A DISCRETE-TIME ITÔ'S FORMULA

Abstract

The numerical methods on stochastic differential equations (SDEs) have been well established. There are several papers that study the numerical stability of SDEs with respect to sample paths or moments. In this paper, we study the stability in distribution of numerical solution of SDEs.     

Operator geometric stable laws

Operator geometric stable laws are the weak limits of operator normed and centered geometric random sums of independent, identically distributed random vectors. They generalize operator stable laws and geometric stable laws. In this work we characterize operator geometric stable distributions, their divisibility and domains of attraction, and present their application to finance. Operator geometric stable laws are useful for modeling financial portfolios where the cumulative price change vectors are sums of a random number of small random shocks with heavy tails, and each component has a different tail index.     

Minimax multivariate empirical Bayes estimators under multicollinearity

In this paper we consider the problem of estimating the matrix of regression coefficients in a multivariate linear regression model in which the design matrix is near singular. Under the assumption of normality, we propose empirical Bayes ridge regression estimators with three types of shrinkage functions, that is, scalar, componentwise and matricial shrinkage. These proposed estimators are proved to be uniformly better than the least squares estimator, that is, minimax in terms of risk under the Strawderman's loss function. Through simulation and empirical studies, they are also shown to be useful in the multicollinearity cases.     

奖惩系统的数学建模与稳态分析

奖惩系统(Bonus- Malus Systems)是世界各国机动车辆险中广泛采用的一种经验费率厘定机制.本文在最一般的框架下,以有限齐次马尔科夫链对奖惩系统建模,证明了任一奖惩系统皆存在唯一的平稳分布,此外,给出了求解这一平稳分布的一般算法,并揭示了此平稳分布的结构.特别地,针对两种具有特定转移法则的奖惩系统,还给出了它们平稳分布的简明显式表示.     

A CLASS OF RANDOM NUMBER GENERATORS BASED ON WEYL SEQUENCE

The generation of good pseudo-random numbers is the base of many important fields in scientific computing, such as randomized algorithms and numerical solution of stochastic differential equations. In this paper, a class of random number generators （RNGs） based on Weyl sequence is proposed. The uniformity of those RNGs is proved theoretically. Statistical and numerical computations show the efficiency of the methods.     

On the even power mean of a sum analogous to Dedekind sums

Summary Our purpose is to extend results due to P. Chandra and L. Leindler concerning the order of approximation by means of Fourier series for functions belonging to generalized Lipschitz-classes.     

关于Erlang分布的一个注记

利用递推的方法得到了尺度参数不同的两个相互独立的Erlang分布的卷积的表达形式.作为应用得到了Beta分布的Laplace变换的表达式.     

On meromorphic solutions of nonlinear partial differential equations of first order

We prove a uniqueness theorem in terms of value distribution for meromorphic solutions of a class of nonlinear partial differential equations of first order, which shows that such solutions f are uniquely determined by the zeros and poles of f−cj (counting multiplicities) for two distinct complex numbers c₁ and c₂.     

加速方程有偏场合下加速寿命试验的稳健设计

考虑在加速寿命试验中,当假定的加速模型不是转化应力的线性模型时,模型参数的极大似然估计的近似分布。研究在一定的条件下,获得正常应力下寿命分布的p分位寿命估计的最优稳健设计方法。并通过数值例子说明方法的有效性。     

Quantile regression for modelling distributions of profit and loss

Quantile regression is applied in two retail credit risk assessment exercises exemplifying the power of the technique to account for the diverse distributions that arise in the financial service industry. The first application is to predict loss given default for secured loans, in particular retail mortgages. This is an asymmetric process since where the security (such as a property) value exceeds the loan balance the banks cannot retain the profit, whereas when the security does not cover the value of the defaulting loan then the bank realises a loss. In the light of this asymmetry it becomes apparent that estimating the low tail of the house value is much more relevant for estimating likely losses than estimates of the average value where in most cases no loss is realised. In our application quantile regression is used to estimate the distribution of property values realised on repossession that is then used to calculate loss given default estimates. An illustration is given for a mortgage portfolio from a European mortgage lender. A second application is to revenue modelling. While credit issuing organisations have access to large databases, they also build models to assess the likely effects of new strategies for which, by definition, there is no existing data. Certain strategies are aimed at increasing the revenue stream or decreasing the risk in specific market segments. Using a simple artificial revenue model, quantile regression is applied to elucidate the details of subsets of accounts, such as the least profitable, as predicted from their covariates. The application uses standard linear and kernel smoothed quantile regression.