Tail dependence for skew Laplace distribution and skew Cauchy distribution

ABSTRACT

Coefficient of tail dependence measures the strength of dependence in the tail of a bivariate distribution and it has been found useful in the risk management. In this paper, we derive the upper tail dependence coefficient for a random vector following the skew Laplace distribution and the skew Cauchy distribution, respectively. The result shows that skew Laplace distribution is asymptotically independent in upper tail, however, skew Cauchy distribution has asymptotic upper tail dependence.     

Considerations for optimal nonparametric regression under a generalizederror structure

Nonparametric smoothing, such as kernel or spline estimation, has been examined extensively under the assumption of uncorrelated errors. This paper addresses the effects of potential correlation on consistency and other asymptotic properties in a repeated-measures model, using directly optimized linear smoothers of the replicate means. Unrestricted optimal weights, with respect to squared error loss, are used to confirm a lack of consistency for all linear estimators in an autocorrelated errors model. The results indicate kernel methods that work well for an uncorrelated errors model may not have the ability to perform satisfactorily when correlation is introduced, due to an asymmetry in the optimal weights, which disappears for an uncorrelated errors model. These would include data-driven bandwidth selection methods, adjustments of the bandwidth to accommodate correlation, higher-order kernels, and related bias reduction techniques. The analytic results suggest alternative approaches, not considered here in detail, which have shown merit.     

保险代理人管理中的信息不对称问题——一个理论分析框架

信息不对称问题对保险代理人的管理影响巨大。利用保单类别噪音模型进行的理论分析表明，在信息不对称的情况下，为获得一个良好的均衡结果，保险公司应对保险代理人保持适当的怀疑，将保单质量与代理人的报酬给付联系起来。进入门槛抑制道德风险的作用关键在于保证一个可置信的威胁，最优均衡的达到有赖于外部力量，这就要求行业协会和监管机构的作用应进一步加强。     

西方信贷融资担保理论

西方信贷融资担保理论认为作为融资中介机构的银行和借款者之间在履行信贷融资担保过程中存在一定的交易成本。这种交易成本直接影响贷款利率水平。在信息不对称的信贷市场中，贷款利率和担保要求对于不同风险偏好的款者会产生逆向选择效应，并且可能会引发道德风险。担保对于借款者的品质又具有信号和传递作用，这有利于贷款者更好地进行风险控制。借贷双方在长期业务交往中建立起来的信贷关系本身就是一种担保资源，它既能够产生关系借款者品质的信息，也有利于缓解信贷市场的信息不对称问题。     

信息不对称下税收征管的多重博弈分析

根据税收征管过程中的信息不对称现象,将税务机关稽查成功的概率及应税企业偷漏税行为所带来的诚信损失这两个变量引入税收监督博弈模型,进行税收征管的多重博弈分析。分析结果表明,税收征管博弈混合战略纳什均衡不仅与税务稽查成本、罚款倍数、应税企业的偷漏税金额有关,而且与税务机关能否稽查出偷漏税的概率、应税企业偷漏税行为带来的长期额外损失有关。     

基于双方不确定性的逆向选择问题

在逆向选择经典模型及其改进模型、尤其是在具有私人信息委托人模型的基础上,提出并建立了一种具有现实背景的双方同时面临不确定性的逆向选择模型.通过对模型的求解与分析,将得出的基于双方不确定性的逆向选择的最优契约与完全信息和对称信息下的最优契约进行比较,发现不确定性与信息的不对称性都带来效率或产出水平的扭曲,并且这种扭曲混合在一起,或者相互加剧,或者相互抵消.     

建筑市场信用机制的研究

针对建筑市场中存在的隐藏知识和隐藏行为两类信息不对称现象,提出从信息传递机制和信用激励机制两个方面来建立建筑市场的信用机制,可使社会损失函数最小.并通过模型建立与分析,论证了建筑市场信用机制的合理性.     

非对称单脊波导共线缝隙阵的设计

讨论了一种新颖的直线阵──非对称单脊波导共线缝隙阵，用它作垂直线阵元组成平面阵后，能大大压缩波导宽边尺寸，从而实现方位面内大角度扫描，并确保不会出现栅瓣。文中阐述了设计理论和方法，导出了设计公式和曲线，给出了设计步骤和实例。本文对扫描角大于±６０°的平面缝隙相控阵的设计有重要的参考价值。     

M-Estimates of regression when the scale is unknown and the error distribution is possibly asymmetric: A minimax result

Huber (1964) found the minimax-variance M-estimate of location under the assumption that the scale parameter is known; Li and Zamar (1991) extended this result to the case when the scale is unknown. We consider the robust estimation of the regression coefficients (β₁,…,β_p) when the scale and the intercept parameters are unknown. The minimax-variance estimates of (β₁,…,β_p) with respect to the trace of their asymptotic covariance matrix are derived. The maximum is taken over ?-contamination neighbourhoods of a central regression model with Gaussian errors (asymmetric contamination is allowed), and the minimum is taken over a large class of generalized M-estimates of regression of the Mallow type. The optimal choice of estimates for the nuisance parameters (scale and intercept) is also considered.     

中国期货市场价格波动非对称性效应的实证研究

采用EGARCH模型,以铜、大豆及小麦三个主要的连续期货合约收益序列为样本的实证研究表明:利空消息对我国期货价格波动的影响,要大于利多消息对期货价格波动的影响.对300个期货交易者的问卷调查结果也表明:我国期货投资者普遍存在的"过度恐惧"心理,是造成利空消息对期货价格波动的影响大于利多消息对期货价格波动的影响的最为重要的原因.