基于相对熵方法的长寿债券定价研究

本文在风险中性测度理论的框架下对经典的长寿风险衍生品——EIB/BNP型长寿债券进行了定价。文章首先使用Cairns-Blake-Dowd两因子模型，模拟预测了我国高龄人口未来的死亡率路径，然后通过引入三种相对熵，即Kullback-Leibler相对熵、Tsallis相对熵以及Rényi相对熵，并依据最小相对熵准则确定最优风险中性测度，进而完成对长寿债券的定价。在定价的过程中，本文融入已在我国市场发行的不同期限金融债的风险溢价信息，使定价结果更合理地反映我国金融市场规律。从计算方法上看，不同相对熵模型的定价保证了计算结果的稳健性和可信性；本文还发现对冲女性长寿风险所需的溢价整体上要高于对冲男性长寿风险所需的溢价，表明女性长寿风险面临的不确定性程度更大。本文还分别比较了仅融合单一市场风险价格以及考虑多个市场风险价格作为先验信息时定价结果的差异，发现定价的结果对市场信息依赖程度较高。这也表明了相对熵方法的可塑性较强，随着市场完全度的提高和我国金融市场的发展，该方法的定价结果将更趋于合理。文章最后一部分是总结和启示。     

保护私有财产权的伦理分析

完善保护私人财产权利的制度安排,需要更新人们传统的财产价值观,充分认识到在社会主义市场经济条件下,私有产权的伦理价值和保护私有财产的道德合理性;同时,保护私人财产权利的制度安排必须坚持正确的价值原则,促进私有经济的健康发展和私人财产社会价值的最优实现。     

云南就业问题实证研究

"就业优先"已成为云南省人民政府及有关部门考虑今后云南就业战略的共识,但因"九五"以来,全省比较严峻的失业情况,就使"十五"期间的就业形势并不乐观,因而在"十五"期间要理顺云南的就业问题,就必须从长远考虑云南的整体就业战略,并需要针对如何拓展更多就业空间等问题设计具体策略。     

“人文奥运”和社会公德建设

2008年在北京将举办第29届奥林匹克运动会,它将有助于中国传统文化和世界文化进行广泛深入的交流."人文奥运"是北京奉献给全世界的"新奥运",它将向世界展示中华民族的价值观念、文化观念、思维模式和行为方式.但能否办成历史上最为出色的一届奥运会,与北京市民的思想道德素质、文化素质、社会文明程度等密切相关.所以,提高全体市民的综合素质,尤其是市民的公德意识,是一项十分重要的工作.就此论述了社会公德的建设及意义,提出了如何真正搞好公民道德建设的办法和措施.     

玻璃窑炉内液流和传热过程的研究方法

介绍了玻璃窑炉内流动和传热过程的研究方法,摘要介绍了每个研究方法中有代表性的研究成果。     

A nonparametric test of symmetry based on the overlapping coefficient

In this paper, we introduce a new nonparametric test of symmetry based on the empirical overlap coefficient using kernel density estimation. Our investigation reveals that the new test is more powerful than the runs test of symmetry proposed by McWilliams [31]. Intensive simulation is conducted to examine the power of the proposed test. Data from a level I Trauma center are used to illustrate the procedures developed in this paper.     

Berry-Esseen bounds for kernel estimates of stationaryprocesses

In this paper we obtain nonuniform Berry-Esseen bounds of the kernel estimate of stationary process {X_i} by the method of martingale approximation. In particular, by choice of bandwidth b_n, the Berry-Esseen bounds can be n^−2/15. The dependence condition of {X_i} is expressed in terms of physical dependence measures introduced by Wu (2005).     

On a class of distributions on the simplex

In the present paper we define and investigate a novel class of distributions on the simplex, termed normalized infinitely divisible distributions, which includes the Dirichlet distribution. Distributional properties and general moment formulae are derived. Particular attention is devoted to special cases of normalized infinitely divisible distributions which lead to explicit expressions. As a by-product new distributions over the unit interval and a generalization of the Bessel function distribution are obtained.     

在变革中领导:变革型领导理论述评

本文在回顾国内外变革型领导研究的相关文献基础上,对变革型领导的定义、维度、测量以及作用机制进行了综合评述,构建了分析变革型领导理论的系统视角,即:必须从变革型领导个体层面、变革型领导与下属群体关系层面、变革型领导与环境的组织层面这三个层次完整的理解变革型领导理论的深刻内涵。     

Fitting semiparametric accelerated failure time models for nested case–control data

A nested case–control (NCC) study is an efficient cohort-sampling design in which a subset of controls are sampled from the risk set at each event time. Since covariate measurements are taken only for the sampled subjects, time and efforts of conducting a full scale cohort study can be saved. In this paper, we consider fitting a semiparametric accelerated failure time model to failure time data from a NCC study. We propose to employ an efficient induced smoothing procedure for rank-based estimating method for regression parameters estimation. For variance estimation, we propose to use an efficient resampling method that utilizes the robust sandwich form. We extend our proposed methods to a generalized NCC study that allows a sampling of cases. Finite sample properties of the proposed estimators are investigated via an extensive stimulation study. An application to a tumor study illustrates the utility of the proposed method in routine data analysis.