30 October 2013, Volume 29 Issue 5
    

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  • Qin Ruibing, Tian Zheng, Chen Zhanshou
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(5): 449-457.
    Abstract ( ) Download PDF ( ) Knowledge map Save

    A nonparametric procedure is proposed to
    detect multiple changes in the mean of independent random series and
    the asymptotic distribution is derived. Simultaneously, the
    estimators for the locations of the change points are obtained.
    Moreover, the performance of the test is studied by Monte Carlo
    simulation, which demonstrates that the proposed test has high
    powers and good sizes for heavy-tailed innovations. Finally, the
    feasibility of the proposed test is illustrated by the application
    on the LBC data of stock prices.

  • Ding Xianwen, Xu Liang
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(5): 458-468.
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    In this paper, the diagnostic measures for
    censored linear models are studied based on the empirical likelihood
    method. First, the diagnostic measures for linear models are
    studied; Then, the censored linear models are converted to linear
    models, and the diagnostic measures for converted models are
    studied; Last, simulation studies and real data analysis are given
    to illustrate the validity of statistical diagnostic measures.

  • Sun Huihui
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(5): 469-479.
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    In this paper, the Fisher scoring method
    is applied to get M-estimator (robust estimator) in the mixed
    effects linear model for longitudinal data. The score tests for
    correlation coefficients in the model with uniform correlation
    covariance structure based on M-estimator are also studied. Then the
    properties of test statistics are investigated through Monte Carlo
    simulations. At last, the methods and properties are illustrated by
    the grape sugar data example.

  • Xu Lin, Wu Liyuan, Zhu Dongjin
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(5): 480-488.
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    This paper focuses on ruin probability for
    Cox model with variable premium rate and constant investment return
    when the claims have heavy tailed distribution. By considering the
    "skeleton process'' of Cox risk model, a recursive equation for
    finite time ruin probabilities are derived in terms of "renewal
    techniques'' and asymptotic estimation for finite time ruin
    probabilities and ultimate ruin probability are obtained by
    inductive method.

  • Mao Yonghua, Zhang Ming, Zhang Yuhui
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(5): 489-494.
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    We generalize the well-known Dobrushin
    coefficient  in total variation to weighted total variation
    , which gives a criterion for the geometric ergodicity of
    discrete-time Markov chains.

  • Zhao Yongxia
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(5): 495-514.
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    In this paper, we study absolute ruin
    problems for the Sparre Andersen risk process with generalized
    Erlang()-distributed inter-claim times, investment and debit
    interest. We first give a system of integro-differential equations
    with certain boundary conditions satisfied by the expected
    discounted penalty function at absolute ruin. Second, we obtain a
    defective renewal equation under some special cases, then based on
    the defective renewal equation we derive two asymptotic results for
    the expected discounted penalty function when the initial surplus
    tends to infinity for the light-tailed claims and heavy-tailed
    claims, respectively. Finally, we investigate some explicit
    solutions and numerical results for generalized Erlang(2)
    inter-claim times and exponential claims.

  • Zhu Xiaolu, Zhu Zhongyi
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(5): 515-530.
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    In this paper, we compare two modified
    Gaussian pseudolikelihood criteria (GPCs) with existing Gaussian
    pseudolikelihood criterion and empirical likelihood based criteria
    to choose the working correlation matrix in generalized estimating
    equations approach. Rich simulation studies are conducted to
    investigate the performance of these criteria under a range of model
    settings. The results show that the modified criteria outperform the
    original GPC and empirical likelihood based criteria in most cases
    in terms of selection accuracy. Empirical likelihood based criteria
    perform better to identify exchangeable structure in data with
    binary response. In the end, these criteria are applied to epilepsy
    seizure and Madras longitudinal schizophrenia study clinical data
    sets analysis.

  • Fan Kun
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(5): 531-546.
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    This paper considers the valuation of
    guaranteed minimum death benefit in variable annuities under a
    regime-switching model. More specifically, the risk-free interest
    rate, the appreciation rate and the volatility of the reference
    investment fund are modulated by a continuous-time, finite-state,
    observable Markov chain. A regime-switching Esscher transform is
    adopted to select an equivalent martingale measure in the incomplete
    financial market. Inverse Fourier transform is used to derive an
    analytical pricing formula for the embedded option in variable
    annuity with guaranteed minimum death benefit. To calculate the fair
    guarantee charge, fast Fourier transform approach is applied.
    Numerical examples are provided to illustrate the practical
    implementation and the relationship between the fair guarantee
    charges and other parameters.

  • Yao Dingjun, Guo Wenjing, Xu Lin
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST. 2013, 29(5): 547-560.
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    In this paper, we consider the optimal
    joint dividend and capital injection strategy with proportional and
    fixed costs. It supposes that capitals can be injected whenever they
    are profitable, but dividends can only be paid at the arrival times
    of a Poisson process with intensity . Our objective is to
    determine an optimal strategy of maximizing the expected cumulative
    discounted dividends minus the expected discounted costs of capital
    injections before bankruptcy. By solving some impulse problems, we
    get the closed-form solutions depending on the parameters of model.
    Some known results in Lokka and Zervos (2008) can be viewed as
    limiting cases when .