An Additive–Multiplicative Restricted Mean Residual Life Model

The mean residual life measures the expected remaining life of a subject who has survived up to a particular time. When survival time distribution is highly skewed or heavy tailed, the restricted mean residual life must be considered. In this paper, we propose an additive–multiplicative restricted mean residual life model to study the association between the restricted mean residual life function and potential regression covariates in the presence of right censoring. This model extends the proportional mean residual life model using an additive model as its covariate dependent baseline. For the suggested model, some covariate effects are allowed to be time‐varying. To estimate the model parameters, martingale estimating equations are developed, and the large sample properties of the resulting estimators are established. In addition, to assess the adequacy of the model, we investigate a goodness of fit test that is asymptotically justified. The proposed methodology is evaluated via simulation studies and further applied to a kidney cancer data set collected from a clinical trial.     

Optimal hedging through limit orders

This article applies the methods of stochastic dynamic programming to a risk management problem, where an agent hedges her derivative position by submitting limit orders. Therefore, this model is the first, in the literature on optimal trading with limit orders, to handle a problem of hedging options or other derivatives. A hedging strategy is developed where both the size and the limit price of each order is optimally set.     

Zen and the art of aut-ethnography: a tribute to Robert M. Pirsig

With the passing of Robert M. Pirsig, I felt that it was an appropriate time to write a tribute to his work and the influence it has had on my own theorising in regard to autistic ways of being. This reflection utilises the concept of an ‘aut-ethnography’ to examine passages that I had highlighted word by word when I first read Pirsig’s book: Zen and the Art of Motorcycle Maintenance. These fragments contain links to a number of theoretical ‘lines of flight’ within my own work and that of others, from his concepts of dynamic ‘quality’ to his discussion on the tension between scientific method and lived experience.     

人力资源管理与企业战略、绩效关系研究的演进——基于企业环境的变化

高度动态化的环境作为当前企业面临的最大问题,导致不可预测性的增强。这将直接影响战略的制定和执行。因此,这一环境下的企业如何保持战略实施有效性和竞争优势可持续性成为企业发展道路上的关键。而在战略与绩效的关系中,人力资源作为企业关键的战略性资源是企业运作的基础,其管理起了非常重要的作用。本文通过对已有文献的详细梳理,概括出两类研究类型:战略和人力资源的匹配;人力资源的配置管理与实现绩效的关系。柔性化思想的提出,使人力资源研究有了新的方向。在环境变动这一前提下,人力资源柔性化的管理区别于传统意义上的管理。本文以动态环境的背景,围绕人力资源、战略、绩效三者的关系提炼出整合的演进框架,以更好地指导未来人力资源相关的研究。     

Earthquakes occurrences estimation through a parametric semi-Markov approach

The estimation of earthquakes’ occurrences prediction in seismic areas is a challenging problem in seismology and earthquake engineering. Indeed, the prevention and the quantification of possible damage provoked by destructive earthquakes are directly linked to this kind of prevision. In our paper, we adopt a parametric semi-Markov approach. This model assumes that a sequence of earthquakes is seen as a Markov process and besides it permits to take into consideration the more realistic assumption of events’ dependence in space and time. The elapsed time between two consecutive events is modeled as a general Weibull distribution. We determine then the transition probabilities and the so-called crossing states probabilities. We conclude then with a Monte Carlo simulation and the model is validated through a large database containing real data.     

Optimal financing and dividend policy with Markovian switching regimes

This work investigates an optimal financing and dividend problem for an insurer whose surplus process is modulated by an observable continuous-time and finite-state Markov chain. We assume that the insurer should never go bankrupt by issuing new equity. The goal of the insurer is to maximize the expected present value of the dividends payout minus the discounted cost of equity issuance. We obtain the optimal policies and explicit expressions for the value functions when the risk reserve process is modeled by both upward jump model and its diffusion approximation. Numerical illustrations of the sensitivities of the model parameters are provided.     

Efficient heterogeneous sampling for stochastic simulation with an illustration in health care applications

In modeling disease transmission, contacts are assumed to have different infection rates. A proper simulation must model the heterogeneity in the transmission rates. In this article, we present a computationally efficient algorithm that can be applied to a population with heterogeneous transmission rates. We conducted a simulation study to show that the algorithm is more efficient than other algorithms for sampling the disease transmission in a subset of the heterogeneous population. We use a valid stochastic model of pandemic influenza to illustrate the algorithm and to estimate the overall infection attack rates of influenza A (H1N1) in a Canadian city.     

Hierarchical likelihood approach to non-Gaussian factor analysis

Factor models, structural equation models (SEMs) and random-effect models share the common feature that they assume latent or unobserved random variables. Factor models and SEMs allow well developed procedures for a rich class of covariance models with many parameters, while random-effect models allow well developed procedures for non-normal models including heavy-tailed distributions for responses and random effects. In this paper, we show how these two developments can be combined to result in an extremely rich class of models, which can be beneficial to both areas. A new fitting procedures for binary factor models and a robust estimation approach for continuous factor models are proposed.     

Anticipated Backward Stochastic Differential Equation with Reflection

In this article, we deal with anticipated backward stochastic differential equation with reflecting boundary. The existence and uniqueness of solution is obtained for equation with Lipschitz and non-Lipschitz generator.     

基于结构方程模型的农民工可雇佣性的决定因素研究——基于中部六省的调查

农民工是中国人力资源的重要组成部分。从智能、技能、体能和心能四个维度构建农民工可雇佣性模型,根据调查问卷收集数据,运用结构方程验证了农民工可雇佣性模型的合理性,研究了农民工可雇佣性及其各维度间的关系。结果表明,各维度对农民工可雇佣性影响程度依次为:技能、心能、智能和体能。农民工因年龄、文化程度不同,在可雇佣能力、技能、心能和智能方面存在显著性差异,但是在体能上没有显著差异。