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Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities

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Science china Mathematics 2008年第7期51卷 1257-1265页

作者： jiang tao school of finance,zhejiang gongshang university,hangzhou 310018,china school of finance Zhejiang Gongshang University Hangzhou China

We establish an asymptotic relation for the large-deviation probabilities of the maxima of sums of subexponential random variables centered by multiples of order statistics of *** uniform random *** extends a corresponding result of *** an application,we generalize a result of Tang,the uniform asymptotic estimate for the finite-time ruin probability,to the whole strongly subexponential class.

关键词： large-deviation probability strongly subexponential distribution finite-time ruin probability the compound Poisson model uniform asymptotics 91B30 60G70 62P05

Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails

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Science china Mathematics 2005年第3期48卷 300-306页

作者： jiang tao & CHEN Yiqing school of finance. Nanjing university of finance and Economics, Nanjing 210003, china school of Economics and Management, Guangdong university of Technology, Guangzhou 510090, china school of finance Nanjing University of Finance and Economics Nanjing China school of Economics and Management Guangdong University of Technology Guangzhou China

Recently, Tang established a local asymptotic relation for the ruin probability in the Cramer-Lundberg risk model. In this short note we extend the corresponding result to the equilibrium renewal risk model.

关键词： geometric sums, heavy-tailed distribution, ladder height, the equilibrium renewal model, the ruin probability.

Psychological Heterogeneity in a Queue:The Impact of Loss Aversion on Service Pricing

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Journal of Systems Science & Complexity 2023年第6期36卷 2536-2558页

作者： jiang tao GAO Li CHAI Xudong BU Qihui College of Economics and Management Shandong University of Science and TechnologyQingdao266590China school of Mathematics-Physics and finance Anhui Polytechnic UniversityWuhu241000China College of Science Nanjing University of Posts and TelecommunicationsNanjing210023China

The authors consider an M/M/1 queue with two types of customers,where customers are classified into two categories according to their psychological feelings when facing uncertainty about queue *** the unobservable queue,experienced customers could accurately calculate their expected utilities,while first-time customers are loss-averse and the psychological feelings could incur additional gain-loss *** defining customers'willingness to pay,the authors derive the equilibrium joining-balking behaviors for each type of customer and obtain the service provider's optimal pricing *** authors also classify the implications of the obtained results.

关键词： Loss aversion psychological heterogeneity queueing behavior service pricing

Model Averaging Multistep Prediction in an Infinite Order Autoregressive Process

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Journal of Systems Science & Complexity 2022年第5期35卷 1875-1901页

作者： YUAN Huifang LIN Peng jiang tao XU Jinfeng school of Statistics and Mathematics Zhejiang Gongshang UniversityHangzhou 310018China school of Mathematics and Statistics Zaozhuang UniversityZaozhuang 277000China school of Mathematics and Statistics Shandong University of TechnologyZibo 255000China hangzhou College of Commerce Zhejiang Gongshang UniversityTonglu 311599China Department of Statistics and Actuarial Science The University of Hong KongHongKong 999077China

The key issue in the frequentist model averaging is the choice of *** this paper,the authors advocate an asymptotic framework of mean-squared prediction error(MSPE)and develop a model averaging criterion for multistep prediction in an infinite order autoregressive(AR(∞))*** the assumption that the order of the candidate model is bounded,this criterion is proved to be asymptotically optimal,in the sense of achieving the lowest out of sample MSPE for the samerealization *** and real data analysis further demonstrate the effectiveness and the efficiency of the theoretical results.

关键词： Asymptotic optimality autoregressive process multistep prediction the same-realization prediction

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Weak optimal inverse problems of interval linear programming based on KKT conditions

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Applied Mathematics(A Journal of Chinese Universities) 2021年第3期36卷 462-474页

作者： LIU Xiao jiang tao LI Hao-hao school of Statistics and Mathematics Zhejiang Gongshang UniversityHangzhou 310018China hangzhou College of Commerce Zhejiang Gongshang UniversityHangzhou 310018China school of Data Sciences Zhejiang University of Finance and EconomicsHangzhou 310018China.

In this paper,weak optimal inverse problems of interval linear programming(IvLP)are studied based on KKT ***,the problem is precisely ***,by adjusting the minimum change of the current cost coefficient,a given weak solution can become ***,an equivalent characterization of weak optimal inverse IvLP problems is ***,the problem is simplified without adjusting the cost coefficient of null variable.

关键词： interval linear programming inverse problems KKT conditions weak optimal solution

The Finite-time Ruin Probability for the Jump-Diffusion Model with Constant Interest Force

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Acta Mathematicae Applicatae Sinica 2006年第1期22卷 171-176页

作者： tao jiang Hai-feng Yan school of finance Nanjing University of Finance and Economics Nanjing 210003 China

In this paper, we consider the finite time ruin probability for the jump-diffusion Poisson process. Under the assurnptions that the claimsizes are subexponentially distributed and that the interest force is constant, we obtain an asymptotic formula for the finite-time ruin probability. The results we obtain extends the corresponding results of Kliippelberg and Stadtmüller and Tang.

关键词： Finite time ruin probability jump-diffusion Poisson process constant interest force subexpential class

A new two-part test based on density ratio model for zero-inflated continuous distributions

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Applied Mathematics(A Journal of Chinese Universities) 2020年第2期35卷 203-219页

作者： LU Ya-hui LIU Ai-yi jiang Meng-jie jiang tao school of Statistics and Mathematics Zhejiang Gongshang UniversityHangzhou 310018China Biostatistics and Bioinformatics Branch Eunice Kennedy Shriver National Institute of China Health and Human DevelopmentBethesdaMD 20817USA hangzhou Commercial College Zhejiang Gongshang UniversityHangzhou 311508China

In this paper,we consider testing the hypothesis concerning the means of two independent semicontinuous distributions whose observations are zero-inflated,characterized by a sizable number of zeros and positive observations from a continuous *** continuous parts of the two semicontinuous distributions are assumed to follow a density ratio model.A new two-part test is developed for this kind of *** proposed test takes the sum of one test for equality of proportions of zero values and one conditional test for the continuous *** test is proved to follow a2 distribution with two degrees of *** studies show that the proposed test controls the type I error rates at the desired level,and is competitive to,and most of the time more powerful than two popular tests.A real data example from a dietary intervention study is used to illustrate the usefulness of the proposed test.

关键词： two-part test zero-in ated continuous distributions density ratio model

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监管中的腐败防范

上海交通大学学报 1999年第10期33卷 1257-1260页

作者：蒋洪浪武邦涛张路上海财经大学上海200433 上海交通大学管理学院上海200030

腐败是社会经济活动的一个重要问题，文中对监管过程中的腐败问题进行了经济分析．政府的目的是实现社会总收益的最大，而企业的目的是实现本企业的利润最大，由于目标的不一致，企业为追求利润会选择违法经营或高风险经营，从而损害了... 详细信息

腐败是社会经济活动的一个重要问题，文中对监管过程中的腐败问题进行了经济分析．政府的目的是实现社会总收益的最大，而企业的目的是实现本企业的利润最大，由于目标的不一致，企业为追求利润会选择违法经营或高风险经营，从而损害了社会的利益，这就要求政府对企业的行为进行监督．但监督者与被监督者之间存在行贿受贿的可能，政府为了防止监督中的腐败行为要制订一系列的政策和措施，文中从信息不对称的角度分析了腐败产生的条件，并从博弈论的角度得出了防范腐败的最优策略．

关键词：腐败博弈论监管过程企业防范

An investigation on microwave transmissivity at frequencies of 18.7 and 36.5 GHz for diverse forest types during snow season

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International Journal of Digital Earth 2021年第10期14卷 1354-1379页

作者： Wang Guangrui Li Xiaofeng Chen Xiuxue jiang tao Zheng Xingming Wei Yanlin Wan Xiangkun Wang Jian Northeast Institute of Geography and Agroecology Chinese Academy of SciencesChangchunPeople’s Republic of China College of Resources and Environment University of Chinese Academy of SciencesBeijingPeople’s Republic of China Changchun Jingyuetan Remote Sensing Experiment Station Chinese Academy of SciencesChangchunPeople’s Republic of China school of Statistics Dongbei University of Finance and EconomicsDalianPeople’s Republic of China

Forests have invariably been considered as an obstacle in retrieving land surface parameters from spaceborne passive microwave brightness temperature(T_(B))*** quantifying the effect of forests on microwave signals,several models have been ***,these models rarely reveal the dependence of microwave radiation on forest types,which can hardly meet the needs of high-accuracy retrieval of terrestrial parameters in forested regions.A ground-based microwave radiometric observation experiment was designed to investigate the dependence of microwave radiation on frequency,polarization,and forest *** TB at 18.7-and 36.5-GHz for horizontal-and vertical-polarization from the forest canopy was measured at 14 sample plots in Northeast china,along with snowpack and forest structural *** providing fits to experimental data,new empirical transmissivity models for three forest types were developed,as a function of woody stem volume and depending on the frequency/*** proposed models give diverse asymptotic transmissivity saturation levels and the corresponding saturation point of woody stem volume for different forest ***-mean-square error results between T_(B) simulations and Advanced Microwave Scanning Radiometer-2 observations are approximately 3-6 *** study provides an experimental and theoretical reference for further development of inversion models for snow parameters in forested areas.

关键词： Forest transmissivity snow woody stem volume microwave radiometry HUT