A posteriori ratemaking using bivariate Poisson models

Recently, different bivariate Poisson regression models have been used in the actuarial literature to make an a priori ratemaking taking into account the dependence between two types of claims. A natural extension for these models is to consider a posteriori ratemaking (i.e. experience rating models) that also relaxes the independence assumption. We introduce here two bivariate experience rating models that integrate the a priori ratemaking based on the bivariate Poisson regression models, extending the existing literature for the univariate case to the bivariate case. These bivariate experience rating models are applied to an automobile insurance claims data-set to analyse the consequences for posterior premiums when the independence assumption is relaxed. The main finding is that the a posteriori risk factors obtained with the bivariate experience rating models are significantly lower than those factors derived under the independence assumption.     

公共支出结构与经济增长关系的实证分析

采用1980～2004年的统计数据,实证分析了公共支出结构与经济增长之间的关系.研究发现:社会性支出对经济增长有一定的促进作用,但统计上并不显著;经济性支出对经济增长具有不显著负相关性;维持性支出对经济增长存在显著负相关性.据此,提出了增加社会性支出、缩减经济性支出与维持性支出的公共支出结构调整的政策建议.     

农业产业化影响因素的实证研究——基于安徽省10市(县)270户农户的调研数据

基于对270户农户的实地调研数据,分析了农业产业化的影响因素,并利用泊松回归模型实证研究了各相关因素的具体影响。研究表明：龙头企业收购价格的波动程度、户主文化程度、种植油茶的年收入水平、农户对产业合同的遵守程度、油茶收入占家庭总收入的比重、农户户主性别和耕地面积7个因素对农业产业化的影响是显著的;农户年龄、家庭规模、技术服务水平、政府补贴程度、年种植成本这5个因素的影响是不显著的。     

影响中国服务贸易出口的可量化因素分析

根据1990-2004年中国服务贸易出口及其可量化因素的时间序列数据建立的多元线性回归模型,印证了人均国内生产总值、世界GDP增长率、服务业占GDP的比重、货物贸易出口额等因素对中国服务贸易出口的影响。因此,应优化服务贸易出口结构。扩大市场开发度和加大政府支持力度,以增加中国服务贸易的出口。     

学科差异下的大学英语成绩-基于北京市七所高校本科生的分析

在对北京市海淀区七所"211工程"高校计算机及经管专业大四本科学生问卷调查的基础上,及在将新、旧四六级成绩统一转化为可比的旧四级成绩后,利用一般MLE回归模型纠正、解释了学科差异与大学英语成绩间的生态学谬误。学科差异对于个人的英语成绩并不存在直接影响。还利用国外教育界经常采用的分层线性模型重新估计了学科差异对于我国大学生英语成绩的影响。在理工科学生组中,解释变量对于因变量的影响更为强烈。     

Pricing Structure in Tokyo Metropolitan Land Markets and its Structural Changes: Pre-bubble,Bubble, and Post-bubble Periods

In this paper, we estimate hedonic price equations of Japanese commercial and residential land prices for a 25-year period and to investigate possible structural changes in these price equations. Our price equations are based on transaction prices, not appraised land values, of commercial land in Central Business Districts of Tokyo (Chiyoda Ward, Chuo Ward, and Minato Ward), and residential land of its suburb (Setagaya Ward). We find that price structure differs substantially among locations, reflecting differences in supplier pricing and end-user preferences. We also find significant structural changes in price structure, identifying pre-bubble, bubble and post-bubble periods.

Influencing factors of disability among the elderly in China, 2003–2016: application of Bayesian quantile regression

Abstract

Background: More and more disabled elderly need long-term care as China becomes an aging society. In 2016, there were 220 million people over the age of 60, and nearly 10 million completely disabled elderly people who cannot complete Activities of Daily Living (ADLs). Therefore, the topic of influencing factors for disability among the elderly in China has attracted close attention from researchers, most of which use the traditional empirical methods, such as Ordinary Least Squares (OLS) and logistic.

Objective: The purpose of this paper was to introduce the Bayesian Quantile Regression (BQR) method to the topic of the disabled elderly, which was achieved by using BQR to study the influencing factors of disability among the elderly in China during 2003–2016.

Methods: This paper was the first attempt to use the BQR for the influencing factors of disability among the elderly in China. Furthermore, a comparison was made between the regression results of BQR, OLS, Quantile Regression (QR), and Bayesian Linear Regression (BLR).

Results: It was found that there was a relatively stable relationship between chronic diseases and disability, although there was a little difference in different quantiles. In addition, the BQR can obtain results similar to the traditional method. For instance, the coefficient of chronic diseases (to total disability) obtained by OLS, QR, and BLR were basically consistent (around 0.778), which was similar to BQR. The BQR not only provided estimates for all the quantiles, but also provided upper and lower values of a certain confidence interval.

Conclusions: By applying the BQR to the influencing factors of disability among the elderly in China, we reached the conclusion that BQR methods are adaptable for this research topic because of their characteristics and advantages over the traditional methods, such as less strict constraints, the estimates for all quantiles, and the combination of historical information with prior information. Moreover, the BQR method appropriately obtained the lower and upper values in a confidence interval, which can provide prediction space for the future.     

FOREIGN AID,TERRORISM AND GROWTH: CONDITIONAL EVIDENCE FROM QUANTILE REGRESSION

In this study, we investigate the role of development assistance in reducing a hypothetically negative impact of terrorism on economic growth, using a panel of 78 developing nations with data for the period 1984–2008. The empirical evidence is based on interactive quantile regressions. Domestic, transnational, unclear and total terrorism dynamics are employed while development assistance measurements comprised bilateral and multilateral aid variables. With regard to the investigated hypothesis, we consistently confirm that: (i) In quantiles where terrorism is found to increase (decrease) economic growth, its interaction with foreign aid decreases (increases) economic growth. (ii) Comparing thresholds of the modifying aid variables for which the hypothesis is either rejected or accepted reveals that higher levels of multilateral (bilateral) aid are needed to reverse the negative effect of total (unclear) terrorism on growth, than the quantity needed to reverse the positive impact of transnational (domestic and total) terrorism(s) on growth. (iii) There is scant evidence of positive net effects. Overall the findings broadly indicate that foreign aid is a necessary but not a sufficient policy tool for completely dampening the effects of terrorism on economic growth.     

公路路堑挡雪墙防雪效果预测与设计参数优化

为了对延崇高速路堑风吹雪雪害问题进行防治,首先采用CFD数值模拟方法研究了挡雪墙防护措施下路堑积雪分布规律,其次基于正交试验方法建立了路堑挡雪墙防雪效果预测模型,最后优化了金家庄螺旋隧道口路堑挡雪墙设置方案。研究结果表明,路堑边坡比对挡雪墙防雪效果的影响程度最大,其次是挡雪墙高度、路堑深度、风速、风速-挡雪墙高度组合、挡雪墙布置距离和挡雪墙高度-挡雪墙布置距离组合,而风速-挡雪墙布置距离组合的影响程度最小。金家庄螺旋隧道口路堑风吹雪挡雪墙最优高度为6 m、挡雪墙和路堑之间最优距离为90 m。设置挡雪墙时路堑路段积雪体积分数减少了12.36%,证明了优化挡雪墙的布置可起到较好的防雪效果。因此,研究结果可为风吹雪挡雪墙的设置提供一种便捷快速的方法和科学依据,为路堑风吹雪灾害防治提供理论参考。     

Longevity and adjustment in pension annuities,with application to Finland

The aim of this paper is twofold. First, the improvement in adult mortality in Finland is studied. Lee-Carter (LC) Poisson log-bilinear model is used for mortality forecasting. Secondly, the paper studies how the pension annuities are adjusted to unexpected mortality pattern. A formula for funded plan is proposed. Application is made with Finnish mortality rates predicted using the LC model.