基于有理样条死亡假设的分数时点寿险净保费责任准备金

保险责任准备金是保险公司风险管理的重要度量指标,责任准备金的精确合理的测算,将会对保险公司的健康发展起着极其重要的作用。分数时点净保费责任准备金的测算依赖于精算假设,本文在提出一类有理样条死亡假设的基础上,研究了终身寿险的分数时点净保费责任准备金的计算问题。我们得到了其理论计算公式和上下界范围,探讨了调节参数的变化对净保费责任准备金的影响。数据分析表明:分数时点责任准备金对调节参数的变化比较敏感,目前常用的UDD假设下的责任准备金测算值恰是本文方法下的一个边界。所以基于有理样条估计方法的分数时点责任准备金测算在实务中具有很强的灵活性,对保险公司责任准备金风险管理具有重要的指导意义。     

Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression

Checking parameter stability of econometric models is a long‐standing problem. Almost all existing structural change tests in econometrics are designed to detect abrupt breaks. Little attention has been paid to smooth structural changes, which may be more realistic in economics. We propose a consistent test for smooth structural changes as well as abrupt structural breaks with known or unknown change points. The idea is to estimate smooth time‐varying parameters by local smoothing and compare the fitted values of the restricted constant parameter model and the unrestricted time‐varying parameter model. The test is asymptotically pivotal and does not require prior information about the alternative. A simulation study highlights the merits of the proposed test relative to a variety of popular tests for structural changes. In an application, we strongly reject the stability of univariate and multivariate stock return prediction models in the postwar and post‐oil‐shocks periods.     

现代语言学理论研究和后现代哲学

文化参量、文体参量及语用参量这些基本单位是建立“话语语法”体系不可缺少的要素。本文以后现代哲学为思想基础 ,揭示语言的不确定性和多元化特征     

On Minimum Distance Estimation Using Kolmogorov-Lévy Type Metrics

Let X ₁, . . ., X_n be independent identically distributed random variables with a common continuous (cumulative) distribution function (d.f.) F , and F^_n the empirical d.f. (e.d.f.) based on X ₁, . . ., X_n . Let G be a smooth d.f. and Gθ = G (·–θ) its translation through θ∈ R . Using a Kolmogorov-Lévy type metric ρ_α defined on the space of d.f.s. on R , the paper derives both null and non-null limiting distributions of √ n [ ρ_α ( F_n , Gθ_n ) – ρ_α ( F, G_θ )], √ n (θ _n –θ) and √ nρ_α ( Gθ , Gθ ), where θ _n and θ are the minimum ρ_α -distance parameters for F_n and F from G , respectively. These distributions are known explicitly in important particular cases; with some complementary Monte Carlo simulations, they help us clarify our understanding of estimation using minimum distance methods and supremum type metrics. We advocate use of the minimum distance method with supremum type metrics in cases of non-null models. The resulting functionals are Hadamard differentiable and efficient. For small scale parameters the minimum distance functionals are close to medians of the parent distributions. The optimal small scale models result in minimum distance estimators having asymptotic variances very competitive and comparable with best known robust estimators.     

铁基非晶合金非晶形成能力的分子动力学模拟

采用分子动力学方法,模拟了Fe60Cr20Mo20和Fe50Cr20Mo20M10(M=Ni, W) 铁基非晶合金的形成过程,通过加热至熔融态再淬火的方法计算出了Fe60Cr20Mo20、Fe50Cr20Mo20Ni10和Fe50Cr20Mo20W10三种合金形成非晶的临界冷速及一系列热力学参数。结果表明,三种合金形成非晶的临界冷速分别为15.7 K/ps、3.62 K/ps和1.04 K/ps,四元合金较三元合金形成非晶所需的临界冷速大大降低,而W元素的添加更能提高合金的非晶形成能力。另外,通过热力学参     

On finite-sample properties of adaptive least squares regression estimates

This paper is mainly concerned with deriving finite-sample properties of least squares estimators for the regression function in a nonparametric regression situation under some simplifying assumptions such as normally distributed errors with a common known variance. The selection of basis functions to be used for the construction of an estimator may be regarded as a smoothing problem, and will usually be done in a data-dependent way, A straightforward application of a result by P. J. Kernpthorne yields that, under a squared error loss, all selection procedures are admissible. Furthermore, the minimax approach provides an interpolating estimator, which is often impractical, Therefore, within a certain class of selection procedures an optimal one is determined using the minimax regret principle. It can be seen to behave similarly to the procedure minimizing either an unbiased risk estimator or, equivalently, the C_p-criterion.     

A simulation study of the stochastic ridge k

A simulation of regressions is used to generate estimates by iteration of the generalized ridge parameter.The simulation results indicate that generalized ridge parameters estimated by iteration from near collinear data may be quite different from unknown optimal values.     

Kshirsagar-Type Lower Bounds for Mean Squared Error of Prediction

Let Y be an observable random vector and Z be an unobserved random variable with joint density f(y, z | θ), where θ is an unknown parameter vector. Considering the problem of predicting Z based on Y, we derive Kshirsagar type lower bounds for the mean squared error of any predictor of Z. These bounds do not require the regularity conditions of Bhattacharyya bounds and hence are more widely applicable. Moreover, the new bounds are shown to be sharper than the corresponding Bhattacharyya bounds. The conditions for attaining the new lower bounds are useful for easy derivation of best unbiased predictors, which we illustrate with some examples.     

Smoothed Mann–Whitney–Wilcoxon Procedure for Two-Sample Location Problem

This study is mainly concerned with estimating a shift parameter in the two-sample location problem. The proposed Smoothed Mann–Whitney–Wilcoxon method smooths the empirical distribution functions of each sample by using convolution technique, and it replaces unknown distribution functions F(x) and G(x ? Δ₀) with the new smoothed distribution functions F _s (x) and G _s (x ? Δ₀), respectively. The unknown shift parameter Δ₀ is estimated by solving the gradient function S _n (Δ) with respect to an arbitrary variable Δ. The asymptotic properties of the new estimator are established under some conditions that are similar to the Generalized Wilcoxon procedure proposed by Anderson and Hettmansperger (1996 Anderson , G. F. , Hettmansperger , T. P. ( 1996 ). Generalized Wilcoxon methods for the one and two-sample location models . In: Brunner , E. , Denker , M. , eds. Research Developments in Probability and Statistics: Festschrift in Honor of Madan L. Puri on the Occasion of his 65th Birthday . Zeist, The Netherlands : VSP BV , pp. 303 – 317 . [Google Scholar]). Some of these properties are asymptotic normality, asymptotic level confidence interval, and hypothesis testing for Δ₀. Asymptotic relative efficiency of the proposed method with respect to the least squares, Generalized Wilcoxon and Hodges and Lehmann (1963 Hodges , J. L. , Lehmann , E. L. ( 1963 ). Estimates of location based on rank tests . Ann. Mathemat. Statist. 34 : 598 – 611 .[Crossref] , [Google Scholar]) procedures are also calculated under the contaminated normal model.     

Confidence Interval for Shrinkage Parameters in Ridge Regression

In ridge regression, the estimation of ridge parameter k is an important problem. There are several methods available in the literature to do this job some what efficiently. However, no attempts were made to suggest a confidence interval for the ridge parameter using the knwoledge from the data. In this article, we propose a data dependent confidence interval for the ridge parameter k. The method of obtaining the confidence interval is illustrated with the help of a data set. A simulation study indicates that the empirical coverage probability of the suggested confidence intervals are quite high.