基于Copula的开放式基金流动性风险研究

从基金管理者的角度出发,引入了一种开放式基金预留现金和债券比例管理模型,它可以使满足及时赎回需求概率很大且预留现金和债券最少.使用二元Archimedean Copula分析了预留现金和债券比例的计算公式,通过数值实例分析了预留比例公式的合理性,为基金管理人制定投资目标时随时控制预留现金的比例,提供一个参考的标准.     

充电系统可靠性分析

本文给出了充电系统一次及k次充电可靠性的计算表达式;并利用R软件模拟系统的实际充电过程,验证给出的计算表达式的准确性,为实际应用提供理论依据。     

A Cape Cod model for the exponential dispersion family

The defining feature of the Cape Cod algorithm in current literature is its assumption of a constant loss ratio over accident periods. This is a highly simplifying assumption relative to the chain ladder model which, in effect, allows loss ratio to vary freely over accident period.Much of the literature on Cape Cod reserving treats it as essentially just an algorithm. It does not posit a parametric model supporting the algorithm. There are one or two exceptions to this. The present paper extends them by introducing a couple of more general stochastic models under which maximum likelihood estimation yields parameters estimates closely resembling those of the classical Cape Cod algorithm.For one of these models, these estimators are shown to be minimum variance unbiased, and so are superior to the conventional estimators, which rely on the chain ladder.A Bayesian Cape Cod model is also introduced, and a MAP estimator calculated.A numerical example is included.     

稳定同位素稀释技术在人体肝脏维生素A储备量检测中的应用

建立了稳定同位素稀释技术结合高效液相色谱-气相色谱/负化学电离源质谱法(HPLC-GC/NCI/MS)测定人体肝脏维生素A(VA)储备量的方法。志愿者在口服氘标记的视黄醇醋酸酯(²H₈-RAC)后,经21天的稳定期,采集血样,分离血清。血清经正己烷提取,高效液相色谱分离纯化后,氮气吹干供进一步衍生化,衍生化产物用GC/NCI/MS检测,获得标记与未标记VA的丰度比,最后利用Furr-Olson公式计算VA肝脏储备量。在优化的条件下,血清样本中VA的回收率大于85%,精密度(RSD, n=6)小于10%,定量限为26.4 μ g/L,基本满足口服1 mg ²H₈-RAC后标记与未标记VA的检测要求。相比国内现行的人体VA评价方法,该方法能更客观地反映人体VA营养水平。该项测定技术与VA干预实验相结合,可获得某一人群维持体内VA稳定储备水平的膳食摄入量水平。同时,稳定同位素示踪技术的运用对促进经口摄入的VA源在体内生物转化效率的研究也起着重要作用。     

增长型经济变量的趋势时间序列预测模型

针对增长型外汇储备时间序列变化复杂性的特点,可以建立确定性趋势的时间序列模型及包含单位根的随机趋势模型.实际计算显示,确定性趋势的时间序列模型具有较高的预测精度.     

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.     

克里格法储量计算浅析

克里格法是地质统计学中最主要和最基本的一种局部估计方法.本文围绕计算储量的3大参量,介绍了品位的计算方法,它利用了脉矿的空间变化及其品位的变化特征来计算样品的加权因素和品位、论文据此.改变传统复杂的求体积、体重的计算储量方法,列出了用克里格法计算矿区储量的流程图.     

FISHERY BENEFITS OF FULLY PROTECTED MARINE RESERVES: WHY HABITAT AND BEHAVIOR ARE IMPORTANT

ABSTRACT. Fully protected marine reserves, areas that are closed to all fishing, have attracted great interest for their potential to benefit fisheries. A wide range of models suggest reserves will be most effective for species that are relatively sedentary as adults but produce offspring that disperse widely. Adult spawning stocks will be secure from capture in reserves, while their offspring disperse freely into fishing grounds. Such species include animals like reef fish, mollusks and echino‐derms, and models typically indicate that when they are over‐fished, catches will be higher with reserves than without. By contrast, the same models suggest that reserves will be ineffective for animals that are mobile as adults species like cod, tuna or sharks. They remain vulnerable to fishing whenever they move outside reserves. Unfortunately, most models lack sufficient realism to effectively gauge reserve effects on migratory species. They usually assume that individuals are homogeneously distributed in a uniform sea and move randomly. They also assume that fishers hunt at random. Neither is true. For centuries, fishers have targeted places and times when their quarry are most vulnerable to capture. Protecting these sites could have disproportionately large effects on stocks. Furthermore, models rarely take into account possible benefits from improvements in habitat within reserves. Such changes, like increased biomass and complexity of bottom‐living organisms, could alter fish movement patterns and reduce natural mortality rates in ways that enhance reserve benefits. We present a simple model of reserve effects on a migratory fish species. The model incorporates spatial variation in vulnerability to capture and shows that strategically placed reserves can offer benefits in the form of increased spawning stock and catch, especially when fishing intensities are high. We need to develop a new generation of models that incorporate habitat and behaviour to better explore the utility of reserves for mobile species. Migratory behavior does not preclude reserves from benefiting a species, but it demands that we apply different principles in designing them. We must identify critical sites to species and develop reserve networks that focus protection on those places.     

Study of cerebrovascular reserve capacity by magnetic resonance perfusion weighted imaging and photoacoustic imaging

The aim of this work was to assess the feasibility of photoacoustic imaging (PAI) and MR imaging for evaluating the cerebrovascular reserve capacity (CVRC) in animal models. Wistar-Kyoto (WKY) rats and spontaneous hypertensive rats (SHR) were used for MRI. BALB/c mice were used for PAI. MR perfusion weighted imaging (PWI) was performed on a 1.5-T whole-body MR system before and after oral administration of acetazolamide (ACZ). The region of interest (ROI) was chosen in the bilateral frontal lobe for measuring regional cerebral blood flow (rCBF), regional cerebral blood volume (rCBV) and mean transit time (MTT). The vessel diameters of the superficial layer of the cortex were measured by PAI in the resting and ACZ-activated mice. The results showed that there was a statistical difference between the resting and ACZ-activated animals in vessel diameter, rCBV and rCBF values. The increments in rCBV and rCBF of WKY rats between resting and ACZ test states were significantly higher than that of SHR. The pathological findings of small arterial walls and lumen of the brain were also different between WKY and SHR rats. The diameters of blood vessels in the superficial layer of the brain measured by PAI were enlarged after the ACZ tolerance test. This result was also observed in the MRI CBV map, where the signal of the vessel in the superficial layer of the cortex became redder after the ACZ stimulation, suggesting the increase of blood flow. It can be concluded that MR PWI and PAI combined with the ACZ test might be useful in evaluating the CVRC and revealing the pathologic changes in cerebral vessels.     

Biometric worst-case scenarios for multi-state life insurance policies

It is common actuarial practice to calculate premiums and reserves under a set of biometric assumptions that represent a worst-case scenario for the insurer. The new solvency regime of the European Union (Solvency II) also uses worst-case scenarios for the calculation of solvency capital requirements for life insurance business. Surprisingly, the actuarial literature so far offers no exact method for the construction of biometric scenarios that let premiums and reserves be always on the safe side with respect to a given confidence band for the biometric second-order basis. The present paper partly fills this gap by introducing a general method that allows one to construct such scenarios for homogenous portfolios of life insurance policies. The results are especially informative for life insurance policies with mixed character (e.g. survival and occurrence character). Two examples are given that illustrate the new method, demonstrate its usefulness for the calculation of premiums and reserves, and show how the new approach could improve the calculation of biometric solvency reserves for Solvency II.