Bayesian Premium Rating with Latent Structure

We propose a fully Bayesian approach to non-life risk premium rating, based on hierarchical models with latent variables for both claim frequency and claim size. Inference is based on the joint posterior distribution and is performed by Markov Chain Monte Carlo. Rather than plug-in point estimates of all unknown parameters, we take into account all sources of uncertainty simultaneously when the model is used to predict claims and estimate risk premiums. Several models are fitted to both a simulated dataset and a small portfolio regarding theft from cars. We show that interaction among latent variables can improve predictions significantly. We also investigate when interaction is not necessary. We compare our results with those obtained under a standard generalized linear model and show through numerical simulation that geographically located and spatially interacting latent variables can successfully compensate for missing covariates. However, when applied to the real portfolio data, the proposed models are not better than standard models due to the lack of spatial structure in the data.     

带有能力约束的大规模联合补货问题研究

文中研究求解带有能力约束限制的大规模联合补货问题。在订货网络中,通过聚类算法将问题规模缩小至一定范围内,使算法在该范围内具有良好的表现;其次,在问题的模型中,考虑转运中心的能力限制,保证在任何订货周期内不出现超出转运中心能力负荷的情况;第三,通过改进经典RAND算法,引入拉格朗日乘子,求解模型,所优化的目标为总费用最小化和求解速度质量的平衡。最后根据数值算例验证策略有效性。     

交易成本经济学建模问题探讨

交易成本经济学由于缺乏合适的数理模型而饱受批评,所以建模问题是交易成本经济学迫切需要解决的问题。文章分析了交易成本经济学从简化模型到结构模型的发展,同时指出了交易成本经济学在建模方面存在的实际困难和可能的发展方向。     

国有与非国有工业企业生产效率差异研究——基于2008年第二次经济普查数据

作者根据第二次经济普查数据,研究了我国国有与非国有工业企业生产效率差异。OLS方法估计结果表明,国有与非国有工业企业生产效率差异从1995年的100%～400%,下降到2008年的17%～36%,随机前沿方法估计结果表明,国有与非国有工业企业技术无效率差异从1995年的22%～57%,下降到2008年的9%～21%,且国有工业企业技术效率仅比非国有工业企业低2.1%～6.3%,这表明国有工业企业的生产效率得到了大幅度提高,但国有企业生产效率的提高主要依赖其规模和垄断优势,在竞争性行业国有工业企业生产效率仍然低于非国有工业企业10%以上。     

期货投资组合交易保证金设置研究——基于Copula模型和极值理论的分析

本文以棉花、铜、天然橡胶三个期货合约为研究对象,基于t-Copula模型,利用Monte Carlo模拟法计算在一定权重下由三个品种构成的期货投资组合的VaR和ES值作为投资组合的保证金数值。Kupiec回溯测试结果表明,t-Copula模型结合极值理论计算出的期货投资组合保证金相比其他方法能够在较好覆盖极端风险的同时降低投资成本。     

中国地区新型工业化发展模式与路径选择

本文基于生态经济效率视角,选取2005～2006年数据,使用数据包络分析模型和面板数据回归模型,对中国大陆31个省、直辖市和自治区的新型工业发展模式进行实证分析.本文认为,地区工业的生态经济效率是由地区工业的经济效率和生态效率共同构成,并据此划分出各地区在新型工业化发展进程中的4种新型工业发展模式,探讨了生态经济效率与经济效率和生态效率的关系.本文提出了新型工业发展路径的战略选择应符合生态经济效率的二维结构特征,为促进全国各地区工业经济又好又快的发展提出了建议.     

Does beta react to market conditions? Estimates of ‘bull’ and ‘bear’ betas using a nonlinear market model with an endogenous threshold parameter

The authors use a logistic smooth transition market (LSTM) model to investigate whether ‘bull’ and ‘bear’ market betas for Australian industry portfolios returns differ. The LSTM model allows the data to determine a threshold parameter that differentiates between ‘bull’ and ‘bear’ states, and it also allows for smooth transition between these two states. Their results indicate that ‘bull’ and ‘bear’ betas are significantly different for most industries, and that up-market risk is not always lower than down-market risk. LSTM models indicate that the transition between ‘bull’ and ‘bear’ states is abrupt, supporting a dual-beta market modelling framework.     

温度驱动、经济增长与居民生活能源消费

在1阶段Becker-Grossman模型的基础上,引入日平均降雨量、人均总产出和地域虚拟变量,分析水旱灾害、温度、经济增长和地域差别因素对我国居民能源消费的影响。采用2004年~2011年30个省域数据建立面板模型,研究发现:(1)各省居民基础生活能源消费存在的明显的个体差异,欠发达地区和高海拔地区的生活能源消费基数较高;(2)我国居民能源消费形式已不同于上世纪90年代之前的灾害驱动型,而达到了与发达国家相似的温度驱动型时期,能源消费量与温度关系曲线呈U型,且温度调节的成本差异导致曲线左右不对称;(3)经济增长效应大于温度驱动效应,是近年来我国居民生活能源增加的主要原因,收入能源消费弹性系数仅为0.39,未来能源消费还会进一步增加。最后本文对模型进行了6种形式的扩展,发现模型具有良好的稳健性。     

A Long-run Disaggregated Cross-section and Time-series Demand System: An Application to Italy

In this paper, we study a long-run disaggregated model of consumption following an approach based on an integrated cross-section and time-series demand system. The study consists of three steps. First, a cross-section analysis is performed on data from household budget surveys. At this stage, the problem of 'zero expenditures' is solved. The cross-section results are transformed into variables for use in the time-series system of demand. Then, this demand system is built and estimated. Some results for Italy concerning both the cross-section and the time-series analyses are presented.     

Influence of On-Site Choices on Recreation Demand

Eleven conceptual models that illustrate the relationship between ethnicity/race and recreation are examined. From Lindsay and Ogle (1972) to Floyd, Gramman, and Saenz (1993), the reader is taken through the array of theoretical models that have been used to determine recreation participation by ethnic/racial groups in America. A new conceptual model is created that incorporates elements from each of the previous 11 models. This new model is termed the Ethnicity and Public Recreation Participation Model (EPRP Model) © . The EPRP Model is introduced as a viable theoretical framework for studying and measuring the relationship between ethnic/racial factors and recreation participation.