Estimation of the marginal expected shortfall under asymptotic independence

We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positively associated, which is modeled by the so-called tail dependent coefficient. We construct an estimator of the marginal expected shortfall, which is shown to be asymptotically normal. The finite sample performance of the estimator is investigated in a small simulation study. The method is also applied to estimate the expected amount of rainfall at a weather station given that there is a once every 100 years rainfall at another weather station nearby.     

Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp-optimization

The conditional tail expectation (CTE) is an indicator of tail behavior that takes into account both the frequency and magnitude of a tail event. However, the asymptotic normality of its empirical estimator requires that the underlying distribution possess a finite variance; this can be a strong restriction in actuarial and financial applications. A valuable alternative is the median shortfall (MS), although it only gives information about the frequency of a tail event. We construct a class of tail L^p-medians encompassing the MS and CTE. For p in (1,2), a tail L^p-median depends on both the frequency and magnitude of tail events, and its empirical estimator is, within the range of the data, asymptotically normal under a condition weaker than a finite variance. We extrapolate this estimator and another technique to extreme levels using the heavy-tailed framework. The estimators are showcased on a simulation study and on real fire insurance data.     

校园网与现代教育

探讨了校园网和现代教育的关系 ,校园网络可以成为现代教育的平台和核心 ,围绕着校园网建设面向未来的现代教育 ,着重阐述了校园网络建设应该注意的问题。     

Kurtosis modelling by means of the J-transformation

Summary: The H–family of distributions or H–distributions, introduced by Tukey (1960; 1977), are generated by a single transformation of the standard normal distribution and allow for leptokurtosis represented by the parameter h. Alternatively, Haynes et al. (1997) generated leptokurtic distributions by applying the K–transformation to the normal distribution. In this study we propose a third transformation, the so–called J–transformation, and derive some properties of this transformation. Moreover, so-called elongation generating functions (EGFs) are introduced. By means of EGFs we are able to visualize the strength of tail elongation and to construct new transformations. Finally, we compare the three transformations towards their goodness–of–fit in the context of financial return data.     

Diagnostics for dependence within time series extremes

Summary. The analysis of extreme values within a stationary time series entails various assumptions concerning its long- and short-range dependence. We present a range of new diagnostic tools for assessing whether these assumptions are appropriate and for identifying structure within extreme events. These tools are based on tail characteristics of joint survivor functions but can be implemented by using existing estimation methods for extremes of univariate independent and identically distributed variables. Our diagnostic aids are illustrated through theoretical examples, simulation studies and by application to rainfall and exchange rate data. On the basis of these diagnostics we can explain characteristics that are found in the observed extreme events of these series and also gain insight into the properties of events that are more extreme than those observed.     

新型蓄光性长余辉荧光陶瓷的研制

研究了基础釉的成分、蓄光粉的加入量、釉层厚度和烧成温度制度等因素对蓄光陶瓷发光性能的影响以及各种制品最佳工艺技术路线的确定.     

飘散在恋恋风尘中的浅吟低唱——侯孝贤和他的《恋恋风尘》

侯孝贤在《恋恋风尘》中使用长镜头、固定镜头表现出特有的电影美学观念 ,他的影片洋溢着抒情诗人的人文关怀 ,传递着中国古典美学的特有神韵。其反叛商业传统的电影叙事语言及方法使侯式纯电影表面看来平淡无奇 ,却有“发纤浓于简古、寄至味于淡泊”之意境     

冯梦龙是俗文学家吗?

冯梦龙编撰的“三言”是古代通俗白话短篇小说的杰作 ,但不能简单地将它们划入俗文学的范围 ,归入文化小传统。相反 ,“三言”较多地体现了儒家正统思想 ,与处于自发状态的说话艺术和宋元话本小说有较大差别。它们在思想内涵、文学形式、审美趣味上都发生了变化。“三言”是白话短篇小说雅化的标志     

美元、日元、英镑的中长期汇率预测方法研究

文章运用组合预测方法对中长期汇率走势进行分析 ,并根据贝特斯 (Bates)和格朗格 (Granger)提出的组合预测方法 ,对美元兑日元、美元兑英镑的中长期汇率进行了预测 ,提出组合预测为一种较好的方法。     

Internet与未来教育

Internet是20世纪末世界上最激动人心的发现,它将我们带入了一个完全信息化的时代,它正在改变着人们的生活和工作方式,也必将对中国未来教育发生深远的影响。从教育的内容、教育的方式方法、教育的观念等诸方面阐述了Internet对未来教育的影响,分析了未来教育将向着终身化、远程化和多媒体化、大众化、个性化、产业化和市场化等方向发展的趋势,同时提出了我们应采取的对策。