Pricing and hedging equity-indexed annuities via local risk-minimization

Lin et al. (2009) employed the Esscher transform method to price equity-indexed annuities (EIAs) when the dynamic of the market value of a reference asset was driven by a generalized geometric Brownian motion model with regime-switching. Some rare events (release of an unexpected economic figure, major political changes or even a natural disaster in a major economy) can lead to brusque variations in asset prices, and hence we sometimes need to consider jump models. This paper extends the model and analysis in Lin et al. (2009). Specifically, we assume that the financial market has a regime-switching jump-diffusion model, under which we price the point-to-point, the Asian-end, the high water mark and the annual reset EIAs by exploiting the local risk-minimization approach. The effects of the model parameters on the EIAs pricing are illustrated through numerical experiments. Meanwhile, we present the locally risk-minimizing hedging strategies for EIAs.     

Valuing equity-indexed annuities with icicled barrier options

Inspired by the recent popularity of autocallable structured products, this paper intends to enhance equity-indexed annuities (EIAs) by introducing a new class of barrier options, termed icicled barrier options. The new class of options has a vertical (icicled) barrier along with the horizontal one of the ordinary barrier options, which may act as an additional knock-in or knock-out trigger. To improve the crediting method of EIAs, we propose a new EIA design, termed autocallable EIA, with payoff structure similar to the autocallable products except for the minimum guarantee, and further investigate the possibility of embedding various icicled barrier options into the plain point-to-point or the ratchet EIAs. Explicit pricing formulas for the proposed EIAs and the icicled barrier options are obtained under the Black–Scholes model. To the purpose, we derive the joint distribution of the logarithmic returns at the icicled time and the maturity, and their running maximum. As an application of the well-known reflection principle, the derivation itself is an interesting probability problem and the joint distribution plays a key role in the subsequent pricing stage. Our option pricing result can be easily transferred to EIAs or other equity-linked products. The pricing formulas for the EIAs and the options are illustrated through numerical examples.     

能源化工产业高级化与经济增长——兼论能源化工产业最优匹配

能源化工产业是重要的基础性产业，现阶段对能源化工产业高级化及其对经济增长影响研究的成果还较少。文章首先将能源化工产业分为能源开采业、能源加工业和化工产业三大产业，测算能源化工产业高级化水平，结果表明能源资源禀赋导致了能源化工高级化水平的“低端锁定”，能源富集区能源产业高级化水平远远低于非能源富集省份，能源化工产业空间错配现象突出。其次，实证检验能源化工产业高级化对经济增长的影响，结果表明提高能源化工高级化水平能够显著促进经济增长，且不同产业规模的能源化工产业高级化对经济增长的影响存在差异性。再次，采用滚动回归方法检验随着能源化工产业高级化水平和产业结构变动，能源化工产业高级化水平对经济增长影响的变动状况，探讨能源化工产业内部最优匹配问题，结果表明能源化工产业高级化水平在1.05-1.15之间、能源开采业占能源化工产业比重在0.20-0.40之间，能源化工产业高级化对经济增长的促进效应最大。最后提出优化能源富集区能源化工产业匹配度、促进化工产业富集区新产品和新技术研发以及缓解能源化工产业空间错配等方面的政策建议。     

利润最大化区位理论与广州高房价的根源

本文利用利润最大化区位理论,建立房价模型,实证研究广州房价持续上涨的根源。发现影响房价的主要因素是住房供给的短缺,次要原因是高成本以及严重的贫富分化。其体制根源在于自由竞争的地产需求市场与计划经济的地产供给市场之间的矛盾,政策根源在于政府变为“经济人”,一味经营城市,经济根源在于因竞争和权力垄断所导致的产业分化,社会根源在于广州市民不合理的住房消费习惯。因而,近期来讲,加大土地供给、改革土地出让方式、实行房地产累进累退税是抑制房价的关键,从长远来讲,要建立自由竞争的地产供给市场,变“经济人”政府为服务性政府,优化产业结构,取消“国字头”行业特权。     

Risk of Error and the Kappa Coefficient of a Binary Diagnostic Test in the Presence of Partial Verification

The accuracy of a binary diagnostic test is usually measured in terms of its sensitivity and its specificity, or through positive and negative predictive values. Another way to describe the validity of a binary diagnostic test is the risk of error and the kappa coefficient of the risk of error. The risk of error is the average loss that is caused when incorrectly classifying a non-diseased or a diseased patient, and the kappa coefficient of the risk of error is a measure of the agreement between the diagnostic test and the gold standard. In the presence of partial verification of the disease, the disease status of some patients is unknown, and therefore the evaluation of a diagnostic test cannot be carried out through the traditional method. In this paper, we have deduced the maximum likelihood estimators and variances of the risk of error and of the kappa coefficient of the risk of error in the presence of partial verification of the disease. Simulation experiments have been carried out to study the effect of the verification probabilities on the coverage of the confidence interval of the kappa coefficient.     

我国男女两性老龄人口死亡率联合建模与预测

老龄人口死亡率建模和预测是长寿风险度量和养老金风险管理的基础。在我国,退休年龄及以上老龄人口死亡数据稀少,随机波动大,构建能够捕捉老龄人口死亡率随性别、年龄和时间变动的动态预测模型成为难题。本文采用Logistic两人口死亡率模型研究我国老龄人口死亡率的建模与预测。首先,运用死亡率数据质量较好的我国台湾地区数据,对模型结构进行选择,并检验模型的稳健性和预测性能。其次,基于我国大陆地区死亡率数据对模型结构进行二次验证和选择,应用所选模型对大 陆地区老龄死亡率进行建模和预测。结果显示,对于我国男女老龄死亡率的拟合和预测,Logistic 两人口模型均优于单人口CBD模型。最后,运用Logistic两人口死亡率模型对死亡率在年龄和时间两个维度上外推和预测,计算出时期和队列老龄人口分年龄的预期余寿,为养老金精算评估和长寿风险分析提供更准确的数据支持。     

养老保险可携带性、农村劳动力流动与农村反贫困

本文在三部门经济框架下拓展了Harris和Todaro(1970)关于劳动力流动及其经济与社会影响的H-T模型,对养老保险可携带性影响农村劳动力流动的收入增长效应和贫富调节机制开展了理论及实证研究。结果显示:经济发展水平和产业层级在地区之间的梯度分化与城乡之间高达1.9~2.6倍的收入差距,是农村劳动力向城镇流动以及在不同城镇之间跨区流动的根本原因。养老保险可携带性是通过改变流动成本和流动收益影响农村劳动力的流动效率和流动方向,具有显著的收入增长效应和贫富调节作用。提高养老保险可携带性在2000—2019年间可使农村劳动力收入提高 35%以上,并可使城乡劳动 力收入差距减少15%~34%。有力地验证了《城镇企业职工基本养老保险关系转移接续暂行办法》在城乡协同发展、增加农民收入和缩小城乡贫富差距中的积极作用及其进一步完善的必要性和方向。     

城市规模与人力资本技能溢价:集聚效应和选择效应

本文利用2013年中国家庭收入调查(CHIP)的个人样本数据与《中国城市统计年鉴》数据,考察城市规模与异质性劳动力收入和人力资本技能溢价的关系,并结合城市集聚经济理论和空间知识经济理论对其内在影响机制进行剖析与实证检验。结果显示:大城市在集聚效应和选择效应的作用下具有更高的劳动力名义工资和技能溢价水平;考虑不同规模城市的生活成本差异后,补偿效应会部分抵消大城市的工资溢价,对劳动者的实际收入产生消极影响,从而弱化大城市的技能溢价水平。进一步的非线性效应分析发现,城市规模与劳动力名义收入和实际收入分别存在倒U型和正U型关系;通过比较城市规模对不同收入群体技能溢价的差异性影响验证了群分效应的存在。研究结果对于新型城镇化过程中不同规模等级城市人才政策的制定以及技能异质性劳动力的就业选择具有重要的现实意义和参考价值。     

制造业与生产性服务业耦合能否促进空间协调——基于285个城市数据的检验

产业空间协调发展兼有产业关联与空间关联的特征,空间集聚与空间转移具有实现产业协调与区域协调的二重协调作用。本文基于中国285城市2003—2016年数据,采用耦合协调度模型和空间面板杜宾模型验证制造业与生产性服务业协调发展所带来的空间协调发展问题。耦合协调度模型得到年度制造业与生产性服务业处于良好协调发展区间,城市制造业与生产性服务业耦合协调度较低,67.37%的城市处于濒临失调衰退区间与勉强协调发展区间。空间面板杜宾模型得到制造业与生产性服务业协调发展的正向溢出作用促进了区域协调发展,空间集聚与空间转移的作用机制具有非线性特征,对本地产业协调发展具有先弱化后增强的作用,但对相邻地区产业协调发展具有一定的虹吸效应。因此,建议增强产业与空间的系统性,强化产业空间集聚与空间转移的资源配置能力,发挥产业耦合协调作用促进空间协调发展。     

中国居民资本要素收入有多少?

资本要素收入作为国民总收入中的重要组成部分,测算、厘清其在政府、企业和住户之间的分配状况以及居民资本要素收入的结构是必要的基础性工作。利用资金流量表和统计局住户调查数据,对我国资本要素收入及其部门分配和居民资本要素收入的结构进行测算,研究发现:(1)居民资本要素收入长期以来高速增长,在国民总收入中所占比例基本稳定在10%左右,但在总资本要素收入中所占比重经历了先上升(20世纪90年代)后下降(21世纪初)的过程;(2)居民税前、税后资本要素收入对比反映出我国对居民资本要素收入征税力度尚小,最高不超过4%;(3)伴随改革和经济社会发展,我国居民资本要素收入结构由改革开放初期主要以农村居民的经营性收入为主转变为经营性、财产性收入并驾齐驱;(4)宏、微观口径测算的结果存在一定缺口,主要由劳动者报酬存在低估以及住户数据的系统性误差导致形成,国民经济核算的完善应得到关注。     

Optimal predictive sample size for case–control studies

Summary.  The identification of factors that increase the chances of a certain disease is one of the classical and central issues in epidemiology. In this context, a typical measure of the association between a disease and risk factor is the odds ratio. We deal with design problems that arise for Bayesian inference on the odds ratio in the analysis of case–control studies. We consider sample size determination and allocation criteria for both interval estimation and hypothesis testing. These criteria are then employed to determine the sample size and proportions of units to be assigned to cases and controls for planning a study on the association between the incidence of a non-Hodgkin's lymphoma and exposition to pesticides by eliciting prior information from a previous study.     

Interpretation of Canonical Discriminant Functions,Canonical Variates,and Principal Components

Canonical discriminant functions are defined here as linear combinations that separate groups of observations, and canonical variates are defined as linear combinations associated with canonical correlations between two sets of variables. In standardized form, the coefficients in either type of canonical function provide information about the joint contribution of the variables to the canonical function. The standardized coefficients can be converted to correlations between the variables and the canonical function. These correlations generally alter the interpretation of the canonical functions. For canonical discriminant functions, the standardized coefficients are compared with the correlations, with partial t and F tests, and with rotated coefficients. For canonical variates, the discussion includes standardized coefficients, correlations between variables and the function, rotation, and redundancy analysis. Various approaches to interpretation of principal components are compared: the choice between the covariance and correlation matrices, the conversion of coefficients to correlations, the rotation of the coefficients, and the effect of special patterns in the covariance and correlation matrices.     

Modern statistics: the myth and the magic

Summary.  The paper is a personal exploration of the puzzling contradiction between the fundamental excitement of statistics and its poor public image. It begins with the historical foundations and proceeds through the role of applications and the dramatic impact of the computer in shaping the discipline. The mismatch between the reality of statistics and its public perception arises from a number of dichotomies, some of which are explored. In particular, although statistics is perhaps typically seen as an impersonal discipline, in some sense it is very personal, and many of its applications are aimed at providing unique benefit to individuals. This benefit depends on the creation of detailed data sets describing individuals, but the contrary view is that this represents an invasion of privacy. Some observations on statistical education are made, and issues which will affect the future health of the discipline are examined.     

New polya and inverse polya distributions of order k

New Polya and inverse Polya distributions of order k are derived by means of generalized urn models and by compounding the binomial and negative binomial distributions of order k of Philippou (1986, 1983) with the beta distribution. It i s noted that the present Polpa distribution of order k includes as special cases a new hypergeometric distribution of order k, a negative one,an inverse one, and a discrete uniform of the same order. The probability generating functions, means and variances of the new distributions are obtained, and five asymptotic results are established relating them to the abovedmentioned binomial and negative binomial distributions of order k, and to the Poisson distribution of the same order of Philippou (1983).Moment estimates are also given and applications are indicated.     

产业关联效应测度理论辨析

基于投入产出模型可以构建多种产业关联效应测度方法,但不同方法间的区别与联系尚未获得足够重视和透彻把握。本文探讨了常规不加权产业关联测度的真实内涵和局限性,并由经济分析入手探讨和论证了相应的加权测度形式;将简单和加权的两种方式归纳为产业关联的相对（边际或平均）测度和绝对（规模）测度,着重辨析其经济内涵的异同点;进而分别采用Leontief和Ghosh模型体系,从需求拉动和供给推动两个角度测度后向和前向产业关联效应。结合我国投入产出数据的实证分析表明,不同测度方法给出的结果均有其经济分析价值;但相对而言,考虑规模因素的加权测度方法在刻画实际的产业关联效应方面显得更为客观、可信。     

中国农产品期货套期保值绩效实证分析

运用误差修正模型估计了中国棉花、玉米、豆粕和硬麦四种期货的套期保值比率，并计算了相应的套期保值绩效，发现豆粕的套期保值比率最高，为0．079195，硬麦的套期保值比率最低，仅为0．002221；玉米的套期保值绩效最高，其样本内和样本外套期保值绩效分别为13．74％和13．99％，硬麦的套期保值绩效最差，其样本内和样本外套期保值绩效分别仅为0．25％和0．55％；棉花、玉米和硬麦三种期货的样本外套期保值绩效优于样本内套期保值绩效，与国内外许多学者的研究结论一致。总体看，中国期货市场的套期保值功能并耒得羽I充分发挥．     

大维数据的动态条件协方差阵的估计及其应用

大维数据给传统的协方差阵估计方法带来了巨大的挑战,数据维度和噪声的影响不容忽视。本文将主成分和门限方法有效的结合,应用到DCC模型的估计中,提出了基于主成分正交补门限方法的DCC模型（poetDCC）。poetDCC模型主要通过前K个主成分来刻画高维动态条件协方差阵的信息,然后将门限函数应用在矩阵的正交补中,有效的降低了数据的维度并剔除了噪声的影响。通过模拟和实证研究发现：较DCC模型而言,poetDCC模型明显提高了高维协方差阵的估计和预测效率;并且将其应用在投资组合时,投资者获得了更高的投资收益和经济福利。     

中国行业层面就业核算研究

我国现有的行业层面就业统计数据不甚充分,且在统计对象、核算方法和行业分类等方面缺乏统一性,导致我国各年份行业层面就业数据可比性较差。为准确核算一套可比的行业层面就业数据,本文厘清就业数据的不同核算口径,提供不同口径转换统一的方法,基于最新《国民经济行业分类 (GB/T4754—2017)》标准,测算 1990—2018年97个行业大类就业数据,并证实测算结果的合理性;在此基础上,本文测算行业层面劳动生产率,进行行业分布和劳动生产率的国际比较。结果显示,本文核算出1990—2018年97个行业大类的行业层面就业数据,通过与不同研究和普查年份数据的多元结果比较发现,本文测算结果可靠性高;大部分行业劳动生产率的年均增速为正,金融业的劳动生产率最高,农、林、牧、渔业最低;我国高端产业就业人数占比与美国和欧盟仍有一定差距,各个行业的劳动生产率与美国相比均较低;优化就业结构,提高劳动生产率是我国应对疫情、畅通国内大循环的重要支撑。     

问卷调查中情境题的应答质量及其与认知功能的关系

情境题在多个国内大型问卷调查中被用来测量受访者的主观评价标准。从设计上来说，情境题题干较长或者涉及维度较多，对受访者的认知功能要求较高，因此情境题的应答质量可能受到影响。本研究基于三个大型调查数据集（中国家庭追踪调查、中国健康与养老追踪调查、国际学生评价项目）中的10类情境题数据来评估情境题的应答质量，然后进一步分析应答质量与受访者教育水平和认知功能的相关性。研究结果显示，情境题的应答质量在不同调查的不同情境题之间有显著差异，受访者对同一情境题组内部不同情境题的打分排序与原设计意图不符的比例在2.73%到30.31%之间。进一步分析表明，情境题的应答质量与受访者的受教育水平和认知功能呈现显著的正相关性，排序不合理和应答不一致的现象更可能出现在受教育水平和认知功能偏低的人群中。因此，研究者在进行情境题的设计和分析时都应该考虑认知功能对其应答质量的影响。     

Asymptotic hypothesis test to compare likelihood ratios of multiple diagnostic tests in unpaired designs

The accuracy of a binary diagnostic test is usually measured in terms of its sensitivity and its specificity. Other measures of the performance of a diagnostic test are the positive and negative likelihood ratios, which quantify the increase in knowledge about the presence of the disease through the application of a diagnostic test, and which depend on the sensitivity and specificity of the diagnostic test. In this article, we construct an asymptotic hypothesis test to simultaneously compare the positive and negative likelihood ratios of two or more diagnostic tests in unpaired designs. The hypothesis test is based on the logarithmic transformation of the likelihood ratios and on the chi-square distribution. Simulation experiments have been carried out to study the type I error and the power of the constructed hypothesis test when comparing two and three binary diagnostic tests. The method has been extended to the case of multiple multi-level diagnostic tests.