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.     

通货紧缩的经济社会效应分析

通货紧缩作为经济运行中的一种常态现象 ,必然对经济、社会产生多方面影响。其效应表现为 :通过一般物价水平的下降以及对现存市场供求关系的破坏 ,对生产产生促退效应 ,导致失业率上升 ;总体上降低居民的消费能力 ;造成分配不公 ,导致社会财富由债务人向债权人、由国家向公众、由企业向消费者、由低收入者向高收入者的转移。针对通货紧缩的负效应 ,政府要采取措施 ,抑制分配不公 ,适当地向收入较低的普通百姓倾斜 ;企业要抓住机遇 ,尽快清理库存 ,同时狠抓技术创新、质量提高和内部管理 ,为新一轮发展作准备 ;居民要调整“买涨不买落”的传统心态 ,树立消费新观念。     

人力资本投资与个人收入能力

讨论了人力资本的经济价值，通过建立教育投资模型，训练投资模型及流动投资模型，指出了正规教育投资，在职培训投资，迁移与流动投资对人力资本收入能力的影响。经分析表明，个人的人力资本现时存量与个人的未来收入能力之间存在正相关。     

指数级数的增长性和值分布

本文研究了随机狄里克莱级数 在随机变量序列{Xn}独立（可不同分布）以及满足等条件时的增长性以及值分布,得到了一些新的结果.     

一类带有分布参数系统的最佳控制

本文给出一类非均匀弦的横向振动的最佳控制，推广了P C Park的结果。这一结果同样适用于同类型振动问题。     

Examples of the use of an equivalence theorem in constructing optimum experimental designs for random-effects nonlinear regression models

The problem considered is that of finding an optimum measurement schedule to estimate population parameters in a nonlinear model when the patient effects are random. The paper presents examples of the use of sensitivity functions, derived from the General Equivalence Theorem for D-optimality, in the construction of optimum population designs for such schedules. With independent observations, the theorem applies to the potential inclusion of a single observation. However, in population designs the observations are correlated and the theorem applies to the inclusion of an additional measurement schedule. In one example, three groups of patients of differing size are subject to distinct schedules. Numerical, as opposed to analytical, calculation of the sensitivity function is advocated. The required covariances of the observations are found by simulation.     

和谐社会构建中的利益表达与利益协调

我国正处在一个社会转型的时代,利益关系格局也发生了一定的变化,产生了利益分化和重组。在这个利益分化的时代,中国的经济利益关系格局出现了经济利益主体多元化、经济利益来源多样化、经济利益差距扩大化和经济利益关系复杂化等新的特征。对此,我们必须正视问题,应特别注意利益表达机制的构建并进行合理的利益协调,充分发挥市场、政府和利益集团的作用,只有这样才能构建一个和谐的社会。     

Variance (Non) Causality in Multivariate GARCH

This paper extends the current literature on the variance-causality topic providing the coefficient restrictions ensuring variance noncausality within multivariate GARCH models with in-mean effects. Furthermore, this paper presents a new multivariate model, the exponential causality GARCH. By the introduction of a multiplicative causality impact function, the variance causality effects becomes directly interpretable and can therefore be used to detect both the existence of causality and its direction; notably, the proposed model allows for increasing and decreasing variance effects. An empirical application evidences negative causality effects between returns and volume of an Italian stock market index future contract.     

Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution

Summary . A fairly general procedure is studied to perturb a multivariate density satisfying a weak form of multivariate symmetry, and to generate a whole set of non-symmetric densities. The approach is sufficiently general to encompass some recent proposals in the literature, variously related to the skew normal distribution. The special case of skew elliptical densities is examined in detail, establishing connections with existing similar work. The final part of the paper specializes further to a form of multivariate skew t -density. Likelihood inference for this distribution is examined, and it is illustrated with numerical examples.     

Multivariate outlier detection in incomplete survey data: the epidemic algorithm and transformed rank correlations

Summary.  As a part of the EUREDIT project new methods to detect multivariate outliers in incomplete survey data have been developed. These methods are the first to work with sampling weights and to be able to cope with missing values. Two of these methods are presented here. The epidemic algorithm simulates the propagation of a disease through a population and uses extreme infection times to find outlying observations. Transformed rank correlations are robust estimates of the centre and the scatter of the data. They use a geometric transformation that is based on the rank correlation matrix. The estimates are used to define a Mahalanobis distance that reveals outliers. The two methods are applied to a small data set and to one of the evaluation data sets of the EUREDIT project.