Signs of dependence and heavy tails in non-life insurance data

In this paper, we study data from the yearly reports the four major Swedish non-life insurers have sent to the Swedish Financial Supervisory Authority (FSA). We aim at finding marginal distributions of, and dependence between, losses on the five largest lines of business (LoBs) in order to create models for solvency capital requirement (SCR) calculation. We try to use data in an optimal way by sensibly defining an accounting year loss in terms of actuarial liability predictions and by pooling observations from several companies when possible to decrease the uncertainty about the underlying distributions and their parameters. We find that dependence between LoBs is weaker in our data than what is assumed in the Solvency II standard formula. We also find dependence between companies that may affect financial stability and must be taken into account when estimating loss distribution parameters. Moreover, we discuss under what circumstances an insurer is better (or worse) off using an internal model for SCR calculation, instead of the standard formula.     

现代服务业集群发展的他组织动力机制分析

本研究在阐述现代服务业集群发展的他组织动力机制概念的基础上,分析现代服务业集群发展的他组织动力机制中的外部竞争环境机制和政府促导行为机制,并对相关机制发挥作用提供对策建议。     

Pollution and informal economy

In this study, we investigate the relationship between the size of the informal economy and the level of environmental pollution/energy use. To this end, we first use different indicators of environmental pollution along with a measure of energy use intensity in a panel dataset consisting of 152 countries over the period 1999–2009 and empirically examine the relationship between pollution and the shadow economy. The estimation results show that there is an inverse-U relationship between the size of the informal economy and environmental pollution, that is, small and large sizes of the informal economy are associated with lower environmental pollution and medium levels of informality are associated with higher levels of environmental pollution. Next, we build a two sector dynamic general equilibrium model to suggest an economic mechanism for this observation. Our model identifies two channels through which informality might affect environmental pollution: The scale effect, whereby a larger (smaller) informal economy size is associated with a lower (higher) level of environmental pollution, and the deregulation effect, whereby a larger (smaller) informal economy is associated with higher (lower) pollution levels. As these two effects work in opposite directions, the changing relative strength of one with respect to the informal sector size creates the inverted-U relationship between pollution indicators and informality.     

基于信号模拟的发动机ECU动态检测方法研究

分析了发动机ECU常用的故障检测方法的特点与不足，提出以信号模拟为基础的ECU动态检测方法及检测系统的构成要素，并说明了适用于动态检测的ECU故障检测仪技术开发要点，着重介绍了ECU检测系统模拟信号的实现。     

Investment Under Uncertainty and Dynamic Adjustment in the Finnish Pork Industry

A stochastic dual model of investment under uncertainty is used to investigate structural adjustment in the Finnish hog industry. Value function restrictions are found to be comparable to those in existing dual models assuming deterministic state variables. The model also allows for an asymmetry in investment response during capital expansion and contraction phases. Empirical results show that investments respond negatively to increased uncertainty and that labor adjusts more slowly during contraction phases than during expansions. Results on economies of size, uncertainty effects, and adjustment rigidities have important implications for hog industry response to Finland's entry into the EU.     

基于主机的局域网ARP攻击防御方案

结合高校机房管理实践,分析了常见的ARP欺骗攻击的表现形式、主要危害及运作原理,提出了实际可操作的、比较完善的解决方法.     

Impact of openness, economic policy reform and regional shocks on trade and growth of Thailand： An econometric study

Thailand has currently enhanced and promoted intensive trade and investment liberalization and implemented long-term growth policy according with current regional economic integration, WTO obligations and globalization. Nevertheless, several recent internal and external factors e.g. the massive SARS and avian flu outbreaks, the Indian Ocean tsunami devastation, the Asia financial crisis and domestic policy reforms （ICSEAD, 2006） have also impeded this policy. While the issues are important for Thailand and developing countries in Asia, only limited research has been undertaken to investigate them. The paper conducts a substantive quantitative study to contribute to these trade and development policy issues. A new econometric modelling policy method, namely the generalized gravity theory （Tran Van Hoa, 2004） is used to develop a simple flexible simultaneous-equation econometric model of Thailand＇s openness model with its seven major trade partners （ASEAN-4, Australia, the USA, the EU, China, Japan and India）. Using data from the ICSEAD, the World Development Indicators and the Bank of Thailand databases, the paper reveals efficient and reliable empirical findings on trade-growth causality, trade determination including the impact of shocks and policy reform on trade and growth between Thailand and its major trade partners over the past two decades. The paper also provides evidence on the linkages between trade in goods, FDI and services and regional economic integration for more credible policy implications.     

Dynamic general equilibrium analysis of improved weed management in Australia's winter cropping systems*

A recent analysis indicated that the direct financial cost of weeds to Australia's winter grain sector was approximately $A1.2bn in 1998–1999. Costs of this magnitude represent a large recurring productivity loss in an agricultural sector that is sufficient to impact significantly on regional economies. Using a multi‐regional dynamic computable general equilibrium model, we simulate the general equilibrium effects of a hypothetical successful campaign to reduce the economic costs of weeds. We assume that an additional $50m of R&D spread over five years is targeted at reducing the additional costs and reduced yields arising from weeds in various broadacre crops. Following this R&D effort, one‐tenth of the losses arising from weeds is temporarily eliminated, with a diminishing benefit in succeeding years. At the national level, there is a welfare increase of $700m in discounted net present value terms. The regions with relatively high concentrations of winter crops experience small temporary macroeconomic gains.     

The Impulse of Stock Market Volatility and the Market Crash of October 1987

This paper employs the technique of variance decomposition and impulse response functions to examine the dynamic nature of stock market volatility relationships among six major countries during the pre, around, and post October 1987 crash period. During the period around the crash, the US stock market volatility explains much better the variations of the stock market volatility of Australia, Hong Kong, Japan, Singapore and the UK. Our findings clearly indicate that the crash originated in the US and then spread to other major stock markets.     

Asset Allocation by Variance Sensitivity Analysis

This article provides a solution to the curse of dimensionalityassociated to multivariate generalized autoregressive conditionallyheteroskedastic (GARCH) estimation. We work with univariateportfolio GARCH models and show how the multivariate dimensionof the portfolio allocation problem may be recovered from theunivariate approach. The main tool we use is "variance sensitivityanalysis," the change in the portfolio variance induced by aninfinitesimal change in the portfolio allocation. We suggesta computationally feasible method to find minimum variance portfoliosand estimate full variance-covariance matrices. An applicationto real data portfolios implements our methodology and comparesits performance against that of selected popular alternatives.