Comparison of hazard rates for dependent random variables

In this paper, we define and study a new notion for the comparison of the hazard rates of two random variables taking into account their mutual dependence. Properties, applications and the comparison for a data set are given.     

中国农村民间借贷市场融资约束环境下利率定价模型分析——以广东农村实地调查数据为例

通过对广东农户民间借贷行为实地调查的问卷进行数据分析,了解农村民间借贷中的资金供求关系,发现存在的融资约束问题,进而对融资约束环境下民间借贷资金利率定价过程进行实证分析;着重考察农村民间借贷利率受公共信息和私人信息影响的程度,从借款人和贷款人的角度分别建立定价模型进行经验分析。结果显示,定价模型在F检验1%水平上显著,其他模型具有R2的统计显著性;反映借款用途的变量在10%水平上显著,其他变量均在5%水平上显著。这说明该市场利率能够反映公共信息的影响,借款人和贷款人的利率定价也反映了各自私人信息中相关风险和财务能力因素的影响,得到的经验结论主要是:第一,农村民间借贷市场是自主交易的金融市场;第二,其利率定价过程基本市场化。     

中国粮食增产的主要因素贡献分解与实证估算

已有测算中国粮食增产要素贡献率的方法存在虚增或低估某要素贡献率的缺陷,文章通过改进粮食增产贡献率测算方法实证估计了2003—2016年期间单产、播种面积和结构调整对中国粮食增产的贡献。结果表明,中国粮食实现“十二连增”的巨大成就主要是单产增长贡献,年均贡献率50%以上,播种面积和作物内部结构调整也是不可忽视的重要力量,年均贡献率分别为30%与10%以上。然而,未来中国粮食增产依靠播种面积扩大和结构调整的空间变窄,需要探索新的增产路径。     

Mixed-effects Models with Skewed Distributions for Time-varying Decay Rate in HIV Dynamics

After initiation of treatment, HIV viral load has multiphasic changes, which indicates that the viral decay rate is a time-varying process. Mixed-effects models with different time-varying decay rate functions have been proposed in literature. However, there are two unresolved critical issues: (i) it is not clear which model is more appropriate for practical use, and (ii) the model random errors are commonly assumed to follow a normal distribution, which may be unrealistic and can obscure important features of within- and among-subject variations. Because asymmetry of HIV viral load data is still noticeable even after transformation, it is important to use a more general distribution family that enables the unrealistic normal assumption to be relaxed. We developed skew-elliptical (SE) Bayesian mixed-effects models by considering the model random errors to have an SE distribution. We compared the performance among five SE models that have different time-varying decay rate functions. For each model, we also contrasted the performance under different model random error assumptions such as normal, Student-t, skew-normal, or skew-t distribution. Two AIDS clinical trial datasets were used to illustrate the proposed models and methods. The results indicate that the model with a time-varying viral decay rate that has two exponential components is preferred. Among the four distribution assumptions, the skew-t and skew-normal models provided better fitting to the data than normal or Student-t model, suggesting that it is important to assume a model with a skewed distribution in order to achieve reasonable results when the data exhibit skewness.     

中国自然利率的测算——基于SVAR方法

本文首先利用SVAR模型估计我国的自然利率水平,并在此基础上计算实际利率缺口,然后对实际利率缺口与通货膨胀率的关系进行研究。研究发现:我国实际利率长期低于自然利率;实际利率缺口与通货膨胀率负相关,实际利率缺口变大,通货膨胀率变小,反之则相反。分析表明,实际利率缺口作为宏观经济的重要指标能够反映通货膨胀的变化,利率政策制定部门应把实际利率缺口纳入到政策工具中。     

A multiple-item budget-constraint newsboy problem with a reservation policy

In contrast to the classical newsboy-style problem, this paper develops a model for the multiple-item budget-constraint newsboy problem considering a reservation policy to meet marketing needs. A discount rate is provided to those customers who are willing to make a reservation. In addition to the demand from the original customers, extra demand is also included in the model due to the motivation of the discount rate. A solution algorithm, namely the MCR algorithm, is proposed to solve the problem. The proposed algorithm can actually be considered as a generalization of the classical newsboy-style problem. The MCR algorithm not only provides a business unit with the optimal order quantity, but also the discount rate necessary to achieve the maximal total expected profit under a limited budget. From the illustrated example, it is shown that the expected profit from the proposed model is greater than that from the classical model, due to the consideration of reservations, even though the budget constraint is tight. The increase in the expected profit could be treated as an information value from the willingness function. Although the proposed model is developed for multiple-item problems, it also can be applied to single-item ones. From the sensitivity analysis, the application of the single-item problem to the proposed model can still obtain greater expected profit than the classical model under different budgetary levels.     

Characterizations based on Rényi entropy of order statistics and record values

Two different distributions may have equal Rényi entropy; thus a distribution cannot be identified by its Rényi entropy. In this paper, we explore properties of the Rényi entropy of order statistics. Several characterizations are established based on the Rényi entropy of order statistics and record values. These include characterizations of a distribution on the basis of the differences between Rényi entropies of sequences of order statistics and the parent distribution.     

Bonus—Malus模型在银行贷款机制中的应用

将Bonus—MalLis模型应用到银行贷款业务,通过调整银行的Bonus-MalLis贷款利率来减少贷款欺诈行为。主要是建立借款人的银行个人信用体系,通过借款人上阶段的还款利率和表现决定其下阶段还款利率,这样就提供了一种与完全审计机制不同的奖惩机制。在一些简单假设下可证明Bonus—Malus利率将会消除所有欺诈行为,而非仅仅减少欺诈行为。     

项目动态BEP分析模型的创建与选用

BEP分析是项目不确定性分析的重要内容之一。现行的BEP分析模型,由于存在着未考虑资金的时间价值、理论依据不足、考察角度单一,以及方法过于简单等明显缺陷,客观上弱化了项目盈亏平衡分析的功效。为此,在对传统模型进行理性思考和比较的基础上,适应现代项目评估理论创新和实践的需要,提出以“内部收益率”等于综合资金成本率作为依据建立模型,以取代现行的静态BEP分析模型和以基准收益率为依据建立的现有动态分析模型。     

当前中小型出口企业面临的困境及原因探析

 2007年以来,在国内外形势趋紧的背景下,我国出口增幅逐步回落,出口企业承受的压力明显加大,特别是中小型出口企业出口下降,亏损和经营困难企业增多。本文结合作者在深圳、东莞和中山三市的调研情况,对当前出口企业的困境做深入分析,力图客观、全面地把握出口企业情况。