A multivariate Poisson mixture model for marketing applications

This paper describes a multivariate Poisson mixture model for clustering supermarket shoppers based on their purchase frequency in a set of product categories. The multivariate nature of the model accounts for cross-selling effects between the purchases made in different product categories. However, for computational reasons, most multivariate approaches limit the covariance structure by including just one common interaction term, or by not including any covariance at all. Although this reduces the number of parameters significantly, it is often too simplistic as typically multiple interactions exist on different levels. This paper proposes a theoretically more complete variance/covariance structure of the multivariate Poisson model, based on domain knowledge or preliminary statistical analysis of significant purchase interaction effects in the data. Consequently, the model does not contain more parameters than necessary, whilst still accounting for the existing covariance in the data. Practically, retail category managers can use the model to devise customized merchandising strategies.     

关于曲线积分和曲面积分教学中几个难点的突破

加强曲线、曲面积分概念讲解,标准化曲线、曲面积分的计算程序,沟通有关积分之间关系,以消除学生 对斯托克斯等公式的深奥感,有效地突破了曲线、曲面积分教学中的几个难点。     

建筑企业系统内部工程整体分包行为研究

论文主要针对我国的大型建筑企业或者企业集团在承包的项目中出现的内部分包行为进行分析，对各种具体行为进行了归纳与定性。文中分析了其产生的背景与原因，以及可能导致的问题。希望能够有助于企业正确认识这种行为及其后果，及时调整企业经营策略。同时有助于有关主管部门的调控和管理。     

A bivariate Poisson count data model using conditional probabilities

The applied econometrics of bivariate count data predominantly focus on a bivariate Poisson density with a correlation structure that is very restrictive. The main limitation is that this bivariate distribution excludes zero and negative correlation. This paper introduces a new model which allows for a more flexible correlation structure. To this end the joint density is decomposed by means of the multiplication rule in marginal and conditional densities. Simulation experiments and an application of the model to recreational data are presented.     

CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1

In markets where dealers play a central role, bid-ask spreads inhibit asset valuation as defined by the formation cost of a replicating portfolio. We introduce a nonlinear valuation formula similar to the usual expectation with respect to the risk-adjusted probability measure. This formula expresses the asset's selling and buying prices set by dealers as the Choquet integrals of their random payoffs We investigate several price puzzles: the violation of the put-call parity and the fact that the components of a security can sell at a premium to the underlying security (primes and scores).     

Comparisons of Bayesian estimation procedures for two-way contingency tables without interaction

Bayesian and empirical Bayesian estimation methods are reviewed and proposed for the row and column parameters in two-way Contingency tables without interaction. Rasch's multiplicative Poisson model for misreadings is discussed in an example. The case is treated where assumptions of exchangeability are reasonable a priori for the unknown parameters. Two different types of prior distributions are compared, It appears that gamma priors yield more tractable results than lognormal priors.     

Variance stabilizing and normalizing transformations for the compound poisson process

Summary Two parametric sets of normalizing transformations for the compound Poisson process are considered. The transformations in the first set are also variance stabilizing, and the optimum variance stabilizing transformation and an optimum normalizing transformation in this set are determined. The second set consists of power transformations, and an optimum normalizing transformation is obtained. Some comparisons with respect to normalization are made between these optimum transformations. The work of this author was performed while he was a visitor at the Department of Statistics, State University of New York at Buffalo.     

基于GLM的未决赔款准备金评估的随机性链梯法

为度量未决赔款准备金评估结果的波动性,需要研究随机性评估方法。基于GLM的随机性方法,得到准备金估计及预测均方误差。特别地,在过度分散泊松模型中,分别应用参数Bootstrap方法和非参数Bootstrap方法,得到两种方法下未决赔款准备金的预测分布,进而由该分布得到各个分位数以及其它分布度量,并通过精算实务中的数值实例应用R软件加以实证分析。实证结果表明,两种Bootstrap方法得到的参数误差、过程标准差、预测均方误差都与解析表示估计的结果很接近。     

Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options

We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard models without jumps when estimated on S&P500 returns. We find very strong support for time-varying jump intensities. Compared to the risk premium on dynamic volatility, the risk premium on the dynamic jump intensity has a much larger impact on option prices. We confirm these findings using joint estimation on returns and large option samples.     

基于制造业转型下的多属性关联的产品服务方案决策研究

受当下企业产业链扩展的影响,制造业正处于转型升级的关键时期,服务型制造业已成为制造企业获取市场竞争优势的主要手段,主要为客户提供产品服务方案来满足客户个性化需求,产品模块与服务模块如何组成已成为决定服务型制造企业能否转型成功的关键所在。本文以产品服务系统方案的形成过程为基础,刻画了产品模块与服务模块的选取过程,基于Choquet积分算子构建了在产品服务属性相关联下的产品模块与服务模块的决策模型,并给出了相应求解方法,最后通过算例验证了该理论的实践性。研究结果表明:产品模块与服务模块属性的关联性有助于实施产品服务方案,解决客户问题。