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.     

极值风险价值和预期损失的估计应用:以影子银行和A股市场为例

在检测金融时间序列极值的风险价值和预期损失时,由于金融时间序列具有尖峰和厚尾的特征,首先利用广义帕累托分布的安全阈值模型Hill图观测.当样本数据不多时,利用Gibbs抽样和蒙特卡洛模拟马尔科夫链来检验参数的拟合效果.最后,对从Hill图观测出的极值情况基于MCMC和MLE方法估计其风险价值和预期损失.本文以中国的影子银行规模、上证指数、上证成交量时间序列为例,检测了三者的极值风险值和预期损失,经过比较发现:上证成交量极值风险更大,影子银行极值风险相对较小.     

基于时间序列极值理论的跳跃风险研究

金融资产的跳跃行为作为对极端事件的刻画,为研究极端事件风险提供了良好工具。基于时间序列下的极值理论,在放松独立同分布假设下,构造了金融资产收益率序列尾部中跳跃动态特征的极值模型。通过对上证综指大跨度、高频度的实证研究,剖析了投资者结构、投资者行为与收益尾部分布之间的相互作用机制,进一步对金融资产收益尾部的跳跃风险进行了有效测度。结果表明,极端跳跃风险的分布特征在频率与尾部方向上呈现很强的不对称状态。     

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。     

媒体不实报道的长期价值毁损效应研究——基于中联重科的案例分析

近年来,媒体不实报道层出不穷,严重损害了公司和投资者利益,但以往文献对此缺乏必要的和应有的关注。本文以2012年开始的《新快报》对中联重科发表的系列不实报道为研究对象,采用案例研究方法,对不实报道的经济后果进行了探究,结果表明:不实报道对目标企业的市场价值产生严重负面影响,短窗口的CAR、长窗口的BHAR、经营业绩、机构投资者持股比例、分析师预测准确性下降。并且,不实报道被证明不实之后,市场价值短期内并没有恢复,在之后的一年内,相关指标持续恶化,这表明媒体不实报道对公司和投资者利益的负面影响严重、广泛且具有长期性,这符合桑斯坦(2010)提出的社会流瀑和群体极化理论。     

Mortality,Health, and Marriage: A Study Based on Taiwan's Population Data

Life expectancy has been increasing significantly since the start of the 20th century, and mortality improvement trends are likely to continue in the 21st century. Stochastic mortality models are used frequently to predict the expansion in life expectancy. In addition to gender, age, period, and cohort are the three main risk factors considered in constructing mortality models. Other than these factors, it is also believed that marital status is related to health and longevity, and many studies have found that married persons have a lower mortality rate than the unmarried. In this study, we have used Taiwan's marital data for the whole population (married, unmarried, divorced/widowed) to evaluate if the marital status can be a preferred criteria. Furthermore, we also want to know whether the preferred criteria will be valid in the future. We chose two popular mortality models, the Lee-Carter and age-period-cohort, to model the mortality improvements for various marital statuses. Because of a linear dependence in the parameters of the age-period-cohort model, we used a computer simulation to choose the appropriate estimation method. Based on Taiwan's marital data, we found that married persons have significantly lower mortality rates than the single, and if converting the difference into a life insurance policy, the discount amount is even larger than that for smokers/nonsmokers.     

基于价值链理论的商业银行核心竞争优势研究——招商银行个案

招商银行是中国境内最具品牌影响力的商业银行之一,先后荣膺金融业界权威媒体授予的“最佳商业银行”“最佳中资银行奖”等多项殊荣.基于价值链理论对招商银行的核心竞争优势进行系统分析,研究发现招商银行的核心竞争优势几乎覆盖价值链的整个环节,已形成了体系化的竞争优势.     

基于条件极值分布的金融高频数据VaR动态估计模型

高频数据由于自身数量大、周期短、信息丰富的特点而受到关注。基于高频数据。对金融时间序列的厚尾特征进行条件极值分布下的VaR估计。在对条件均值和条件波动率估计时,以往采用一阶自回归模型和GARCH模型,但基于高频数据的估计较为繁复。为了充分利用日内信息,基于高频样本观测值,建立已实现均值RM模型,在考虑市场异质性的基础上,对条件均值进行估计。通过对TCL股票价格进行实证分析,估计出VaR风险值,验证模型是合理的。     

基于“贡献价值系数”的人力资源个人价值评估模型设计

学术界迄今为止缺乏权威、公认的人力资源个人价值评估方法。本文以成都思盈科技有限公司作为实证样本,基于“岗位相对权重”与“岗位绩效评估值”,提出“贡献价值系数”这一指标,设计了一种新型的人力资源个人价值评估模型——“贡献价值系数法”。     

Liberal Fair Value Accounting in Banks: A South African Case Study

Research findings on the role of fair value accounting (FVA) in the global financial crisis suggest that FVA is not applied neutrally by banks. The results of FVA are accepted when they contribute to higher profits and are actively resisted when they lead to losses. The aim of this article is to investigate how FVA is practically applied by banks in detail. The focus is on banks as most of their assets are financial instruments and thus potentially fair valued, and banks’ behaviour is significantly influenced by their regulatory environment. The research objective is pursued by using a case study of two South African banks. One of these is the largest and most systemically important bank in the South African system and the other is on the crossover between systemic and not systemic. It is found that FVA as applied by these two banks is not neutral. Also included is a demonstration of a method to derive the unrealised portion of profit and equity, the identification of the gap between assets and liabilities at fair value as the driver of where in a banking group FVA profits and losses are realised, and the finding that the restatement of comparative figures was used to circumvent the prohibition on reclassifications into and out of the ‘designated as at fair value’ category.     

基于风险价值法和压力测试法的企业风险管理方法研究

本文提出风险价值法和压力测试法的企业风险管理方法,克服了传统方法只给出风险相对严重程度的不足。建立风险量化评估、预警和控制体系,采用优化组合方法,实施一体化风险管理,规避重大风险事件的发生。     

The Role of Risk in Corporate Value: A Case Study of the ABB Asbestos Litigation

The need for fair risk communication has emerged as a result of a more global and more flexible economy as well as of a media dominated world. Proper risk management and risk communication is therefore crucial today. The paper discusses the need for open and direct communication with the public in order to establish trust and to maintain market value. The case discussed is that of ABB (Asea Brown Boveri) asbestos litigation and the dramatic consequences it had for the company. During 2001 and 2002, the ABB share price fell by roughly 90 percent. The present study indicates that more than 50 percent of the fall was related to asbestos reporting by the media and ABB, primarily during the second half of 2002. The need for further understanding of and procedures for dealing with risks and risk communication in a business context is stressed. The outcome for ABB could have been different if more precise and defined ways of working with and communicating risks had been employed. Due to the asbestos crisis and the dramatic fall in ABB share price, ABB has implemented more structured operational risk management tools and displays a more outspoken awareness of environmental and social risk factors. This new strategy has emerged mainly as a result of an increased work with sustainability issues and a shift from a consensual/technocratic risk approach to a more deliberative mode of risk management.     

典型事实、极值理论与金融市场动态风险测度研究

本文在金融市场典型事实约束下,运用ARFIMA模型对金融市场条件收益率建模,运用GARCH、GJR、FIGARCH、APARCH、FIAPARCH等5种模型对金融波动率进行建模,进而运用极值理论(EVT)对标准收益的极端尾部风险建模来测度各股市的动态风险,并用返回测试(Back-testing)方法检验模型的适应性。实证结果表明,总的来说,FIAPARCH-EVT模型对各个市场具有较强的适应性,风险测度能力较为优越。进一步,本文在ARFIMA-FIAPARCH模型下,假定标准收益分别服从正态分布(N)、学生t分布(st)、有偏学生t分布(skst)、广义误差分布(GED)共4种分布,对各股市的动态风险测度的准确性进行检验,并和EVT方法的测度结果进行对比分析。结果表明,EVT方法风险测度能力优于其他方法,有偏学生t分布假设下的风险测度模型虽然略逊于EVT方法,但也不失为一种较好的方法;ARFIMA-FI-APARCH-EVT不仅在中国大陆沪深股市表现最为可靠,而且在其他市场也表现出同样的可靠性。     

基于价值网环境的财务管理:案例解构与研究展望

本文通过解构阿里巴巴、腾讯和百度三家企业的价值网,分析了价值网结构的形成机理,构建了价值网的一般模型,归纳出价值网结构在主体特征、目标特征、管理模式和管理对象四个维度的财务管理特点,并总结出价值网具有缓解融资约束、提高投资效率、降低试错成本和发挥协同效应四大功能。最后,本文从价值网的主体、功能、运作方式和经济后果四个方面对价值网财务管理的进一步研究提出了若干建议。     

基于全球价值链视角的企业对外投资模式分析——以北京为例

基于全球价值链视角对北京的100强企业处于全球价值链阶段和运用全球价值链动力机制对外投资进行分析,结果表明:北京对外投资发展缓慢,呈现出以绿地投资为主、香港为主要投资地区、投资行业多元化且对外合作发展迅速的特征,大部分的北京企业对外投资处于全球价值链的低端,且以生产者驱动型的全球价值链为主,由此,提出全球价值链下北京企业对外投资可选择的5种模式。     

公司权益价值的非线性效应——基于持续经营和转换期权分析

基于对持续经营价值与转换期权价值的分析,本文将两种非线性效应引入了传统的线性权益定价模型。同时进一步考虑税收摩擦,新的模型刻画了公司权益价值关于其营业收入的凹性关系:即公司的权益价值随公司营业收入单调递增,而其边际贡献却在递减。基于中国A股上市公司财务数据的实证结果表明:就单一行业而言,定价模型所描述的关系基本成立;但由于异质性的存在,不同行业的营业收入与权益价值之间并不存在同一的非线性协整关系。     

内部审计外包的策略选择:组织柔性视角的案例研究

因市场环境日新月异的变化以及企业间竞争的加剧,内部审计外包成为不少企业的选择。本文运用组织柔性理论探讨了企业采取内部审计外包策略的动因和影响因素。在此基础上,采取案例研究的方法,选择同为电信行业的两家企业作为典型案例,阐释了内部审计外包的机构设置、模式设置、边界设置等问题。研究结果表明:内部审计外包作为一种企业内部柔性能力,体现组织结构与企业环境匹配的适应性,不同企业采取权变的方法选择外包策略。     

基于价值增值的比较优势研究

本文基于Hummels et al．（2001）的分析框架,利用OECD提供的投入产出数据库,计算并比较中国与其他29个主要经济体产品增值率指数及增值比较优势指数。实证结果显示,我国的比较优势产业主要集中在制造业,然而这些比较优势产业的增值率不仅低于服务业和农矿制造业,并大大低于同一产业的世界平均水平。     

价值链视角的公司价值纠偏研究——以一汽轿车为例

通过对价值链背景下顾客价值到企业价值逻辑过程的分析,以及对顾客价值理论文献的回顾,指出在使用传统自由现金流量法得到价值评估初始评估结果后,需要从顾客价值的角度对初评结果进行纠偏。以一汽轿车为例设计的顾客价值指标体系以及客户调查问卷,根据顾客价值要素对价值评估结果进行的纠偏,表明纠偏很重要。     

基于案例驱动教学法的计算机基础教学改革研究

随着计算机与现代化多媒体技术的快速发展,计算机基础作为高等教育中一门操作性、实用性强的学科,其教学也在变革中日趋完善.特别是当前对案例教学的应用,取得了良好的成效.本文根据计算机基础课程的教学特点,结合案例教学的优点与长处,提出教学过程中尽可能运用案例教学,并通过具体的案例设计详细的论述了案例教学法在计算机基础课程中的应用研究.