Copula函数的选择：方法与应用

针对目前Copula函数在实际应用中的选择问题,本文通过非参数法得到了它们的分布函数图及其经验分布图并进行了比较,然后利用一种解析法对其进一步的选择,并通过Q-Q图比较了各种模型的拟合程度,最后进行了拟合优度检验,得到了最优的Copula。最后对国内的上证A股指数和上证B股指数进行了实证分析,结果体现了该方法的有效性。  

沪深股市相关结构分析研究

在金融市场风险分析中,对金融资产相关结构的讨论有着重要意义,从而引出对如何选取好的相关结构模型来捕捉金融资产间的相关变化规律的讨论。针对这一问题,我们用混合相关结构函数Copula对上海、深圳股票市场进行了相关分析研究,用极值分布刻画了每支股票的边缘分布,用两步估计法对Copula中的参数进行了估计。分析结果表明:混合Copula相关结构能够捕捉金融市场间相关性变化规律,比单个Copula相关结构更灵活,更能全面地反映市场间非对称变化的相关程度和模式,此方法还可以推广到对多种金融资产收益率进行相关性分析。  

中国股市相依结构测定初探

提出了中国股市测定copula相依结构的一般方法,并结合中国股市的实际数据作了分析.在假定边际分布为正态分布时,得到了描述工业指数与商业指数相依结构的较好copula结构为正态copula族.  

Estimating the spectral measure of an extreme value distribution

Let (X₁, Y₁), (X₂, Y₂),…, (X_n, Y_n) be a random sample from a bivariate distribution function F which is in the domain of attraction of a bivariate extreme value distribution function G. This G is characterized by the extreme value indices and its spectral measure or angular measure. The extreme value indices determine both the marginals and the spectral measure determines the dependence structure. In this paper, we construct an empirical measure, based on the sample, which is a consistent estimator of the spectral measure. We also show for positive extreme value indices the asymptotic normality of the estimator under a suitable 2nd order strengthening of the bivariate domain of attraction condition.  

Qualitative criteria of admissibility for enforced agreements

It is desirable that artificial agents can help each other when they cannot achieve their goals, or when they profit from social exchanges. In this work we study coalition formation processes supported by enforced agreements and we define two qualitative criteria, the do-ut-des property and the composition property, that establish when a coalition is admissible to be formed. The do-ut-des property is based on a balance between the advantages and the burdens of an agent, when it agrees an enforced agreements. The composition property is a refinement of the do-ut-des property that takes into account also the costs and the risks deriving from the coalition formation process. Two relevant aspects distinguish our approach from the solution criteria developed in cooperative game theory. First, the do-ut-des property and the composition property are not based on an explicit utility function associated to the goals of an agent, and hance they can be used also in that cases in which the importance that agents give to their own goals is unknown. Second, a coalition has all the necessary information to establish if it satisfies the do-ut-des property or the composition property, therefore these two properties can be used in the case not all the space of possible coalitions is known. Luigi Sauro graduated in Physics at the University “Federico II” of Naples in 2001. From February 2002 to July 2002 he was collaborator at the SRA division of the IRST Institute (Trento). He got is Ph.D. in Computer Science from University of Torino in February 2006. Currently he is member of the Natural Language Processing and Agents Group, directed by prof. Leonardo Lesmo. His research interests include social reasoning, coalition formation and coordination in multiagent systems.  

基于混合C藤Copula的我国一篮子货币汇率相依结构研究

利用C藤模型及人民币对欧元、澳元、日元、美元、卢布、加元、英镑、林吉特的汇率数据,构建了我国一篮子货币汇率的C藤结构,用来描述各汇率间的相依结构.结果表明,人民币对欧元的汇率是中心汇率,也就是说,一篮子货币汇率的决定很大程度上依赖于人民币对欧元的汇率.人民币对欧元汇率与人民币对其它国家货币汇率的相依程度反映了不同市场的强弱和市场间进出口贸易额的大小.进一步,混合C藤中各根节点的排序一定程度上反映了货币篮子中各国的经济实力及与我国的贸易额大小.  

Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness

Mainly due to new capital adequacy standards for banking and insurance, an increased interest exists in the aggregation properties of risk measures like Value-at-Risk (VaR). We show how VaR can change from sub to superadditivity depending on the properties of the underlying model. Mainly, the switch from a finite to an infinite mean model gives a completely different asymptotic behaviour. Our main result proves a conjecture made in Barbe et al. [Barbe, P., Fougères, A.L., Genest, C., 2006. On the tail behavior of sums of dependent risks. ASTIN Bull. 36(2), 361-374].  

Continuous dependence on the Soret coefficient for double diffusive convection in Darcy flow

In this paper, the Darcy model is used to describe the double diffusive flow of a fluid containing a solute. Continuous dependence of the solution on the Soret coefficient is established.  

人民币汇率市场化,结构相依与结构突变

运用能够识别资本市场结构突变与区制变化的Markov区制转换模型,基于非线性相依结构研究中的藤Copula分析框架,文章以考察人民币汇率市场化进程中的结构相依与突变特征为切入点,重点研究两次汇改以及金融危机时期人民币汇率在四个阶段的结构转换及非对称动态相依特征.文章采用GJR-GARCH模型探讨人民币汇率市场的“杠杆效应”.在此基础上,文章对两次汇改以及美国次贷危机时期人民币汇率市场的结构突变和区制转换的进行识别.研究发现,Markov区制转换模型能够准确地捕捉到人民币汇率第一次汇改的临界点,但在捕捉第二次汇改临界点方面却存在一定的滞后反应.并且,该模型对美联储采取第一轮量化宽松的货币政策的捕获,也表现出较好的能力.进一步地,文章运用藤Copula分析框架探讨了不同人民币汇率市场之间的非线性相依结构.研究表明,整体而言,采用t-Copula的藤结构在捕捉人民币汇市之间的相依结构方面表现出良好的刻画效果.  

A Class of Ruin Probability Mo del with Dep endent Structure

In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numeri-cal characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson pro-cess with parameter λ, using martingale methods to obtain the upper bound of the ultimate ruin probability.