Modelling critical illness claim diagnosis rates I: methodology

In a series of two papers, this paper and the one by Ozkok et al. (Modelling critical illness claim diagnosis rates II: results), we develop statistical models to be used as a framework for estimating, and graduating, Critical Illness (CI) insurance diagnosis rates. We use UK data for 1999–2005 supplied by the Continuous Mortality Investigation (CMI) to illustrate their use. In this paper, we set out the basic methodology. In particular, we set out some models, we describe the data available to us and we discuss the statistical distribution of estimators proposed for CI diagnosis inception rates. A feature of CI insurance is the delay, on average about 6 months but in some cases much longer, between the diagnosis of an illness and the settlement of the subsequent claim. Modelling this delay, the so-called Claim Delay Distribution, is a necessary first step in the estimation of the claim diagnosis rates and this is discussed in the present paper. In the subsequent paper, we derive and discuss diagnosis rates for CI claims from ‘all causes’ and also from specific causes.     

The characteristics of videos on demand for television programs and the determinants of their viewing patterns: Evidence from the Korean IPTV market

Korea's video-on-demand (VOD) market is led by pay TV service providers, especially internet protocol television (IPTV) service providers, and VODs for television programs (TV-VOD) represent the largest share of VOD in the country. TV-VOD is therefore of strategic importance to providers in terms of their current sales share and future growth. Focusing on the time-shift characteristics of TV-VOD and the serial complementarity of television programs, this study examines how various factors such as the characteristics of paid vs. free VOD services, and the average and variance of broadcast ratings affect VOD viewing patterns. An empirical analysis was conducted using data for TV-VODs of all television programs broadcast by major Korean broadcasters in 2015. The key findings are as follows: (1) There is an inverted-U shape relationship between broadcast ratings and TV-VOD views. This implies that there exists a positive window effect between the original broadcast and TV-VOD, with an exceptional substitution effect in segments with very high ratings. (2) Even if the average ratings are similar, there are more VOD views for programs that have a large fluctuation in ratings between episodes, mainly due to serial complementarity. (3) In terms of the distribution of VOD views over time, the initial concentration is higher in paid VOD packages and dramas, which implies that immediate decay appears for TV-VOD content because of subscriber preferences for novelty and the serial nature of drama shows. The study concludes with various implications for VOD service providers and policy makers.     

基于二叉树模型的支付系统流动性波动风险研判--以辽宁省十四市城市商业银行备付金指标为例

防范和化解支付系统流动性金融风险是中国人民银行履行金融稳定职责的重要内容,为做好此项工作,必须建立有效的风险预警机制,及时收集金融风险识别信息,进行风险测量和风险评估,及时向整个系统发出早期的风险预警信号。本文采用二叉树模型的标准型来检验备付金指标的波动范围,结合2009年至2013年近5年的日数据作为参考值,通过分析重要的支付信息,评估当时所面临的波动性风险。     

中国金融资源地区分布差异问题分析

随着国内外环境的变化和发达地区经济实力的不断增强,区域经济发展不协调的现象还有加大的趋势。金融资源地区分布的失衡是区域经济发展不协调的主要原因之一。我国的金融资源地区分布存在相当明显的地域差别。促进我国金融资源在地区间合理分布,充分发挥金融资源的作用,将有利于我国区域经济的均衡发展。     

预测VaR:高阶矩可行域未必越广越好

高阶矩可行域反映了分布函数对样本高阶矩特征(非对称和尖峰、厚尾等)的适应能力,是影响VaR预测绩效的重要因素之一。本文以中、美、英、日四个股市的收益为样本,实证比较了五种高阶矩可行域各不相同的分布函数的VaR预测绩效。结果发现,可行域过于宽广(狭窄)的分布易于高(低)估样本的偏度和峰度,并高(低)估VaR,而可行域适中的广义偏斜-t和偏斜-t分布的预测绩效相对较好。此结果可为后续研究改进VaR的预测绩效提供有益借鉴。     

GIS/GPS在物流配送中的应用

现代物流的发展,物流配送系统的设计,需要越来越多的现代信息技术。GIS/GPS技术在物流配送系统中的应用,有利于加强对物流过程的全面控制和管理,实现高效、高质的物流配送服务。     

Intangible capital distribution in China

This paper aims to examine the distribution dynamics of intangible capital investment across Chinese regions and hence contributes to the understanding of China’s regional development. A nonparametric approach is adopted to investigate the long-run distribution dynamics. Intertemporal dynamics and spatial conditional dynamics are analysed to explore the impacts of the global financial crisis and knowledge spill-over on intangibles’ distribution. It is shown that the formation of convergence clusters persists in the long run. High levels of investment tend to be concentrated in a few coastal regions while investment in most Chinese regions is projected to be low. External shocks exert an adverse effect: The post-global financial crisis transition dynamics indicate that most regions tend to converge towards a lower level than the pre-crisis dynamics imply. Finally, knowledge spill-over in the context of intangibles is identified to be an important factor that helps mitigate regional imbalance.     

中国落入“比较优势陷阱”了吗？

本文在理论上提出“比较优势陷阱”三个关键特征的基础上,基于1987~2012年SITC-4位数贸易数据,采用Lafay指数、PRODY指数和引入条件密度核估计的分布动态法,分析了中国出口产品比较优势及技术复杂度的变化趋势。结果显示,中国已跨越“比较优势陷阱”,其原因是：中国的比较优势呈现很强的流动性,且明显高于其他国家;具有中等程度比较优势的产品比重明显增加,贸易结构呈现多样化趋势;比较优势已实现从低技术复杂度产品向中等技术复杂度产品的转换。     

Computation of Greeks using binomial trees in a jump-diffusion model

We propose a new algorithm for computing the Greeks in jump-diffusion settings using binomial trees. We further demonstrate that the Greeks for European options converge to the Malliavin Greeks in the continuous time model. Our proposed algorithm is efficient, because the price and the Greeks (Delta, Gamma, Vega, and Rho) can be computed simultaneously. Computation of the Greeks for American options is also discussed.     

浅谈大型连锁超市配送中心规划设计

大型连锁超市的规模经济性质决定了大型连锁超市必须建立配送中心。在规划设计大型连锁超市的过程中必须定位配送中心的服务对象、服务内容、服务流程、设施配置及服务团队的选择和组建,才能规划设计出比较成功的大型连锁超市配送中心。