Estimation of P[Y < X] for generalized exponential distribution

This paper deals with the estimation of P[Y < X] when X and Y are two independent generalized exponential distributions with different shape parameters but having the same scale parameters. The maximum likelihood estimator and its asymptotic distribution is obtained. The asymptotic distribution is used to construct an asymptotic confidence interval of P[Y < X]. Assuming that the common scale parameter is known, the maximum likelihood estimator, uniformly minimum variance unbiased estimator and Bayes estimator of P[Y < X] are obtained. Different confidence intervals are proposed. Monte Carlo simulations are performed to compare the different proposed methods. Analysis of a simulated data set has also been presented for illustrative purposes.Part of the work was supported by a grant from the Natural Sciences and Engineering Research Council     

基于截断偏差纠正的企业创新对成本黏性的影响

技术创新具有投资规模大、转换成本高、投资周期长等显著特征,这将深刻影响企业成本习性.基于此,在考虑专利数据截断偏差的前提下,利用 2009-2021 年沪深A股上市公司的相关数据,构建成本黏性存在性检验模型及其扩展模型实证检验企业创新对成本黏性的影响及其作用机理.研究发现,企业创新导致成本黏性显著上升.机制检验表明,企业创新主要通过降低供应链资源运转效率、提高管理层乐观预期和加剧代理问题三条路径加大成本黏性.进一步研究发现,企业创新对成本黏性的助推效应在中小民营企业和行业竞争程度较高地区的企业中更加显著.研究结论对于提升企业资源配置效率、实现高质量发展具有重要启示意义.     

Cost Inefficiency,Size of Firms and Takeovers

This study, using the Cox proportional hazards model, finds that the risk of takeover rises with cost inefficiency. It also finds that a firm faces a significantly higher risk of takeover if its cost performance lags behind its industry benchmark. Moreover, these findings appear to be remarkably stable over the nearly two decades spanned by the sample. The effect of the variables used to measure the risk-size relationship, however, indicates temporal changes. Lastly, the study presents evidence from fixed-effects models of ex post cost efficiency improvements that support the hypothesis that takeover targets are selected based on the potential for improvement.     

企业并购的协同价值分配研究

协同价值的分配对并购各方至关重要,并且影响着并购质量。文章以市场交易价格和市场类型入手,分析了影响协同价值分配的因素。并考虑了双方资源和能力对协同价值的贡献大小的基础上,从层次分析法（AHP）的角度构建了协同价值的分配模型并进行案例验证。最后,针对如何切实估算总协同价值提出了若干建议。     

On Families of Distributions with Shape Parameters

Univariate continuous distributions are one of the fundamental components on which statistical modelling, ancient and modern, frequentist and Bayesian, multi‐dimensional and complex, is based. In this article, I review and compare some of the main general techniques for providing families of typically unimodal distributions on with one or two, or possibly even three, shape parameters, controlling skewness and/or tailweight, in addition to their all‐important location and scale parameters. One important and useful family is comprised of the ‘skew‐symmetric’ distributions brought to prominence by Azzalini. As these are covered in considerable detail elsewhere in the literature, I focus more on their complements and competitors. Principal among these are distributions formed by transforming random variables, by what I call ‘transformation of scale’—including two‐piece distributions—and by probability integral transformation of non‐uniform random variables. I also treat briefly the issues of multi‐variate extension, of distributions on subsets of and of distributions on the circle. The review and comparison is not comprehensive, necessarily being selective and therefore somewhat personal. © 2014 The Authors. International Statistical Review © 2014 International Statistical Institute     

Extreme dependence of multivariate catastrophic losses

Natural catastrophes cause insurance losses in several different lines of business. An approach to modelling the dependence in loss severities is to assume that they are related to the intensity of the natural disaster. In this paper we introduce a factor model and investigate the extreme dependence. We derive a specific extreme dependence structure when considering an heavy-tailed intensity. Estimation procedures are presented and their moderate sample properties are compared in a simulation study. We also motivate our approach by an illustrative example from storm insurance.     

Mean–variance portfolio selection with ‘at-risk’ constraints and discrete distributions

We examine the impact of adding either a VaR or a CVaR constraint to the mean–variance model when security returns are assumed to have a discrete distribution with finitely many jump points. Three main results are obtained. First, portfolios on the VaR-constrained boundary exhibit (K + 2)-fund separation, where K is the number of states for which the portfolios suffer losses equal to the VaR bound. Second, portfolios on the CVaR-constrained boundary exhibit (K + 3)-fund separation, where K is the number of states for which the portfolios suffer losses equal to their VaRs. Third, an example illustrates that while the VaR of the CVaR-constrained optimal portfolio is close to that of the VaR-constrained optimal portfolio, the CVaR of the former is notably smaller than that of the latter. This result suggests that a CVaR constraint is more effective than a VaR constraint to curtail large losses in the mean–variance model.     

基于 Tweedie 类分布的广义可加模型在车险费率厘定中的应用

分析广义线性模型和广义可加模型的理论基础和特点,从Tweedie类分布的独特视角归纳保险索赔额数据的分布规律。基于此建立了GLM—Tweedie和GAM—Tweedie索赔额拟合模型,以一组汽车保险损失数据为样本进行车险费率厘定和索赔额拟合的实证分析,识别“车、人、地”不同因素对费率不同的影响程度,助推我国车险费率厘定市场化改革精算技术的提升。     

Forecast reconciliation: A geometric view with new insights on bias correction

A geometric interpretation is developed for so-called reconciliation methodologies used to forecast time series that adhere to known linear constraints. In particular, a general framework is established that nests many existing popular reconciliation methods within the class of projections. This interpretation facilitates the derivation of novel theoretical results. First, reconciliation via projection is guaranteed to improve forecast accuracy with respect to a class of loss functions based on a generalised distance metric. Second, the Minimum Trace (MinT) method minimises expected loss for this same class of loss functions. Third, the geometric interpretation provides a new proof that forecast reconciliation using projections results in unbiased forecasts, provided that the initial base forecasts are also unbiased. Approaches for dealing with biased base forecasts are proposed. An extensive empirical study of Australian tourism flows demonstrates the theoretical results of the paper and shows that bias correction prior to reconciliation outperforms alternatives that only bias-correct or only reconcile forecasts.