数据的管理是进行索赔决策的前提.根据索赔数据的特点和XML的技术优势,分析了创建施工索赔领域的施工索赔标记语言CCML来组织管理索赔数据的适用性;具体描述了索赔数据在CCML中的同构变换;并以应用实例为基础,深入分析了索赔数据的数据元素和数据结构,给出相应的DTD模型.     

考虑两类赔款数据相关性的随机性准备金进展法及改进

本文创新性地提出基于成对抽数的非参数Bootstrap方法、二元正态分布和Copulas函数三种考虑已决赔款与已报案赔款相关性的随机性准备金进展法,并结合非寿险精算实务中的经典流量三角形数据,应用R软件对三种考虑相关性的随机性准备金进展法进行了完整的编程实现,并模拟得到了最终损失、未决赔款准备金和IBNR的完整的预测分布。本文提出的考虑相关性的随机性准备金进展法不但考虑了两类赔款数据之间的相关性,而且体现了不同事故年已发生已报案未决赔款准备金进展情况之间的差异。这种处理相关性的思路和方法在多元准备金评估中具有重要的应用价值。     

A Simulation Study of Quantitative Risk Assessment for Bivariate Continuous Outcomes

The neurotoxic effects of chemical agents are often investigated in controlled studies on rodents, with binary and continuous multiple endpoints routinely collected. One goal is to conduct quantitative risk assessment to determine safe dose levels. Yu and Catalano (2005) describe a method for quantitative risk assessment for bivariate continuous outcomes by extending a univariate method of percentile regression. The model is likelihood based and allows for separate dose‐response models for each outcome while accounting for the bivariate correlation. The approach to benchmark dose (BMD) estimation is analogous to that for quantal data without having to specify arbitrary cutoff values. In this article, we evaluate the behavior of the BMD relative to background rates, sample size, level of bivariate correlation, dose‐response trend, and distributional assumptions. Using simulations, we explore the effects of these factors on the resulting BMD and BMDL distributions. In addition, we illustrate our method with data from a neurotoxicity study of parathion exposure in rats.     

Bivariate Distributions for Height and Weight of Men and Women in the United States

For the U.S. population, we fit bivariate distributions to estimated numbers of men and women aged 18-74 years in cells representing 1 in. intervals in height and 10 lb intervals in weight. For each sex separately, the marginal histogram of height is well fit by a normal distribution. For men and women, respectively, the marginal histogram of weight is well fit and satisfactorily fit by a lognormal distribution. For men, the bivariate histogram is satisfactorily fit by a normal distribution between the height and the natural logarithm of weight. For women, the bivariate histogram is satisfactorily fit by two superposed normal distributions between the height and the natural logarithm of weight. The resulting distributions are suitable for use in public health risk assessments.     

MORAL HAZARD AND CAPITAL STRUCTURE DYNAMICS

We base a contracting theory for a startup firm on an agency model with observable but nonverifiable effort, and renegotiable contracts. Two essential restrictions on simple contracts are imposed: the entrepreneur must be given limited liability, and the investor's earnings must not decrease in the realized profit of the firm. All message game contracts with pure strategy equilibria (and no third parties) are considered. Within this class of contracts/equilibria, and regardless of who has the renegotiating bargaining power, debt and convertible debt maximize the entrepreneur's incentives to exert effort. These contracts are optimal if the entrepreneur has the bargaining power in renegotiation. If the investor has the bargaining power, the same is true unless debt induces excessive effort. In the latter case, a nondebt simple contract achieves efficiency—the noncontractibility of effort does not lower welfare. Thus, when the noncontractibility of effort matters, our results mirror typical capital structure dynamics: an early use of debt claims, followed by a switch to equity‐like claims. (JEL: D820, L140, O261)     

基于需求更新的民航收入管理动态存量控制模型

本文对民航收入管理存量控制研究中具有里程碑意义的EMSR(Expected Marginal Seat Revenue)模型进行了评述,分析其存在的缺陷,提出将销售过程中获取的最新销售信息与需求的历史先验分布相结合,运用二维正态分布下的贝叶斯模型对需求分布进行更新,并将综合考虑新的需求预测、No-Show和取消订票等因素得到的新的需求限制与座位总数C相比较,给出更为通用的、市场反应更为灵敏的民航收入管理动态存量控制模型。     

Entering a Dialogue: Positioning Case Study Findings towards Theory

Demonstrating a theoretical contribution is seen as a central challenge in case study research; however, the literature provides little guidance on the crucial step of positioning the study's theoretical claims in relationship to prior theory. This paper addresses the question of how to enter into a dialogue with extant theory in theory building case study research in the field of management. We present three ways of positioning to demonstrate a theoretical contribution, illustrating each with examples from recent case studies drawing on the dynamic capabilities approach. By distinguishing between seeking complementarities and dissimilarities in theory building, we add to this discussion and shed light on the benefits of entering a synergistic, antagonistic and pluralistic dialogue for making a significant theoretical contribution. Methodologically, we more fully specify how case study researchers can elaborate upon their theoretical claims in relation to prior theory.     

Sign Restrictions,Structural Vector Autoregressions,and Useful Prior Information

This paper makes the following original contributions to the literature. (i) We develop a simpler analytical characterization and numerical algorithm for Bayesian inference in structural vector autoregressions (VARs) that can be used for models that are overidentified, just‐identified, or underidentified. (ii) We analyze the asymptotic properties of Bayesian inference and show that in the underidentified case, the asymptotic posterior distribution of contemporaneous coefficients in an n‐variable VAR is confined to the set of values that orthogonalize the population variance–covariance matrix of ordinary least squares residuals, with the height of the posterior proportional to the height of the prior at any point within that set. For example, in a bivariate VAR for supply and demand identified solely by sign restrictions, if the population correlation between the VAR residuals is positive, then even if one has available an infinite sample of data, any inference about the demand elasticity is coming exclusively from the prior distribution. (iii) We provide analytical characterizations of the informative prior distributions for impulse‐response functions that are implicit in the traditional sign‐restriction approach to VARs, and we note, as a special case of result (ii), that the influence of these priors does not vanish asymptotically. (iv) We illustrate how Bayesian inference with informative priors can be both a strict generalization and an unambiguous improvement over frequentist inference in just‐identified models. (v) We propose that researchers need to explicitly acknowledge and defend the role of prior beliefs in influencing structural conclusions and we illustrate how this could be done using a simple model of the U.S. labor market.     

Lognormal Distributions for Total Water Intake and Tap Water Intake by Pregnant and Lactating Women in the United States

Using probability plots and Maximum Likelihood Estimation (MLE), we fit lognormal distributions to data compiled by Ershow et al. for daily intake of total water and tap water by three groups of women (controls, pregnant, and lactating; all between 15–49 years of age) in the United States. We also develop bivariate lognormal distributions for the joint distribution of water ingestion and body weight for these three groups. Overall, we recommend the marginal distributions for water intake as fit by MLE for use in human health risk assessments.     

Probabilistic Analysis of Dam Accidents Worldwide: Risk Assessment for Dams of Different Purposes in OECD and Non-OECD Countries with Focus on Time Trend Analysis

This study presents probabilistic analysis of dam accidents worldwide in the period 1911–2016. The accidents are classified by the dam purpose and by the country cluster, where they occurred, distinguishing between the countries of the Organization for Economic Cooperation and Development (OECD) and nonmember countries (non-OECD without China). A Bayesian hierarchical approach is used to model distributions of frequency and severity for accidents. This approach treats accident data as a multilevel system with subsets sharing specific characteristics. To model accident probabilities for a particular dam characteristic, this approach samples data from the entire data set, borrowing the strength across data set and enabling to model distributions even for subsets with scarce data. The modelled frequencies and severities are combined in frequency-consequence curves, showing that accidents for all dam purposes are more frequent in non-OECD (without China) and their maximum consequences are larger than in OECD countries. Multipurpose dams also have higher frequencies and maximum consequences than single-purpose dams. In addition, the developed methodology explicitly models time dependence to identify trends in accident frequencies over the analyzed period. Downward trends are found for almost all dam purposes confirming that technological development and implementation of safety measures are likely to have a positive impact on dam safety. The results of the analysis provide insights for dam risk management and decision-making processes by identifying key risk factors related to country groups and dam purposes as well as changes over time.     

Inventory Rationing for Multiple Class Demand under Continuous Review

We consider how a firm should ration inventory to multiple classes in a stochastic demand environment with partial, class‐dependent backlogging where the firm incurs a fixed setup cost when ordering from its supplier. We present an infinite‐horizon, average cost criterion Markov decision problem formulation for the case with zero lead times. We provide an algorithm that determines the optimal rationing policy, and show how to find the optimal base‐stock reorder policy. Numerical studies indicate that the optimal policy is similar to that given by the equivalent deterministic problem and relies on tracking both the current inventory and the rate that backorder costs are accumulating. Our study of the case of non‐zero lead time shows that a heuristic combining the optimal, zero lead time policy with an allocation policy based on a single‐period profit management problem is effective.