The Extremal Dependence Measure and Asymptotic Independence

Abstract

Extremal dependence analysis assesses the tendency of large values of components of a random vector to occur simultaneously. This kind of dependence information can be qualitatively different than what is given by correlation which averages over the total body of the joint distribution. Also, correlation may be completely inappropriate for heavy tailed data. We study the extremal dependence measure (EDM), a measure of the tendency of large values of components of a random vector to occur simultaneously and show consistency of an estimator of the EDM. We also show asymptotic normality of an idealized estimator in a restricted case of multivariate regular variation where scaling functions do not have to be estimated.     

我国城市商业银行跨区域发展与经营效率提升研究—基于理论分析及美国的经验启示

城市商业银行是现代金融业和区域经济发展的产物,相对于传统的商业银行,其经营灵活、成长性强、创新性高。但城市商业银行由于其发展时间较短,经营管理及风险控制存在一定的问题。从风险管理、区域限制、产业依赖等角度,运用SBM-Undesirable模型及Bootstrap纠偏技术分析测算了我国54家城市商业银行2010~2014年的经营效率及特征。研究发现：城市商业银行经营效率与风险管理水平存在阶段性正相关关系;城市商业银行经营效率对当地产业有较强的依赖性;跨区域经营有利于城市商业银行的资源优化配置,实现经营效率的提高。     

Zero-inflated models and estimation in zero-inflated Poisson distribution

In this paper, we briefly overview different zero-inflated probability distributions. We compare the performance of the estimates of Poisson, Generalized Poisson, ZIP, ZIGP and ZINB models through Mean square error (MSE), bias and Standard error (SE) when the samples are generated from ZIP distribution. We propose a new estimator referred to as probability estimator (PE) of inflation parameter of ZIP distribution based on moment estimator (ME) of the mean parameter and compare its performance with ME and maximum likelihood estimator (MLE) through a simulation study. We use the PE along with ME and MLE to fit ZIP distribution to various zero-inflated datasets and observe that the results do not differ significantly. We recommend using PE in place of MLE since it is easy to calculate and the simulation study in this paper demonstrates that the PE performs as good as MLE irrespective of the sample size.     

Optimal consumption and portfolio selection with negative wealth constraints,subsistence consumption constraints,and CARA utility

We consider the optimal consumption and portfolio selection problem with constant absolute risk aversion (CARA) utility. The economic agent in this model receives constant labor income, and her economic behavior is restricted on consumption and wealth, which are called the subsistence consumption constraint and the negative wealth constraint. We use the convex duality method to derive the value function and the optimal policies in closed-form solutions. Also we illustrate some numerical examples.     

A note on fourth moment-based direction dependence measures when regression errors are non normal

Measures of direction dependence enable researchers to determine the directionality of linear effects in bivariate data. Existing fourth moment-based approaches assume that regression errors are at least mesokurtic. Direction dependence measures based on the co-kurtosis of variables are proposed that relax this assumption. Simulations suggest that co-kurtosis-based measures perform equally well as existing kurtosis-based methods when distributional assumptions of the latter are fulfilled. However, kurtosis-based approaches are sensitive to platy- or leptokurtic errors, while co-kurtosis-based measures protect Type I error and power rates. Data requirements necessary for causal inference and recommendations for selecting proper direction dependence measures are discussed.     

地震死亡人数预测与巨灾保险基金测算

巨灾保险制度在很大程度上依赖于巨灾损失的建模分析。由于巨灾损失通常存在极端值,一般的统计分布很难对其进行有效拟合。本文以我国大陆地区1950-2015年期间的地震灾害为研究样本,基于二维泊松过程建立了地震灾害死亡人数的预测模型。根据地震死亡人数的分布特征,将地震灾害分为非巨灾事件和巨灾事件,分别用右截断的负二项分布和右截断的广义帕累托分布拟合死亡人数;用齐次泊松过程描述地震灾害在给定期间的发生次数;用Panjer迭代法和快速傅里叶变换计算地震死亡人数在特定时期的分布以及风险度量值;用蒙特卡罗模拟法测算我国地震死亡保险基金的规模和纯保费水平。与传统的巨灾模型相比,本文提出的方法同时考虑了地震灾害发生的时间和地震死亡人数两个维度,并用贝叶斯方法估计模型参数,对地震死亡人数的拟合更加合理,为完善我国地震死亡保险提供了一种新的思路。     

Exploring the link between government funding and efficiency in nonprofit colleges

Previous literature has suggested that federal funding can hinder the efficiency of nonprofit organizations, but this has yet not been empirically tested. This study used a two‐stage data envelopment analysis (DEA) model to measure the efficiency of a set of private nonprofit teaching‐oriented colleges, then estimate the impact of federal and state funding on organizational efficiency. The findings indicate that, on average, increases in neither state nor federal funding effect efficiency of nonprofit colleges. Increasing state funding negatively impacted the efficiency of public colleges (N = 799). This study suggests that the challenges for nonprofits that accompany government funding may not rise to a quantifiable negative effect on efficiency.     

美联储应对2007-2009金融危机的负面效应探讨——基于风险视角

以中长期经济运行和中央银行制度建设面临的风险为视角,文章探讨美联储应对2007-09金融危机的负面效应。综合来看,恶性通货膨胀风险、金融市场扭曲风险、中央银行独立性风险和财务风险是美联储为稳定金融体系而带来的潜在隐患。从中得出的启示是需要客观认识货币政策在危机时期的作用,以求审慎平衡货币政策的积极效应和负面效应。     

90年代日本危机与日本文化诸模式

日本90年代的危机不仅与经济运行周期有关 ,而且与日本人的文化价值观、行为模式有直接的联系。本文从暧昧的责任体制、内外分明的集团主义文化、依赖性心理结构等方面对这场危机进行深层次探讨     

负二项分布的推广

本文主要是在二项分布,多项分布,负二项分布的基础上,把负二项分布进一步推广,给出负N项分布的定义,推导出它的概率分布,并计算出其数学期望和方差.