离散时间风险模型的推广研究

通过引入修正理赔总量和修正盈余的概念,探讨了在相继两时期的理赔总量具有相关性的条件下的一种离散时间风险模型,给出了破产发生时期数和最终破产概率的定义,采用鞅论方法得到了最终破产概率的Lundberg上界。     

On the appropriateness of inappropriate VaR models

Summary The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e. g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index, the principal components models and the model with equally correlated risk factors. The comparison of these models in Chapter 3 is based on the literature on the verification of weather forecasts (Murphy and Winkler, 1992; Murphy, 1997). Some considerations on the quantitative analysis are presented in the fourth chapter. In the last chapter, we present empirical analysis of the DAX data using XploRe. We acknowlege the support of Deutsche Forschungsgemeinschaft, Sonderforschungsbereich 649 “Economic Risk”, MSM 0021620839 and 1K04018     

在不可忽略抽样机制下目标变量的估计问题

抽样调查是通过对有限总体的重复抽样,用样本数据对总体的目标变量进行估计,但是若样本的抽样过程与目标变量有关,则样本分布不能代表总体分布,此时用样本数据来估计总体会产生很大的偏差。针对这种在不可忽略的抽样机制下如何进行目标变量的估计问题展开讨论,详细介绍了三种处理该问题的方法并对这三种方法进行了比较,得出第三种概率密度函数的方法是处理该问题比较好的一种方法。     

论过失犯罪需把握的几个关键点

过失犯罪在司法实践中争议问题较多,本文两个典型案例中犯罪嫌疑人均存在犯罪过失、间接故意和无罪过的争议。期待可能性理论是认定过失犯罪的理论基础。认定过失犯罪一定要把握行为人义务要件的符合性、违法性、有责性、应责性等五个方面,同时,也应该注意过失犯罪的例外情况,例如“合理信赖”、“不能预见”等。过失犯罪与间接故意、无罪过案件也有着明显的区别,实践中要注意区分。     

教学质量评估的两种方法

文章研究了教学质量评估中两种定量分析的方法:马尔可夫链评估法、奖罚权系数矩阵法,给出了这两种方法的理论依据及实施程序。用该方法对哈尔滨工程大学2002级大学数学(高等数学→线性代数→概率论与数理统计)教学质量进行了分析,指出该方法较之其他教学质量评估法更显合理。     

Sensitivity analysis on ruin probabilities with heavy-tailed claims

In this note, we consider the classical insurance risk model with heavy-tailed claim distributions. By using the Pollaczek–Khinchin Formula, we provide some sensitivity analysis on the ruin probability.     

Markov chain Monte Carlo methods for parameter estimation of the modified Weibull distribution

In this paper, the Markov chain Monte Carlo (MCMC) method is used to estimate the parameters of a modified Weibull distribution based on a complete sample. While maximum-likelihood estimation (MLE) is the most used method for parameter estimation, MCMC has recently emerged as a good alternative. When applied to parameter estimation, MCMC methods have been shown to be easy to implement computationally, the estimates always exist and are statistically consistent, and their probability intervals are convenient to construct. Details of applying MCMC to parameter estimation for the modified Weibull model are elaborated and a numerical example is presented to illustrate the methods of inference discussed in this paper. To compare MCMC with MLE, a simulation study is provided, and the differences between the estimates obtained by the two algorithms are examined.     

On the conservative simultaneous confidence procedures for multiple comparisons among mean vectors

In this paper, conservative simultaneous confidence intervals for multiple comparisons among mean vectors in multivariate normal distributions are considered. Some properties of the multivariate Tukey–Kramer procedure for pairwise comparisons and the conservative simultaneous confidence procedure for comparisons with a control are presented. Particularly, the upper bound for the conservativeness of the simultaneous confidence procedure for comparisons with a control is obtained. Finally, numerical results by Monte Carlo simulations and an example to illustrate the procedure are given.     

一种考虑阻塞率的WDM网络可用性算法

研究了WDM网络中,网络向连接请求提供的可用性和全网的阻塞率之间的影响,提出了一种更加实际和科学的网络可用性概念,即为可用性与阻塞率的平衡点对应的可用性值。设计了动态业务下的网络可用性算法来得到网络可用性值,并对该算法进行了仿真,验证了其正确性。     

半连续Ag纳米薄膜显微图像的多重分形谱研究

多重分形谱是分形理论中最基本的一个数学概念,也是分形理论应用中最重要的一个方面。在解决实际问题中多重分形谱主要用来描述物理量不均匀的随机概率分布,通过对半连续Ag纳米薄膜显微图像结构形貌的分析和处理,以及通过薄膜显微图像多灰度概率测度进行多重分形谱分析,用多重分形谱描述随薄膜厚度变化的Ag颗粒的空间分布的不均匀性。实验结果表明,多重分形谱是一种有意义的表征参数,能够从多分形角度对薄膜中Ag厚度的空间分布均匀性和尺寸分布进行定量化的分析和解释。