Unconditional distributions obtained from conditional specification models with applications in risk theory

Bivariate distributions, specified in terms of their conditional distributions, provide a powerful tool to obtain flexible distributions. These distributions play an important role in specifying the conjugate prior in certain multi-parameter Bayesian settings. In this paper, the conditional specification technique is applied to look for more flexible distributions than the traditional ones used in the actuarial literature, as the Poisson, negative binomial and others. The new specification draws inferences about parameters of interest in problems appearing in actuarial statistics. Two unconditional (discrete) distributions obtained are studied and used in the collective risk model to compute the right-tail probability of the aggregate claim size distribution. Comparisons with the compound Poisson and compound negative binomial are made.     

Backtesting extreme value theory models of expected shortfall

We use stock market data to analyze the quality of alternative models and procedures for forecasting expected shortfall (ES) at different significance levels. We compute ES forecasts from conditional models applied to the full distribution of returns as well as from models that focus on tail events using extreme value theory (EVT). We also apply the semiparametric filtered historical simulation (FHS) approach to ES forecasting to obtain 10-day ES forecasts. At the 10-day horizon we combine FHS with EVT. The performance of the different models is assessed using six different ES backtests recently proposed in the literature. Our results suggest that conditional EVT-based models produce more accurate 1-day and 10-day ES forecasts than do non-EVT based models. Under either approach, asymmetric probability distributions for return innovations tend to produce better forecasts. Incorporating EVT in parametric or semiparametric approaches also improves ES forecasting performance. These qualitative results are also valid for the recent crisis period, even though all models then underestimate the level of risk. FHS narrows the range of numerical forecasts obtained from alternative models, thereby reducing model risk. Combining EVT and FHS seems to be best approach for obtaining accurate ES forecasts.     

Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter

Credibility theory is a statistical tool to calculate the premium for the next period based on past claims experience and the manual rate. Each contract is characterized by a risk parameter. A phase-type (or PH) random variable, which is defined as the time until absorption in a continuous-time Markov chain, is fully characterized by two sets of parameters from that Markov chain: the initial probability vector and transition intensity matrix. In this article, we identify an interpretable univariate risk parameter from amongst the many candidate parameters, by means of uniformization. The resulting density form is then expressed as an infinite mixture of Erlang distributions. These results are used to obtain a tractable likelihood function by a recursive formula. Then the best estimator for the next premium, i.e. the Bayesian premium, as well as its approximation by the Bühlmann credibility premium are calculated. Finally, actuarial calculations for the Bühlmann and Bayesian premiums are investigated in the context of a gamma prior, and illustrated by simulated data in a series of examples.     

骨架密实型水稳基层的应用初探

通过公路常用的水泥稳定砂砾基层施工后期出现裂缝的成因进行分析、探讨,结合星星峡至哈密段路面工程中水稳基层骨架密实型结构的应用,探讨工程施工的具体方法及控制要点。     

试论稳定工作在开放式公园管理中的重要作用

城市公园是市民游乐、休闲、健身的重要场所,也是极易引发不稳定因素的敏感部位。特别是随着社会的进步,政府各项便民措施的出台,大部分城市公园都在陆续实行开放式管理。这一变化,无疑将给公园管理带来更大的难度。同时,也给稳定工作带来了新的课题,稳定工作在城市公园开放式管理中很关键。所以,只有将其切实纳入工作议程,加强组织领导,才能保证其落到实处,为城市公园开放式管理的有序顺畅、和谐自然提供可靠的保障。     

浅谈构筑信访稳定的第一道防线

本文在分析研究构成群众越级上访动因的基础上,从严格落实信访工作责任制、掌握政策、强化服务、宣传法制等六个方面采取对策,构筑基层信访稳定工作第一道防线。     

稳定配置的理论与市场设计的实践——2012年诺贝尔经济学奖评介

埃尔文·罗斯和劳埃德·沙普利因为在＂稳定配置的理论和市场设计的实践＂研究方面所做的突出贡献而获得2012年诺贝尔经济学奖。本文分析了两位学者获奖的理论背景,介绍了稳定匹配和市场设计两个领域的理论演进与实践应用,并进行了若干有针对性的评析。本文认为,这两位学者的贡献直接推动了大量重要的现实市场的成功再设计,该领域在未来将会持续成长并拥有广阔前景,国内研究人员有必要加强跟踪和学习。     

建立和完善企业规章制度 促进企业和谐稳定发展

依法建立和完善劳动规章制度,是保证用人单位各项工作顺利进行的必要措施。文章以广西柳州钢铁（集团）公司钢星公司为例,分析了用规章制度规范企业与员工的劳动行为,维护企业和谐稳定的具体措施。     

Bayesian modeling of joint and conditional distributions

In this paper, we study a Bayesian approach to flexible modeling of conditional distributions. The approach uses a flexible model for the joint distribution of the dependent and independent variables and then extracts the conditional distributions of interest from the estimated joint distribution. We use a finite mixture of multivariate normals (FMMN) to estimate the joint distribution. The conditional distributions can then be assessed analytically or through simulations. The discrete variables are handled through the use of latent variables. The estimation procedure employs an MCMC algorithm. We provide a characterization of the Kullback–Leibler closure of FMMN and show that the joint and conditional predictive densities implied by the FMMN model are consistent estimators for a large class of data generating processes with continuous and discrete observables. The method can be used as a robust regression model with discrete and continuous dependent and independent variables and as a Bayesian alternative to semi- and non-parametric models such as quantile and kernel regression. In experiments, the method compares favorably with classical nonparametric and alternative Bayesian methods.     

Heavy tails versus long-range dependence in self-similar network traffic

Empirical studies of the traffic in computer networks suggest that network traffic exhibits self-similarity and long-range dependence. The ON/OFF model considered in this paper gives a simple 'physical explanation' for these observed phenomena. The superposition of a large number of ON/OFF sources, such as workstations in a computer lab, with strictly alternating and heavy-tailed ON- and OFF-periods, can produce a cumulative workload which converges, in a certain sense, to fractional Brownian motion. Fractional Brownian motion exhibits both self-similarity and long-range dependence. However, there are two sequential limits involved in this limiting procedure, and if they are reversed, the limiting process is stable Levy motion, which is self-similar but exhibits no long-range dependence. We study simulations limit regimes and provide conditions under which either fractional Brownian motion or stable Levy motion appears as limiting process.