基于Bootstrap方法估计的二手车价格回归模型

本文依据美国费城地区218辆二手宝马轿车的数据,采用基于Bootstrap方法的回归模型,考察影响二手车价格的因素,探索合理的价格评估系统。在确定了回归模型具体形式后,引入Bootstrap方法,利用给定的较少的原始数据进行有放回地抽样得到Bootstrap样本,从而进行统计推断。本文应用此方法拟合模型,得到了很好的拟合效果。利用所构建的模型,我们可以对给定的二手车评估出较为公正合理的交易价格,为我国从事二手车估价及交易的人员和部门提供一定的参考价值。 件     

基于Bootstrap方法估计的二手车价格回归模型

本文依据美国费城地区218辆二手宝马轿车的数据,采用基于Bootstrap方法的回归模型,考察影响二手车价格的因素,探索合理的价格评估系统。在确定了回归模型具体形式后,引入Bootstrap方法,利用给定的较少的原始数据进行有放回地抽样得到Bootstrap样本,从而进行统计推断。本文应用此方法拟合模型,得到了很好的拟合效果。利用所构建的模型,我们可以对给定的二手车评估出较为公正合理的交易价格,为我国从事二手车估价及交易的人员和部门提供一定的参考价值。 件     

Bootstrap方法在农业产量保险费率厘定中的应用

农业产量保险的费率厘定常受到数据量少、产量分布选择不一致等问题的影响,使得费率制定者常常对结果的选择感到困惑,缺乏足够的可确信度。为此,本文用Bootstrap方法给出费率的区间估计以弥补点估计的不足。本文通过模拟测试,验证了Bootstrap方法费率点估计和区间估计的优良性。最后,对黑龙江14个县市的玉米产量数据做了实证分析。     

极值POT模型在VaR及CVaR中的应用及实证研究

考虑金融时间序列的厚尾特性,讨论了极值理论的POT模型度量金融风险的问题,并针对POT模型中超过闽值的极值数据较少的情形,提出运用BootstraP方法产生大量的子样本,给出了VaR和CVaR的点估计和区间估计。最后运用所提方法对1972年至2010年的日元／美元;汇率的10422个历史数据进行了实证分析。     

基于Bootstrap方法的风险价值VaR估计

用近期的收益数据来拟合连续S曲线抽取Bootstrap样本,再利用Bootstrap样本计算风险价值VaR。实证分析表明,这种方法能较好利用近期的数据所反映的市场新情况。Bootstrap方法通过多次抽样能得到大量Bootstrap样本,然后进行VaR估计将提高估计的精确性和稳定性。基于Bootstrap方法的VaR估计可以较为理想地为人们进行股市投资提供一种切实可行的风险度量工具与办法。     

MCMC方法在跳扩散Shibor模型参数模拟中的应用

Shibor利率逐渐成为许多金融衍生产品定价基础,本文在连续扩散模型基础上建立了跳扩散shibor利率模型,在前人研究基础上采用CKLS-SV-Jump模型来刻画shibor利率的波动情况。介绍并分析了MCMC参数模拟方法,并用MCMC方法和OPENBugs软件对CKLS-SV-Jump模型进行参数模拟,最终得出模型参数,为以后研究shibor利率衍生产品定价做准备。     

基于GARCH模型的VaR方法在上证市场中的应用

VaR(Value at Risk,在险价值)作为市场风险的度量方法之一,能够有效地度量金融市场的风险。本文在介绍了VaR的概念、特点以及计算方法的基础之上,利用GARCH模型估计、预测股市的VaR值,并对上证指数进行风险度量的实证研究。分析结果表明基于GARCH模型的VaR方法能够较好地反映出股市的风险,适合在上证市场进行风险管理。     

KMV模型在中国应用的参数修正——一个文献综述

本文按照KMV模型框架步骤,结合中国特殊情况,研究了KMV模型在度量中国公司信用风险时需要修正的所有参数及修正方法,包括违约类似事件的界定、股权价值和股价波动率的计算、违约点的设定、违约距离DD和预期违约概率EDF的函数关系等。     

抛物型扩散模型参数识别的正则化方法

经济计量模型参数识别是对观察的经济数据进行分析而得到经济结果的方法。从数学上讲属于反问题,而这类问题大多是不适定的。本文针对一类典型的抛物型扩散模型采用处理不适定问题的Tikhonov正则化方法来求解。即采用先离散化后正则化的策略利用在误差水平已知的情况下具有三阶收敛速率的算法来处理数值微分,并基于一种快速选择正则参数的混合算法计算正则解。同时对待辨识的分布参数线性和非线性依赖于观测数据两种情况分别进行了数值试验。     

Application of Relational Models in Mortality Immunization

The prediction of future mortality rates by any existing mortality models is hardly exact, which causes an exposure to mortality (longevity) risk for life insurers (annuity providers). Since a change in mortality rates has opposite impacts on the surpluses of life insurance and annuity, hedging strategies of mortality and longevity risks can be implemented by creating an insurance portfolio of both life insurance and annuity products. In this article, we apply relational models to capture the mortality movements by assuming that the realized mortality sequence is a proportional change and/or a constant shift of the expected one, and the size of the changes varies in the length of the sequences. Then we create a variety of non-size-free matching strategies to determine the weights of life insurance and annuity products in an insurance portfolio for mortality immunization, where the weights depend on the sizes of the proportional and/or constant changes. Comparing the hedging performances of four non-size-free matching strategies with corresponding size-free ones proposed by Lin and Tsai, we demonstrate with simulation illustrations that the non-size-free matching strategies can hedge against mortality and longevity risks more effectively than the size-free ones.     

Bootstrapping Parametric Models of Mortality

We consider a general problem of modeling a mortality law of a population of failing units with some parametric function. In this setting we define a mortality table of crude rates as a statistical estimator with multinomial distribution and show its consistency as well as asymptotic normality. We further derive the statistical properties of parameter estimators in a parametric mortality model based on a weighted square loss function. We use the obtained results to study consistency and appropriateness of the parametric bootstrap method in our setting. We derive the conditions on the assumed parametric mortality law and the loss function, under which the bootstrap is consistent for estimating the model parameters, their standard errors and corresponding confidence intervals. We apply our results to a model of Aggregate US Mortality Table based on a so called mixture of extreme value distributions suggested by Carriere ().     

Extreme Value Analysis of Mortality at the Oldest Ages: A Case Study Based on Individual Ages at Death

In this article, the force of mortality at the oldest ages is studied using the statistical tools from extreme value theory. A unique data basis recording all individual ages at death above 95 for extinct cohorts born in Belgium between 1886 and 1904 is used to illustrate the relevance of the proposed approach. No leveling off in the force of mortality at the oldest ages is found, and the analysis supports the existence of an upper limit to human lifetime for these cohorts. Therefore, assuming that the force of mortality becomes ultimately constant, that is, that the remaining lifetime tends to the Negative Exponential distribution as the attained age grows is a conservative strategy for managing life annuities.     

CBI教学法在专业英语教学中的应用

基于内容的语言教学法在国外被认为是最有效的外语教学方法,它是通过语言的使用来习得语言,而不是单纯地学习语言,适合在我国专业英语教学中运用。在这种教学方法的诸多教学模式中可主要选择内容操练模式、主题模式和辅助模式。     

高龄人口死亡率预测模型的比较与选择

高龄人口死亡率预测模型是人口预测、养老金成本和债务评估以及长寿风险度量与管理的基础。我国大陆地区高龄人口死亡数据量少、数据波动性大,如何选择适合我国高龄数据特点的死亡率预测模型,是重要的研究课题。本文在归纳总结死亡率预测模型研究进展的基础上,先采用数据较为充分的台湾地区高龄死亡数据,选用Lee-Carter、CBD、贝叶斯分层模型等八种死亡率模型,对模型的拟合效果、预测效果和稳健性做出比较。在此基础上,基于修正和平滑后的我国大陆人口死亡数据,采用CBD模型和贝叶斯分层模型建模和预测。结果显示:贝叶斯分层模型能捕捉我国大陆高龄死亡率数据的历史波动,预测区间能够涵盖全部死亡率的真实值,但预测区间过宽,生存曲线不收敛;相比之下,CBD模型对我国大陆地区高龄死亡率的拟合和预测较好,预测区间和生存曲线合理。在长寿风险度量中,建议采用CBD模型。     

Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II

Recently Cairns et al. introduced a general framework for modeling the dynamics of mortality rates of two related populations simultaneously. Their method ensures that the resulting forecasts do not diverge over the long run by modeling the difference in the stochastic factors between the two populations with a mean-reverting autoregressive process. In this article, we investigate how the modeling of the stochastic factors may be improved by using a vector error correction model. This extension is highly intuitive, allowing us to visualize the cross-correlations and the long-term equilibrium relation between the two populations. Another key benefit is that this extension does not require the user to assume which one of the two populations is dominant. This benefit is important because, as we demonstrate, it is not always easy to identify the dominant population, even if one population is much larger than the other. We illustrate our proposed extension with data from a pair of populations and apply it to the calculation of Solvency II risk capital.     

Mortality Measurement at Advanced Ages: A Study of the Social Security Administration Death Master File

Accurate estimates of mortality at advanced ages are essential to improving forecasts of mortality and the population size of the oldest old age group. However, estimation of hazard rates at extremely old ages poses serious challenges to researchers: (1) The observed mortality deceleration may be at least partially an artifact of mixing different birth cohorts with different mortality (heterogeneity effect); (2) standard assumptions of hazard rate estimates may be invalid when risk of death is extremely high at old ages and (3) ages of very old people may be exaggerated. One way of obtaining estimates of mortality at extreme ages is to pool together international records of persons surviving to extreme ages with subsequent efforts of strict age validation. This approach helps researchers to resolve the third of the above-mentioned problems but does not resolve the first two problems because of inevitable data heterogeneity when data for people belonging to different birth cohorts and countries are pooled together. In this paper we propose an alternative approach, which gives an opportunity to resolve the first two problems by compiling data for more homogeneous single-year birth cohorts with hazard rates measured at narrow (monthly) age intervals. Possible ways of resolving the third problem of hazard rate estimation are elaborated. This approach is based on data from the Social Security Administration Death Master File (DMF). Some birth cohorts covered by DMF could be studied by the method of extinct generations. Availability of month of birth and month of death information provides a unique opportunity to obtain hazard rate estimates for every month of age. Study of several single-year extinct birth cohorts shows that mortality trajectory at advanced ages follows the Gompertz law up to the ages 102-105 years without a noticeable deceleration. Earlier reports of mortality deceleration (deviation of mortality from the Gompertz law) at ages below 100 appear to be artifacts of mixing together several birth cohorts with different mortality levels and using cross-sectional instead of cohort data. Age exaggeration and crude assumptions applied to mortality estimates at advanced ages may also contribute to mortality underestimation at very advanced ages.     

中世纪盛期哥特兰商人同盟探析

中世纪盛期出现的哥特兰商人同盟是北海-波罗的海地区最为重要的德意志海外商人团体,它诞生于12世纪北欧区域经济的发展和地缘政治的变动之中.作为一个自发组织,起初它在指导德意志商人从事贸易活动方面意义显著.其领袖角色大约保持了两个世纪,到13世纪中叶时因组织形式已不再适应区域贸易模式的变革和发展,最终被更具凝聚力的北德城市同盟所取代.该同盟的兴衰事实上反映了中世纪盛期西北欧区域贸易与商业制度的建设者和保护者之间的共生共荣关系.     

内容教学法实施的条件和适用范围研究

以内容教学法相关理论为依据,深入分析影响内容教学法实施的因素。确定了内容教学法实施的五个前提条件：教师语言素质、教师内容素质、学生语言素质、学生内容素质和课程教学目标。并以这五个前提条件为尺度重新衡量我国外语教学现状,从而确定内容教学法在我国现阶段的适用范围。     

我国民间金融的历史回溯

我国民间金融在封建时代不同时期的形态和表现各有其风貌,历代统治者都制定不同的政策来规范其发展。本文综述各个历史时期民间金融的总体状态,探索封建时代民间金融的共性特征,分析民间金融存在和发展的内在因素。