广义非中心法

目的：本文提出一种广义非中心法以适应终检．它由经典非中心法衍变而来,用于多样本生存率检验所需样本量的测定．方法：其第１步继承经典方法。按已有的非中心卡方分布表和经典ｒ×２卡方统计量非中心参数表达式得出所需同源有效样本量;第２步由同源有效样本量在Ｗｅｉｂｕｌｌ生存分布下的参数表达式按预定终检率反推出所需样本量,并以逐个迭代实现样本量的分配．结果：与已有的校正终检样本量测定方法相比,该方法的特点是,与多样本生存率检验相匹配;摆脱了指数分布的假设;在无终检时还原为经典方法;其观测功效和预定功效精确吻合．结论：该方法可用于多样本癌症临床研究方案的设计．附有工作实例描述设计过程．     

多元极值分布随机向量的抽样方法

本文考虑如何在计算机上模拟产生服从多元极值分布的随机向量，并给山一个精确且简单的算法．讨论主要限于Logistic模型及嵌套Logiotic模型．     

刻度问题与刻度分布模型

刻度问题与刻度分布模型杨克昌（湖南岳阳大学４１４０００）１问题的提出我们首先提出一个新颖有趣也有一定深度的“刻度问题”．有一长５０厘米的直尺，因使用日久，尺上所有刻度都已磨灭，限在尺上刻划１０条刻度，使得可用该尺度量１至５０之间任意整数厘米长度．问这...     

关于Andrew Granvill问题的推广

设是一个整数，对任一０＜α＜ｎ且（ａ，ｎ）＝１，显然存在唯一的整数０＜α＜ｎ－１使得αα≡１（ｍｏｄｎ）．本文的主要目的是研究差式｜α－α｜在算术级数中的分布性质，并给出一个有趣的渐近公式．     

Q过程的不变分布(Ⅰ)

设Ｅ为一可数集， Ｑ＝（ｑｉｊ；ｉ，ｊ∈ Ｅ）为 Ｅ × Ｅ上的矩阵，满足 ｑｉｊ≥ ０（ｉ≠ｊ），ｑｉｋ＝－ｑｉｉ≤＋∞， ｉ∈Ｅｍ＝（ｍｉ； ｉ∈ｅ）是一严格正的概率分布，满足ｍｉｑｉｊ＝－ｍｊｑｊｊ≤＋∞，ｊ∈Ｅ．问何时存在Ｑ－过程，使得ｍ是它的不变分布？ 这个问题由Ｗｉｌｌｉａｍｓ（１９７９）作为一个开问题提出．本文对全稳定情形，完整地解决了该问题．     

经典风险模型中破产概率的一个渐近式

本文研究经典风险模型中破产概率的渐近行为．利用几何和的方法，获得了索赔额的分布属于S（γ）．γ〉0。时破产概率的一个局部渐近式．同时．给出了一个具体的数值的例子．     

部分服务台休假的M/M/c排队的等待时间

我们证明了Erlang分布的若干有趣性质，使用这些性质，给出部分服务台休假的排队系统中等待时间分布的一个简洁而直观的表达式．     

多元正态的两个均匀性检验

本文提出两个均匀性统计量用于检验多元正态性．该检验建立在多元正态分布的一个特征性质基础上，模拟研究和实例分析显示该均匀性统计量可以帮助解释来自已有正态性检验统计量的结论．     

多元极值分布参数的最大似然估计与分步估计

本文考虑多元极值分布的参数估计，给出了分步估计渐近协差阵的近似表示，并对维数P=2，5及相关参数α=0．001，0．01；0．1（0．2），0．9；0．99，0．999的各种组合，计算了分步估计关于最大似然估计的渐近效率，分析了各种参数及维数对渐近效率的影响．分步估计是一种合理、简单而且有较强实用意义的估计方法．     

位置参数分布族中Fiducial分布与后验分布的关系

本文考虑本质位置参数分布族中,参数的Fiducial分布与后验分布的等同问题．首先讨论了如何给出Fiducial分布,分析结果表明以分布函数形式给出Fiducial分布要比密度函数形式合理,同时,证明了所给的Fiducial分布具有频率性质．然后,研究在参数受到单侧限制时,Fiducial分布与后验分布等同的问题,给出的充要条件是分布族为指数分布族,此时,先验分布是一个广义先验分布,它不能被Lebesgue测度控制．最后,证明了在参数限制在一个有限区间内时,Fiducial分布与任何先验(包括广义先验分布)下的后验分布不等同．     

Livestock mortality catastrophe insurance using fatal shock process

A major problem facing livestock producers is animal mortality risk. Livestock mortality insurance is still at the initial stages, and premium computation approaches are still relatively new and will require more research. We study multi-peril mortality insurance covering the death of livestock in Canada due to a number of natural causes and animal diseases. The coverage includes diseases that must be reported to the CFIA (Canadian Food Inspection Agency). When a Federal reportable disease (FRD) occurs, the CFIA orders the slaughter of animals. A general model to compute premiums, based on actuarial approaches, has been developed for mortality insurance incorporating FRD. This model can be applied to hogs, cattle, and poultry, and is designed to cover all stages of livestock production.Mortality multi-peril insurance premiums are computed for illustration purposes. Hogs are used as an example, specifically in their final 16 weeks (from the 9th week to the 25th week) when they weigh between 23 kg to 113 kg. This is referred to as the third stage (cycle) or the finishing/grower stage. Premium estimates are generated based on the mortality data. In addition, an additional CFIA reportable disease not seen in the data is assumed. However, it is assumed that producers receiving animal mortality compensation from the CFIA would have their mortality insurance indemnity payouts reduced by the amount of the CFIA animal compensation (no double collection of funds by producers). We introduce fatal shock processes to incorporate the CFIA reportable disease. Having these shocks, all hogs raised in the same farm are facing the same fate with FRD since all hogs will be slaughtered when it occurs. Mortality data is obtained from a North American sample from 1999–2007, covering 139 million hog-months over a number of monthly periods. We calculate premium rate based on per 1,000 hogs raised in the same farm with modifications including deductible and coverage level.     

Bayesian graduation of mortality rates: An application to reserve evaluation

This paper presents Bayesian graduation models of mortality rates, using Markov chain Monte Carlo (MCMC) techniques. Graduated annual death probabilities are estimated through the predictive distribution of the number of deaths, which is assumed to follow a Poisson process, considering that all individuals in the same age class die independently and with the same probability. The resulting mortality tables are formulated through dynamic Bayesian models. Calculation of adequate reserve levels is exemplified, via MCMC, making use of the value at risk concept, demonstrating the importance of using “true” observed mortality figures for the population exposed to risk in determining the survival coverage rate.     

A non‐default rate regression model for credit scoring

In this paper, we propose a new non‐default rate survival model. Our approach enables different underlying activation mechanisms which lead to the event of interest. The number of competing causes, which may be responsible for the occurrence of the event of interest, is assumed to follow a geometric distribution, while the time to event is assumed to follow an inverse Weibull distribution. An advantage of our approach is to accommodate all activation mechanisms based on order statistics. We explore the use of maximum likelihood estimation procedure. Simulation studies are performed and experimental results are illustrated based on a real Brazilian bank personal loan portfolio data. Copyright © 2015 John Wiley & Sons, Ltd.     

Geometric/G/1离散时间可修排队系统

研究服务台可修的Geomertric/G/1离散时间排队系统.在这个系统中,服务台寿命服从几何分布,修理时间服从一般分布.我们求出了服务台首次故障前时间的母函数和服务台首次故障前平均时间(MTTFF).     

Prediction of the Maximum Size in Wicksell's Corpuscle Problem, II

This is a continuing paper of the authors (1998, Ann. Inst. Statist. Math., 50, 361–377). In the Wicksell corpuscle problem, the maximum size of random spheres in a volume part is to be predicted from the sectional circular distribution of spheres cut by a plane. The size of the spheres is assumed to follow the three-parameter generalized gamma distribution. Prediction methods based on the moment estimation are proposed and their performances are evaluated by simulation. For a practically probable case, one of these prediction methods is as good as a method previously proposed by the authors where the two shape parameters are assumed to be known.     

Applications of a multi-state risk factor/mortality model in life insurance

Mortality rates are known to depend on socio-economic and behavioral risk factors, and actuarial calculations for life insurance policies usually reflect this. It is typically assumed, however, that these risk factors are observed only at policy issue, and the impact of changes that occur later is not considered. In this paper, we present a discrete-time, multi-state model for risk factor changes and mortality. It allows one to more accurately describe mortality dynamics and quantify variability in mortality. This model is extended to reflect health status and then used to analyze the impact of selective lapsation of life insurance policies and to predict mortality under reentry term insurance.     

Applications of a multi-state risk factor/mortality model in life insurance

Mortality rates are known to depend on socio-economic and behavioral risk factors, and actuarial calculations for life insurance policies usually reflect this. It is typically assumed, however, that these risk factors are observed only at policy issue, and the impact of changes that occur later is not considered. In this paper, we present a discrete-time, multi-state model for risk factor changes and mortality. It allows one to more accurately describe mortality dynamics and quantify variability in mortality. This model is extended to reflect health status and then used to analyze the impact of selective lapsation of life insurance policies and to predict mortality under reentry term insurance.     

双曲分布及其在VaR模型分析中的应用

传统的计算V aR的R iskM etrics方法不能对市场风险分布的“厚尾”现象给出较为满意的刻画和计算方法.本文引入双曲分布及其算法并将双曲分布应用到V aR模型的计算之中,事实上通过对股票市场的实证研究表明,股票市场数据呈厚尾现象,用双曲分布对数据的拟合要比R iskM etrics方法假定的正态分布更符合金融市场数据的实际情况,故本文的结论与方法对金融风险管理和其他金融建模是有价值的.     

Dynamic mortality factor model with conditional heteroskedasticity

In most methods for modeling mortality rates, the idiosyncratic shocks are assumed to be homoskedastic. This study investigates the conditional heteroskedasticity of mortality in terms of statistical time series. We start from testing the conditional heteroskedasticity of the period effect in the naïve Lee-Carter model for some mortality data. Then we introduce the Generalized Dynamic Factor method and the multivariate BEKK GARCH model to describe mortality dynamics and the conditional heteroskedasticity of mortality. After specifying the number of static factors and dynamic factors by several variants of information criterion, we compare our model with other two models, namely, the Lee-Carter model and the state space model. Based on several error-based measures of performance, our results indicate that if the number of static factors and dynamic factors is properly determined, the method proposed dominates other methods. Finally, we use our method combined with Kalman filter to forecast the mortality rates of Iceland and period life expectancies of Denmark, Finland, Italy and Netherlands.     

风险非同质时索赔次数的分布拟合的估计与检验问题

在非寿险精算中 ,索赔次数的分布一般假设为泊松分布 P(λ) .风险非同质时 λ的分布称为混合分布 .本文考虑了混合分布为三参数伽玛分布时的参数估计以及位置参数的检验问题