应用概率统计

 Office Online
 Journal Online

Current Issue

 2012 Vol.28 Issue.3,Published 2012-07-05 article
 article
 225 Optimal Designs for Bivariate Random Coefficient Regression Models Cheng Jing, Yue Rongxian This paper considers optimal designs based on A-, Ds-, I- and D-optimality criteria for bivariate random coefficient regression models. It is shown that the search of optimal designs could be confined at extreme settings of the design region and optimal approximate designs are obtained in the paper. 2012 Vol. 28 (3): 225-234 [Abstract] ( 963 ) [HTML 1KB] [ PDF 225KB] ( 1358 )
 235 A Easy and Feasible Way to Construct the Joint-Life Status Life Table: Method and Theory Ding Fangqing, Qian Linyi, Yang Yasong The future lifetimes of involved insured persons in the multiple-life model are always assumed to be independent in almost all actuarial textbooks. In this paper we consider the two-life model and assume that the future lifetimes are positively dependent. We use PQD (positively quadrant dependent) to describe such dependence, and give a easy method to construct the joint-life status life table. 2012 Vol. 28 (3): 235-243 [Abstract] ( 852 ) [HTML 1KB] [ PDF 185KB] ( 1327 )
 244 Inf-Convolution Problem under the Generalized G-Expectations Liu Zhi, Bai Xuepeng In this paper we will discuss the inf-convolution problems in the framework of multi-dimensional G-distributed expectation, and we present the relationship between inf-convolution of multi-dimensional G-distributed expectations and the inf-convolution of drivers G. Moreover, we also study the continuity and dynamical properties of this problem. 2012 Vol. 28 (3): 244-262 [Abstract] ( 864 ) [HTML 1KB] [ PDF 254KB] ( 1272 )
 263 The Fair Pricing of the Credit Default Swaps in a Intensity-Based Model Driven by Subordinator Processes Hu Fengqing, Wang Guojing For a reduced form model of credit risk, we use Cox process whose intensity process is a subordinator process to define the default time of the company. We derive closed forms of the distribution of the company's default time. We also derive the fair price of the defaultable zero coupon bond and the credit spread of the credit default swaps. 2012 Vol. 28 (3): 263-269 [Abstract] ( 861 ) [HTML 1KB] [ PDF 212KB] ( 1261 )
 270 Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest He Xiaoxia, Yao Chun, Hu Yijun In this paper, we consider a discrete time risk process with random interest force. With the assumption that the interest rate process behaves as a Markov chain, we obtain the recursive equations and integral equations for finite and ultimate ruin probabilities, and Lundberg inequalities for the ultimate ruin probabilities are also provided. 2012 Vol. 28 (3): 270-276 [Abstract] ( 1005 ) [HTML 1KB] [ PDF 175KB] ( 1567 )
 277 A Remark on the Tail Probability Sums of i.i.d. Gaussian Random Variable He Jianjun,Xie Tingfan Let$\fn_jvn \100dpi \inline \{X,X_{n},n\geq1\}$be a sequence of i.i.d. Gaussian random variables with zero mean and finite variance, and set $\fn_jvn \100dpi \inline S_{n}=\tsm_{k=1}^{n}X_{k}$, $\fn_jvn \100dpi \inline \lambda(\epsilon)=\tsm_{n=1}^{\infty}\pr(|S_{n}|\geq n\epsilon)$. In this paper, we prove that there exists positive constants $\fn_jvn \100dpi \inline C_{1}$ and $\fn_jvn \100dpi \inline C_{2}$, for small enough $\epsilon>0$, it follows that $\fn_jvn \100dpi \inline \epsilon>0$, it follows that $\fn_jvn \100dpi \inline C_{1}\epsilon^{3}\leq$$\fn_jvn \100dpi \inline \epsilon^{2}\lambda(\epsilon)-\sigma^{2}+{\epsilon^{2}}/{2}\leq C_{2}\epsilon^{3}$. 2012 Vol. 28 (3): 277-284 [Abstract] ( 798 ) [HTML 1KB] [ PDF 174KB] ( 1283 )
 285 Partial Linear Models for Longitudinal Data Based on Penalized General Method of Moments Ni Yanfeng, Zhu Zhongyi For the analysis of partial linear model with longitudinal data, the general procedure is to fit the nonparametric part with kernel or spline estimation, followed by generalized linear model estimating frame. In this paper, we fit the nonparametric part with P-spline, and estimate the parametrical and nonparametric part with different Generalized method of moments estimation for different moment conditions, implemented by the proof of the asymptotical properties for the estimator, which is also been proved by simulation and illustrative example, from which we can also find out that different penalized general method of moments estimations for different moment conditions perform more efficiently. 2012 Vol. 28 (3): 285-300 [Abstract] ( 1179 ) [HTML 1KB] [ PDF 6669KB] ( 1979 )
 301 Dynamic Portfolio Selection with Stochastic Interest Rates for Quadratic Utility Maximizing Chang Hao,Chang Kai This paper is concerned with a portfolio selection problem with stochastic interest rates and assumes that interest rate is driven by the Ho-Lee model and the Vasicek model respectively. We apply dynamic programming principle to derive the HJB equation and use Legendre transform to obtain the dual one. Quadratic utility function is taken for our analysis. The closed-form solutions to the optimal investment strategy are derived by applying variable change technique. 2012 Vol. 28 (3): 301-310 [Abstract] ( 912 ) [HTML 1KB] [ PDF 184KB] ( 2051 )
 311 Penalized Likelihood Estimation of a Class of Zero-Inflated Semiparametric Mixed-Effect Model Shi Hongxing In this paper, we consider an extension of semiparametric linear mixed-effect model to a class of longitudinal data or clustered data with zero-inflation and propose a novel semiparametric mixed model. Based on the maximum penalized likelihood estimation and EM algorithm, we give a method for our proposed model which may estimate both of the parameters and nonparameters simultaneously. In the method, we use GCV to choose the smoothing parameter.Finally, we study a simulation analysis and one real data set to illustrate the proposed method. 2012 Vol. 28 (3): 311-318 [Abstract] ( 1031 ) [HTML 1KB] [ PDF 218KB] ( 1720 )
 319 Partially Linear Models with Generalized Measurement Errors and Diverging Number of Parameters Zhang Jun We consider partially linear models in which the linear covariate contains measurement errors, but instead an observed surrogate that is linearly related to the unobserved covariate. Moreover, the dimension of unobserved covariate diverges with the sample size. We propose an estimation procedure and establish the consistency and asymptotic normality property of estimate. The rate of the divergent dimension is also investigated. A simulation study and a real data are carried out to illustrate the usefulness of the proposed method. 2012 Vol. 28 (3): 319-330 [Abstract] ( 1047 ) [HTML 1KB] [ PDF 220KB] ( 1499 )
 331 2012 Vol. 28 (3): 331- [Abstract] ( 884 ) [HTML 1KB] [ PDF 153KB] ( 1930 )

 News

 ·
 ·
 ·
 · New and modified homepage for APS comes