The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks

This article investigates the ruin probabilities of a discrete time risk model with dependent claim sizes and dependent relation between insurance risks and financial risks. The risk-free and risky investments of an insurer lead to stochastic discount factors {θ_n}_{n ? 1}. The claim sizes are assumed to follow a one-sided linear process with independent and identically distributed (i.i.d.) innovations {?_n}_{n ? 1}. The i.i.d. random pairs {(?_n, θ_n)}_{n ? 1} follow a common bivariate Sarmanov-dependent distribution. When the common distribution of the innovations is heavy tailed, we establish some asymptotic estimates for the ruin probabilities of this discrete time risk model.     

中国制造业能源效率的影响因素：经济周期和重化工工业化

本文分析了2002——2007年中国制造业27个行业的面能源效率,研究发现,价格调节能源需求的能力小于收入调节能源需求的能力,以经济快速扩张为特征的经济周期以及其中的重化工工业的快速发展是影响这个时期的能源效率下降的重要因素。因此,要提高能源利用效率,需要根据制造业的行业特征,分类管理能源需求。对于低能耗行业,依靠能源市场价格调节这些行业的能源需求来提高能源效率,作用较小,这就需要政府制定行业节能标准,鼓励节能设备投资。对于高能耗行业,在继续运用能源市场价格调节能源需求外,还要控制这些行业的发展规模。     

Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling

In this article, we develop new bootstrap-based inference for noncausal autoregressions with heavy-tailed innovations. This class of models is widely used for modeling bubbles and explosive dynamics in economic and financial time series. In the noncausal, heavy-tail framework, a major drawback of asymptotic inference is that it is not feasible in practice as the relevant limiting distributions depend crucially on the (unknown) decay rate of the tails of the distribution of the innovations. In addition, even in the unrealistic case where the tail behavior is known, asymptotic inference may suffer from small-sample issues. To overcome these difficulties, we propose bootstrap inference procedures using parameter estimates obtained with the null hypothesis imposed (the so-called restricted bootstrap). We discuss three different choices of bootstrap innovations: wild bootstrap, based on Rademacher errors; permutation bootstrap; a combination of the two (“permutation wild bootstrap”). Crucially, implementation of these bootstraps do not require any a priori knowledge about the distribution of the innovations, such as the tail index or the convergence rates of the estimators. We establish sufficient conditions ensuring that, under the null hypothesis, the bootstrap statistics estimate consistently particular conditionaldistributions of the original statistics. In particular, we show that validity of the permutation bootstrap holds without any restrictions on the distribution of the innovations, while the permutation wild and the standard wild bootstraps require further assumptions such as symmetry of the innovation distribution. Extensive Monte Carlo simulations show that the finite sample performance of the proposed bootstrap tests is exceptionally good, both in terms of size and of empirical rejection probabilities under the alternative hypothesis. We conclude by applying the proposed bootstrap inference to Bitcoin/USD exchange rates and to crude oil price data. We find that indeed noncausal models with heavy-tailed innovations are able to fit the data, also in periods of bubble dynamics. Supplementary materials for this article are available online.     

苏联共产党丧失政权的历史教训及其启示

苏联共产党丧失政权的沉重教训,主要是:在对基本国情的认识和把握上,长期以来缺乏对社会发展阶段正确的认识,尽管后来认识不断改进,但终因多次丧失重要的战略发展期而使改革走入歧途;在对党的领导方式和领导体制、执政方式和执政体制的认识和把握上,先是长期以来的党政融为一体、以党代政,使党成为凌驾于国家和社会之上的力量,后是在理顺...     

Moment-based tail index estimation

A general method of tail index estimation for heavy-tailed time series, based on examining the growth rate of the logged sample second moment of the data was proposed and studied in Meerschaert and Scheffler (1998. A simple robust estimator for the thickness of heavy tails. J. Statist. Plann. Inference 71, 19–34) as well as Politis (2002. A new approach on estimation of the tail index. C. R. Acad. Sci. Paris, Ser. I 335, 279–282). To improve upon the basic estimator, we introduce a scale-invariant estimator that is computed over subsets of the whole data set. We show that the new estimator, under some stronger conditions on the data, has a polynomial rate of consistency for the tail index. Empirical studies explore how the new method compares with the Hill, Pickands, and DEdH estimators.     

Senility,illness and death in Açvaghosa's ‘Buddhacări˘ta’The Feats of Buddha

Background An age-related decline in growth hormone (GH) level has been established, and this decline is associated with changes in body composition as well as a general increase in susceptibility to illness and a reduced sense of well-being. The current study, a first in Asia, sought to examine the effects of GH therapy on body composition and other endocrine and metabolic functions in a group of healthy elderly Chinese men.

Methods A total of 23 healthy elderly Chinese men, aged between 60 and 69 years, were injected subcutaneously, three times weekly, with 0.08 U/kg of recombinant GH for 6 months. Various hormones and biochemical parameters, together with percentage lean body mass and body fat, were measured before, 3 and 6 months after the start and 3 months after the cessation of GH therapy.

Results A significant increase in lean body mass, up to 9.1% over baseline values at 3 months post-therapy, and a significant decrease in body fat, up to 3.1%, were noted. GH therapy also induced variable and significant increases in levels of insulin growth factor (IGF-I), dehydroepiandrosterone sulfate (DHEAS), insulin, triiodothyronine (T3), thyroxine (T4), thyroid stimulating hormone (TSH) and triglyceride and significant reductions in glucose and sex hormone binding globulin (SHBG) levels. No changes in testosterone, free androgen index and cholesterol were noted. A significant and independent correlation was noted between IGF-I and insulin, TSH, DHEAS, glucose and triglyceride levels.

Conclusions GH augmentation therapy was effective in improving the body composition of a group of elderly Chinese men. GH-induced positive changes in body composition in the elderly were probably a result of the direct effect of the GH. It is also possible that some of the changes were mediated through GH-induced changes in thyroid hormones, insulin, glucose, triglyceride and DHEAS. However, the mechanism of GH- induced changes in body composition remains to be defined.     

Second-order refined peaks-over-threshold modelling for heavy-tailed distributions

Modelling excesses over a high threshold using the Pareto or generalized Pareto distribution (PD/GPD) is the most popular approach in extreme value statistics. This method typically requires high thresholds in order for the (G)PD to fit well and in such a case applies only to a small upper fraction of the data. The extension of the (G)PD proposed in this paper is able to describe the excess distribution for lower thresholds in case of heavy-tailed distributions. This yields a statistical model that can be fitted to a larger portion of the data. Moreover, estimates of tail parameters display stability for a larger range of thresholds. Our findings are supported by asymptotic results, simulations and a case study.     

指数测度技术在“江南重工”财务分析中的应用

财务预警可以帮助企业经营者及时发现企业运行中存在的财务危机并适时调控。基于财务预警指数测度技术,以江南重工股份有限公司为对象,计算并分析了其预警结果,结果表明"江南重工"2006年总体财务状况较好,属于无警状态。     

企业文化创新与企业价值观实现——内蒙古北方重型汽车股份有限公司实证分析

在社会主义市场经济激烈的竞争中,企业必须构建和创新企业文化。有特色的企业文化是企业的生命。内蒙古北方重汽在"产业报国"价值观的指导下,创新有特色的企业文化,盘活了国有资产、增强了企业竞争力和员工的凝聚力。由此可见,企业文化创新对实现企业价值观有重要作用。     

Diffusion approximations for insurance risk processes

We consider a risk-reserve process for an insurance company where premium income and the claim sum process are modeled as a renewal reward processes. Moreover, dividends are paid out according to a barrier rule. The aim of the article is to establish a diffusion approximation of this model and to compute ruin probabilities (in finite and in infinite time) and other relevant statistics approximately using the limiting diffusion process. We also demonstrate that, under special circumstances, there exists a stationary distribution for the limiting diffusion.