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参数稳定性检验揭示了投资者关注度与市场收益间的相互影响存在结构性变化，因此，传统的基于静态影响假设的研究可能存在偏差。而对两者间的动态关系进行分析后发现，投资者关注度对市场收益存在显著负向影响，但该负向效应的显著性和强度正逐步减弱。借助Hurst指数发现，正是市场有效性的增加削弱了投资者关注度对市场收益的解释能力。另一方面，市场收益对投资者关注度存在显著正向效应，但随着市场波动程度的下降，该正向效...
One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance Reserve risk Claims Development Result Bootstrap method Tail factor Prediction error Solvency II
2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance, Reserve risk, Claims Development Result, Bootstrap method, Tail factor, Prediction
2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Claims reserving distribution-free chain ladder mean square error of prediction
2010/10/19
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities o...
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Claims reserving distribution-free chain ladder mean square error of prediction Bayesian chain ladder approximate Bayesian computation Markov chain Monte Carlo annealing bootstrap
2010/4/28
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities of...
(摘要)带滞后因变量的小样本最小二乘法参数估计会产生低估偏误，中值无偏估计是修正偏误的一个很好的方法。基于AR(1)的中值无偏估计存在确定解，本文将应用Boostrap仿真实验对计算其数值解作出尝试。本文根据1994年1月至2004年5月期间人民币实际汇率月度数据，用中值无偏估计的方法计算了A民币实际汇率单位扰动半生命期(HLS)，根据仿真计算的结果为11．5个月。关键词 中值无偏估计 Boo...