Trends in stock-bond correlations

Previous studies document the existence of long-run trends in comovements in the stock and bond markets. Following these findings, this article examines possible trends in stock-bond return correlations. To this end, we introduce a trend component into a smooth transition regression (STR) model including the multiple transition variables of Aslanidis and Christiansen (2012). The results indicate the existence of significant decreasing trends in stock-bond correlations for many advanced safer countries. In addition, although stock market volatility continues to be an important factor in stock-bond correlations, the short rate and yield spread become only marginally significant once we introduce the trend component. Our out-of-sample analysis also demonstrates that the STR model, including the volatility index and time trend as the transition variables, dominates other models. Furthermore, we find a significant increase in stock-bond correlations for riskier euro countries around the beginning of the euro crisis. Our findings of decreasing and increasing trends in stock-bond correlations can be considered a consequence of the decreasing effects of diversification and more intensive flight-to-quality behaviour that have taken place in recent years and after the euro crisis.     

An Empirical Investigation of the Effects of Rounding on the SPF Probabilities of Decline and Output Growth Histograms

I consider the possibility that respondents to the Survey of Professional Forecasters round their probability forecasts of the event that real output will decline in the future, as well as their reported output growth probability distributions. I make various plausible assumptions about respondents’ rounding practices, and show how these impinge upon the apparent mismatch between probability forecasts of a decline in output and the probabilities of this event implied by the annual output growth histograms. I find that rounding accounts for about a quarter of the inconsistent pairs of forecasts.     

Reserves and cash flows under stochastic retirement

Uncertain time of retirement and uncertain structure of retirement benefits are risk factors for life insurance companies. Nevertheless, classical life insurance models assume these are deterministic. In this paper, we include the risk from stochastic time of retirement and stochastic benefit structure in a classical finite-state Markov model for a life insurance contract. We include discontinuities in the distribution of the retirement time. First, we derive formulas for appropriate scaling of the benefits according to the time of retirement and discuss the link between the scaling and the guarantees provided. Stochastic retirement creates a need to rethink the construction of disability products for high ages and ways to handle this are discussed. We show how to calculate market reserves and how to use modified transition probabilities to calculate expected cash flows without significantly more complexity than in the traditional model. At last, we demonstrate the impact of stochastic retirement on market reserves and expected cash flow in numerical examples.     

基于DPSIR-TOPSIS的城市绿色转型评价及实证——以太原市为例

基于DPSIR模型,构建了包括驱动力、压力、状态、影响和响应5个方面的城市绿色转型评价指标体系,并将熵权法与TOPSIS法相结合确定指标权重。基于该评价指标系统,对2006—2014年太原市的绿色转型状况进行了评价与分析。结果表明:虽然太原市的绿色转型水平逐渐提高,但是整体效果处于一般水平,转型状况不太理想。     

随机数在随机事件与概率教学中的应用探索

本文对在随机事件与概率中的常见问题提出了一种新的借助于计算机实现的解决思路,即通过机器自动产生随机数后构建相应的数学模型,再通过编程计算得到最后结果。该方法既为概率论的教学带来了创新性思维,也为当前的教师提出了新的挑战。     

Regulations for the Eighth International Congress of Actuaries

Abstract

The present paper proposes and investigates a procedure for numerical evaluation of the transition probabilities for a time-inhomogeneous Markov process when the intensities are known (estimated). The procedure is based on Taylor-expansion of the transition probabilities linked with the Chapman-Kolmogorov equations.     

社区变迁对区域经济的影响分析

社区变迁影响着区域经济的发展,社区在发展过程中所形成的固有优势影响着社区的进一步发展,社区的规模和制度创新引导着资源向城市、社区的流动,资源流动和资源优势使区域经济发展出现新的格局,区域经济的发展依赖于城市群经济和海洋经济的发展。     

从某一微车气囊设计探讨安全气囊标定技术

文章以某一微车安全气囊设计为基础,详细阐述汽车设计中气囊标定整车碰撞试验矩阵确定的依据、气囊标定对车辆状态的要求及气囊标定核心——点火控制的原理,从而得出准确的标定报告,以指导设计生产。     

CORRUPTION AND FOREIGN DIRECT INVESTMENT: A PANEL GRAVITY MODEL APPROACH

This paper investigates the relationship between corruption and foreign direct investment (FDI) in the case of 15 transition countries by using a panel gravity model approach and suggests that corruption does not deter FDI.