股灾背景下中美股市风险溢出的结构转换研究

选取中美股票市场的上证综指、恒生指数和标普500指数作为研究对象进行风险溢出效应研究,结果表明,总体而言上海市场与香港市场之间双向风险溢出效应最为显著,香港市场和美国市场次之,而上海市场与美国市场之间的双向风险溢出效应最不显著;从风险溢出方向与强度方面分析,无论牛熊市,香港市场对上海市场在极端风险时刻的风险溢出要显著强于上海市场对香港市场的溢出,而香港市场与美国市场之间在牛市行情下双向风险溢出效应相对均衡,在熊市行情下香港对美国的风险溢出相对更大,与常理不一致的结果是上海市场在牛市期间对香港市场的风险溢出效应要大于熊市,围绕这一点进一步采用Chi-plot相关图进行分析表明中国市场还未达到“中国打喷嚏,世界经济感冒”的状态;从风险溢出效应的动态趋势分析看出两个牛市阶段各市场的风险溢出呈现不同特征。美国市场对中国市场的风险溢出效应总体平稳,而中国市场对美国市场的风险溢出效应存在一定差异,在低分位数水平相差较大,随分位数水平提高两个牛市阶段的风险溢出趋于一致。但上海市场对香港市场的风险溢出随时间变化在牛市阶段逐步增强,而香港市场对上海市场的风险溢出则逐渐下降。     

一类相依的双险种风险模型的破产问题

本文讨论了一类相关保险业务的风险过程,将相依索赔的风险过程转化为古典风险模型,得出最终破产概率的一般表达式.     

常利率更新风险模型的保费强度

研究常利率下风险模型的保费强度与利率的关系,发现常利率的Poisson古典风险模型的保费强度与利率无关;而常利率更新风险模型的保费强度与利率有关,并求出了它们之间的表达式.     

考虑交易费用的组合套期保值策略模型

为降低套期保值风险,加强套期保值效果,提出了组合套期保值方法,并建立组合套期保值策略模型.考虑现实交易情形,建立带有交易费用的组合套期保值策略模型,并对其进行研究及求解.     

Estimation of the Annual Effective Dose Due to the Ingestion of 210Pb and 210Po in Crops from a Site of Coal Mining and Processing in Southwest China

The exploitation of mineral resources may cause the environmental release of radionuclides and their introduction in the human trophic chain, affecting public health in the short and long term. A case study of the environmental radiation impact from coal mining and germanium processing was carried out in southwest China. The coal mines contain germanium and uranium and have been exploited for more than 40 years. The farmlands around the site of the coal mining and germanium processing have been contaminated by the solid waste and mine water to some extent since then. Samples of crops were collected from contaminated farmlands in the research area. The research area covers a radius of 5 km, in which there are two coal mines. ²¹⁰Pb and ²¹⁰Po were analyzed as the key radionuclides during the monitoring program. The average activity concentrations of ²¹⁰Pb and ²¹⁰Po in the crops were 1.38 and 1.32 Bq/kg in cereals, 4.07 and 2.19 Bq/kg in leafy vegetables and 1.63 and 1.32 Bq/kg in root vegetables. The annual effective doses due to the ingestion of ²¹⁰Pb and ²¹⁰Po in consumed crops were estimated for adult residents living in the research area. The average annual effective dose was 0.336 mSv/a, the minimum was 0.171 mSv/a and the maximum was 0.948 mSv/a. The results show that the crops grown on contaminated farmland contained an enhanced level of radioactivity concentration. The ingestion doses of local residents in the research area were significantly higher than the average level of 0.112 mSv/a in China, and the world average level of 0.042 mSv/a through ²¹⁰Pb and ²¹⁰Po in crop intake, respectively.     

Relationship between Apolipoprotein E Genotype and Lipoprotein Profile in Patients with Coronary Heart Disease

(1) Background: Apolipoprotein E(ApoE) plays a critical role in lipid transport. The specific allele of APOE being expressed is associated with the development of coronary heart disease (CHD), however the specific mechanisms by which ApoE drives disease are unclear. In this study, we investigated the relationship between APOE allele, lipoprotein metabolome, and CHD severity to provide evidence for the efficacy of clinical cholesterol-lowering therapy; (2) Methods: Blood samples were collected from 360 patients with CHD that were actively being treated with statins. The lipoprotein profile, including particle numbers, particle size, and lipoprotein composition concentrates, was measured by nuclear magnetic resonance (NMR) spectroscopy. The severity of CHD was determined by quantifying coronary angiography results using the Gensini scoring system; (3) Results: We found there was no significant difference in low-density lipoprotein cholesterol (LDL-C) levels among ε2+ (ε2 allele carriers, consisting of ε2/ε2 and ε2/ε3 genotypes), ε3 (consisting of ε3/ε3 and ε2/ε4 genotypes), and ε4+ (ε4 allele carriers, consisting of ε3/ε4 and ε4/ε4 genotypes) participants receiving statin treatment. Compared with the ε3 group, patients with the ε2+ genotype showed lower concentrations of total low-density lipoprotein (LDL), small-LDL, and middle-LDL particles, as well as a larger LDL size, higher very low-density lipoprotein (VLDL) composition concentrates, and higher intermediate density lipoprotein (IDL) composition concentrates. The ε4+ group showed higher concentrations of total LDL, small LDL particles, and LDL compositions with smaller LDL size. The higher level of small LDL concentration was associated with a high Gensini score (B = 0.058, p = 0.024). Compared with the ε3 group, the risk of increased branch lesions in the ε2+ group was lower (OR = 0.416, p = 0.027); (4) Conclusions: The specific allele of APOE being expressed can affect the severity of CHD by altering components of the lipoprotein profile, such as the concentration of small LDL and LDL size.     

QSAR/QSPR在POPs归趋与风险评价中的应用

持久性有机污染物(POPs)是目前备受国际社会关注的高危害性有机污染物,对它们的环境归趋分析和风险评价需要获得大量可靠的性质数据和毒性数据,而定量结构活性/性质相关(QSAR/QSPR)方法为快速有效地获得这些数据提供了可能性。QSAR/QSPR模型已在预测POPs的生物活性/性质,补充缺失的基础数据及探求POPs的环境过程机制和生态效应机理等方面得到了广泛应用,近年来也在新POPs物质的筛选、归趋模拟以及风险评价等方面有着更进一步的应用或潜在应用前景。本文介绍了QSAR/QSPR在POPs性质和生物活性预测中的基本应用及其在POPs归趋和风险评价中的扩展应用,并对QSAR/QSPR在POPs研究领域的应用前景进行了展望。     

The new interpretation of support vector machines on statistical learning theory

This paper is concerned with the theoretical foundation of support vector machines (SVMs). The purpose is to develop further an exact relationship between SVMs and the statistical learning theory (SLT). As a representative, the standard C-support vector classification (C-SVC) is considered here. More precisely, we show that the decision function obtained by C-SVC is just one of the decision functions obtained by solving the optimization problem derived directly from the structural risk minimization principl...     

更新风险模型中破产概率的一个局部结果

进一步研究延迟更新风险模型,在假定个体索赔额是重尾分布的前提下得到了破产概率的一个局部等价式R(x,x z]～z/ρμ^-F(x),其中F表示索赔额的分布函数,μ为其均值,ρ表示模型的安全负荷系数,极限过程是x→∞．并且对Sparre Anderson模型作了推广,得到了相应的结果．     

转点识别在VaR估计中的应用

本文深入分析了VaR估计结果对市场比率运动规律假设的依赖性 .文献 [1 ],[2 ][4 ]都没有考虑市场因素出现结构性的转变对VaR估计的影响 .事实上 ,市场因素受到其它各种因素的影响 ,很可能发生结构性的转变 .故本文在引入转点识别的基础上对VaR估计方法作出改进 ,从而把市场因素结构性转变引入到VaR估计之中 ,且随机模拟实验结果表明引入转点后的预报有更高的可信度 .