Analysis of some ruin-related quantities in a Markov-modulated risk model

In this paper, we study the joint Laplace transform and probability generating function of some random quantities that occur in each environment state by the time of ruin in a Markov-modulated risk process. These quantities include the duration spent in each state, the number of claims and the aggregate amount of claims that occurred in each state by the time of ruin. Explicit formulae for the joint transforms, given the initial surplus, and the initial and terminal environment states, are expressed in terms of a matrix version of the scale function. Moments and covariances of these ruin-related quantities are obtained and numerical illustrations are presented. The joint transform of the duration spent in each state, the number of claims, and the aggregate amount of claims that occurred in each state by the time the surplus attains a certain level are also investigated.     

论现代汉语中的“T1+（的）+T2”结构

现代汉语中存在着这样一种特殊的复合时间结构——T1+（的）+T2,T1、T2均是具有指示性的时点。在言语交际过程中, 人们常使用“T1+（的）+T2”这类复合时间结构的语言表达式,将原来具有一定距离的“事件”（包括已然事件和未然事件）拉回 到现时,从而产生加强现场感的语用效果,且站在说话人角度,具有积极的交际效果。     

平稳性检验方法的有效性研究

平稳性检验是时间序列分析的重要研究内容,现有检验方法的性能缺乏系统的比较分析。文章从样本长度的视角研究平稳性检验方法的性能,采用ADF检验、PP检验、KPSS检验和LMC检验四种方法展开实证研究。仿真实验结果表明:时间序列数据长度会对检验方法的准确率产生明显的影响,数据长度较小时检验准确率偏低;数据长度增大时可以提升检验方法的准确率,但仍未能达到100%的上限值。当样本长度较小时,这些方法的检验统计量的渐进分布难以满足,因此其实际检验效果值得探究。样本长度是有限的,因此渐进分布检验方式的改进空间有限,新的检验方式值得探究。     

The Comparison of Performances of Widely Used Cointegration Tests

The aim of this study is to compare performances of commonly cointegration tests used in literature in terms of their empirical power and type I error probabilty for various sample sizes. As a result of the study, it has been found that some tests are not appropriate in testing cointegration in terms of empirical power and type I error probability. As a result of simulation study, λ_max test for any values of ρ and sample sizes have been found most appropriate test in conclusion.     

Robust Smoothed Rank Estimation Methods for Accelerated Failure Time Model Allowing Clusters

Smoothed Gehan rank estimation methods are widely used in accelerated failure time (AFT) models with/without clusters. However, most methods are sensitive to outliers in the covariates. In order to solve this problem, we propose robust approaches based on the smoothed Gehan rank estimation methods for the AFT model, allowing for clusters by employing two different weight functions. Simulation studies show that the proposed methods outperform existing smoothed rank estimation methods regarding their biases and standard deviations when there are outliers in the covariates. The proposed methods are also applied to a real dataset from the “Major cardiovascular interventions” study.     

Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence

Most existing reduced-form macroeconomic multivariate time series models employ elliptical disturbances, so that the forecast densities produced are symmetric. In this article, we use a copula model with asymmetric margins to produce forecast densities with the scope for severe departures from symmetry. Empirical and skew t distributions are employed for the margins, and a high-dimensional Gaussian copula is used to jointly capture cross-sectional and (multivariate) serial dependence. The copula parameter matrix is given by the correlation matrix of a latent stationary and Markov vector autoregression (VAR). We show that the likelihood can be evaluated efficiently using the unique partial correlations, and estimate the copula using Bayesian methods. We examine the forecasting performance of the model for four U.S. macroeconomic variables between 1975:Q1 and 2011:Q2 using quarterly real-time data. We find that the point and density forecasts from the copula model are competitive with those from a Bayesian VAR. During the recent recession the forecast densities exhibit substantial asymmetry, avoiding some of the pitfalls of the symmetric forecast densities from the Bayesian VAR. We show that the asymmetries in the predictive distributions of GDP growth and inflation are similar to those found in the probabilistic forecasts from the Survey of Professional Forecasters. Last, we find that unlike the linear VAR model, our fitted Gaussian copula models exhibit nonlinear dependencies between some macroeconomic variables. This article has online supplementary material.     

Connecting the gendered door: women, violence and doorwork

This paper explores the emerging role of women who work as 'bouncers', or doorstaff, in the night-time economy and examines how the cultural capital of the female bouncer is connected to the methods utilized to control licensed premises. It is drawn from a study that combined ethnographic observations and interviews in five major UK cities which explored a diverse range of issues such as gendered bodies, femininities and violence; the changing needs of the night-time economy in the UK and the experiences of women engaged in 'non-traditional' occupations. In this paper, we draw on interview data with one particular category of female door staff; women who share similar histories of exposure to violence and violent cultures, and we examine how their experiential knowledge of violence equips them with the resources to 'work the doors'. Our attention focuses on this group of women, who we refer to as 'The Connected', and examine how they are 'doing gender' when they negotiate violence 'on the door'     

The changing practice of eating: evidence from UK time diaries, 1975 and 2000

This paper examines some central themes about change in consumption behaviour through an empirical investigation of the practice of eating. It analyses patterns of food consumption in the UK using time diary data from 1975 and 2000. The practice of eating is decomposed into four component activities which are used to explore systematically the inter-relationships between social processes - such as commodification and temporal fragmentation - and ways of providing and consuming food. It charts the expansion of eating out, the degree to which it substitutes for other eating activities, and the implications of its development for social relations and the temporal organization of daily life. Analysis reveals that food consumption continues to be differentiated along established lines of social division, although the content of those divisions has changed and varies across components of the practice. Increasing commodification of the food chain is documented, but without appearing to have a corrosive impact on household organization or social relationships. While tendencies indicative of temporal fragmentation are revealed, counter-tendencies exist which suggest that the practice of eating is resilient to many forms of external pressure. Finally, the application of a practice-based analytical approach permits critical evaluation of theories of social transformation.