累积的异质性：生命历程视角下的老年人分化

本文以生命历程理论为研究视角，以深度访谈的方法收集老年人“主诉”的关于过去的生活资料，试图通过对个人能动性与生命历程时间性的强调，来分析个体生命历程与社会变迁的相互嵌入过程，以及这一过程中不断分化的内部机制。研究发现，老化的过程是一个随时间推移不断累积与分化的过程，累积因素的先后顺序对个体之间的分化具有重要意义，累积是生命历程资本遭遇生命历程风险的结果，是社会结构与个人能动性相互作用的动态过程，其中社会政策的变迁对累积过程具有决定性的影响。     

Predicting infectious disease outbreak risk via migratory waterfowl vectors

The spread of an emerging infectious disease is a major public health threat. Given the uncertainties associated with vector-borne diseases, in terms of vector dynamics and disease transmission, it is critical to develop statistical models that address how and when such an infectious disease could spread throughout a region such as the USA. This paper considers a spatio-temporal statistical model for how an infectious disease could be carried into the USA by migratory waterfowl vectors during their seasonal migration and, ultimately, the risk of transmission of such a disease to domestic fowl. Modeling spatio-temporal data of this type is inherently difficult given the uncertainty associated with observations, complexity of the dynamics, high dimensionality of the underlying process, and the presence of excessive zeros. In particular, the spatio-temporal dynamics of the waterfowl migration are developed by way of a two-tiered functional temporal and spatial dimension reduction procedure that captures spatial and seasonal trends, as well as regional dynamics. Furthermore, the model relates the migration to a population of poultry farms that are known to be susceptible to such diseases, and is one of the possible avenues toward transmission to domestic poultry and humans. The result is a predictive distribution of those counties containing poultry farms that are at the greatest risk of having the infectious disease infiltrate their flocks assuming that the migratory population was infected. The model naturally fits into the hierarchical Bayesian framework.     

Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets

We develop an econometric methodology to infer the path of risk premia from a large unbalanced panel of individual stock returns. We estimate the time‐varying risk premia implied by conditional linear asset pricing models where the conditioning includes both instruments common to all assets and asset‐specific instruments. The estimator uses simple weighted two‐pass cross‐sectional regressions, and we show its consistency and asymptotic normality under increasing cross‐sectional and time series dimensions. We address consistent estimation of the asymptotic variance by hard thresholding, and testing for asset pricing restrictions induced by the no‐arbitrage assumption. We derive the restrictions given by a continuum of assets in a multi‐period economy under an approximate factor structure robust to asset repackaging. The empirical analysis on returns for about ten thousand U.S. stocks from July 1964 to December 2009 shows that risk premia are large and volatile in crisis periods. They exhibit large positive and negative strays from time‐invariant estimates, follow the macroeconomic cycles, and do not match risk premia estimates on standard sets of portfolios. The asset pricing restrictions are rejected for a conditional four‐factor model capturing market, size, value, and momentum effects.     

Parameter estimation of Lindley step stress model with independent competing risk under type 1 censoring

Abstract

In literature, Lindley distribution is considered as an alternative to exponential distribution to fit lifetime data. In the present work, a Lindley step-stress model with independent causes of failure is proposed. An algorithm to generate random samples from the proposed model under type 1 censoring scheme is developed. Point and interval estimation of the model parameters is carried out using maximum likelihood method and percentile bootstrap approach. To understand the effectiveness of the resulting estimates, numerical illustration is provided based on simulated and real-life data sets.     

制度环境、风险感知对供应链网络治理模式选择的影响研究

本文以新制度理论与交易成本理论进行对话,从合法性视角构建中国情境下制度环境、风险感知与供应链网络治理模式选择之间影响机理的理论模型。通过问卷调查的方式收集117份有效问卷,并采用结构方程模型方法实证检验制度环境、风险感知对供应链网络治理模式的"形塑"作用。研究结果表明,制度环境是影响供应链网络治理模式选择的重要因素,强制制度对供应链网络治理模式选择具有显著影响,规范制度的影响作用不显著。在供应链网络治理模式选择过程中关系风险感知具有完全中介作用,而绩效风险感知具有部分中介作用。     

一种混合建模方法及其在ETF期权定价中的应用

科学合理的交易型开放式指数基金（ETF）期权定价有利于充分发挥其风险对冲功能,也是一个需要准确掌握市场规律并兼顾经济学意义的复杂建模过程。本文提出了一种新的混合建模方法,将嵌套长短时记忆神经网络模型（NLSTM）与Heston模型结合,实现ETF期权定价偏差的动态修正,并基于华夏上证50ETF、嘉实沪深300ETF和华泰柏瑞沪深300ETF的高频期权数据,实验验证了所提方法的有效性。研究结果表明,不同类型ETF期权价格的波动特征差异显著,无论是基于BS定价模型还是Heston定价模型都难以准确刻画ETF期权价格的复杂变化规律。通过将NLSTM神经网络模型与Heston模型结合,能够有效地捕捉不同类型ETF期权的动态变化规律,从而提升ETF期权定价的准确性。     

新型订单农业合作模式的优化模型分析

根据当前的中央脱贫政策,本文考虑到脱贫方式,提出了基于新型合作模式的订单农业方式,构建了新型订单农业优化模型。首先根据区域经济发展需要成立一个农业合作社,农户以土地面积比例入股,合作社通过与农产品收购公司谈判并签订收购合同来获得收益,并把收益的一部分用于农户分红。合作社聘用职业经理负责经营,除此之外,合作社还会按所入股份给农户提供一份固定费用以保证农户的收益。根据上述内容构建了一个新的"农户+合作社+收购公司"型三级新型订单农业供应链优化模型,并在条件风险（CVaR）度量准则下得出合作社在不同风险规避度下的具体收益,在保证农户和合作社收益的前提下,建立相应的约束优化模型,利用拉格朗日函数及其相应的KKT条件得出农户加入合作社可获得更多利益的最小土地面积和合作社应提供的最小固定费用。     

互联网借贷能否实践"扶弱解难"的普惠金融理念——基于"人人贷"数据的分析

本文研究了存在随机产出风险时供应链上游高技术生产企业的专利运作战略.分别构建了3种最常见专利战略——独占、授权和共享下的供应链上下游决策模型.独占战略下,上游供应商自己生产零件并向下游制造商供货,但生产过程存在随机产出风险;授权战略下,供应商不生产零件但把技术授权给代工厂商并收取专利许可费;共享战略下,供应商把专利共享给代工厂商,当其随机产出实现且不能满足下游订单时由代工厂商来补足订单.研究结果表明,对供应商而言,若下游制造商面临的市场规模较小,则授权战略占优;若市场规模较大,此时哪种战略更好取决于其供应的可靠性:当可靠性较低时独占战略占优,当可靠性较高时共享战略占优.与分散决策相比,集中决策下授权战略占优的区间扩大,而独占战略占优的区间缩小.此外本文还发现,对供应商而言最优的专利战略和社会最优(即对整条供应链而言最优的专利战略)之间存在一定程度的偏离,且偏离的程度随启动成本的降低而加剧,随可靠性的降低而缓解.     

基于EaR的上市商业银行财务风险评价研究

商业银行在我国经济发展和转型中起着重要作用,近年来随着经济增速放缓、利率市场化和同业竞争加剧的影响,商业银行面临的财务风险也不断加大。为了科学合理地评价商业银行的财务风险,本文从在险价值(VaR)的概念出发引入了在险值的财务风险评价方法对上市商业银行的在险盈余和在险现金流进行测度,实证结果表明目前商业银行总体具有良好的盈利水平,但部分商业银行存在现金流风险。     

BT项目合同风险分担研究

合理的风险分担有利于促进BT项目双方的合作,保证BT项目的顺利实施.首先,探讨了Shapley值是否可应用在BT项目共担风险分担中,结论为合适.其次,遵循风险分担的基本原则,将影响BT项目风险分担的五个因素:风险成因、承担风险能力、参与项目程度及收益、控制风险能力及经济地位与修正的Shapley值进行结合,构建了BT项目风险分担模型,以期在BT发起人和主办人之间进行合理的风险分担.最后,运用构建的风险分担模型分析了某围海造陆BT项目的合同风险,并与合同风险分担结果进行了比较,得出的结论是合同风险分担基本合理,但不可抗力风险可适当让BT主办人承担工程损失风险,通货膨胀引起的材料价格上涨风险,应加大BT主办人承担比例.