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Stochastic loss reserving using individual information model with over-dispersed Poisson

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Statistical Theory and Related Fields 2022年第2期6卷 114-128页

作者： Zhigao Wang xianyi wu Chunjuan Qiu School of Statistics East China Normal UniversityShanghaiPeople’s Republic of China

For stochastic loss reserving,we propose an individual information model(IIM)which accom-modates not only individual/micro data consisting of incurring times,reporting developments,settlement developments as well as payments of individual claims but also heterogeneity among *** give over-dispersed Poisson assumption about the moments of reporting developments and payments of every individual *** estimation is conducted under quasi-likelihood *** expressions are derived for the expectation and variance of outstanding liabilities,given historical *** utilise conditional mean square error of prediction(MSEP)to measure the accuracy of loss reserving and also theoretically prove that when risk portfolio size is large enough,IIM shows a higher prediction accuracy than individ-ual/micro data model(IDM)in predicting the outstanding liabilities,if the heterogeneity indeed influences claims developments and otherwise IIM is asymptotically equivalent to *** simulations are conducted to investigate the conditional MSEPs for IIM and IDM.A real data analysis is performed basing on real observations in health insurance.

关键词： Risk management loss reserving individual information model over-dispersed Poisson quasi-likelihood MSEP

Topic model for graph mining based on hierarchical Dirichlet process

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Statistical Theory and Related Fields 2020年第1期4卷 66-77页

作者： Haibin Zhang Shang Huating xianyi wu East China Normal University ShanghaiPeople’s Republic of China

In this paper,a nonparametric Bayesian graph topic model(GTM)based on hierarchical Dirichlet process(HDP)is *** HDP makes the number of topics selected flexibly,which breaks the limitation that the number of topics need to be given in ***,theGTMreleases the assumption of‘bag of words’and considers the graph structure of the *** combination of HDP and GTM takes advantage of both which is named as HDP–*** variational inference algorithm is used for the posterior inference and the convergence of the algorithm is *** apply the proposed model in text categorisation,comparing to three related topic models,latent Dirichlet allocation(LDA),GTM and HDP.

关键词： Graph topic model hierarchical Dirichlet process variational inference text classification

Optimal Credibility Estimation of Random Parameters in Hierarchical Random Effect Linear Model

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Journal of Systems Engineering and Electronics 2015年第5期26卷 1058-1069页

In the hierarchical random effect linear model, the Bayes estimator of random parameter are not only dependent on specific prior distribution but also it is difficult to calculate in most cases. This paper derives the distributed-free optimal linear estimator of random parameters in the model by means of the credibility theory method. The estimators the authors derive can be applied in more extensive practical scenarios since they are only dependent on the first two moments of prior parameter rather than on specific prior distribution. Finally, the results are compared with some classical models and a numerical example is given to show the effectiveness of the estimators.

关键词： Bayes theory credibility estimator hierarchical linear model random effect

CONSTRUCTION AND COMPARISONS OF SIMULTANEOUS CONFIDENCE INTERVALS FOR THE MEAN DIFFERENCE OF MULTIVARIATE NORMAL DISTRIBUTIONS

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Journal of Systems Science & Complexity 2010年第2期23卷 303-314页

作者： Xianhua MENG·Jinglong WANG·xianyi wu School of Finance and Statistics,East China Normal University,Shanghai 200241,China. School of Finance and Statistics East China Normal University Shanghai China

In this paper,Scheffé and Simplified Scheffé simultaneous confidence intervals are firstconstructed for mean difference of several multivariate normal *** the authors theoreticallyprove that when there are only two populations,Bonferroni bounds and Simplified Scheffébounds are the same and they are shorter than Scheffé bounds for p*** the case for 3k10and 2p10,there exists n(p,k)such that Bonferroni method is better than Simplified Schefféprocedure for nn(p,k),otherwise Simplified Scheffé procedure is ***,the authors findout that neither of Scheffé critical values nor Simplified Scheffé critical values are always larger thananother through numerical calculation.

关键词： Bonferroni simultaneous confidence interval multiple comparison Scheff@ simultaneousconfidence interval simplified Scheffé simultaneous confidence interval.

基于贝叶斯方法的保费计算的稳健性质(英文)

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江西师范大学学报（自然科学版） 2015年第2期39卷 177-188页

作者：吴贤毅华东师范大学金融与统计学院上海200241

探讨了3类关于保费计算原理的相关问题.首先,结合贝叶斯方法和损失原理定义了贝叶斯保费;然后,研究了2类保费计算原理的稳健性质问题:带任意污染系数的非贝叶斯保费的稳健性质和基于ε-污染方法讨论的贝叶斯保费关于先验分布的稳健性质... 详细信息

探讨了3类关于保费计算原理的相关问题.首先,结合贝叶斯方法和损失原理定义了贝叶斯保费;然后,研究了2类保费计算原理的稳健性质问题:带任意污染系数的非贝叶斯保费的稳健性质和基于ε-污染方法讨论的贝叶斯保费关于先验分布的稳健性质;最后,运用Esscher保费原理分析了当污染在某个分布类变化时保费对污染的响应以及保费的值域.

关键词：稳健性质保费计算原理 ε-污染贝叶斯方法 Esscher保费原理损失原理

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炉渣淤泥多孔砖生产工艺及其质量管理

新型建筑材料 2008年第2期35卷 33-35页

作者：伍贤益常德市西湖区砖瓦总厂湖南常德415921

介绍用炉渣和湖泊淤泥生产烧结多孔砖的原料处理及配合比、混合料的搅拌、坯体的成型与干燥、码窑与焙烧等生产工艺及其质量管理要点。

关键词：炉渣淤泥多孔砖生产工艺质量管理

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炉渣灰淤泥多孔砖生产工艺及其质量管理

新型建筑材料 2010年第12期37卷 34-36页

作者：伍贤益常德市西湖区砖瓦总厂湖南常德415921

介绍了用于生产多孔砖的炉渣和湖泊淤泥的物化性能、炉渣的粉碎筛分及其与淤泥的配合比、混合料的掺配与搅拌、坯体的成型与干燥、码窑与焙浇等生产工艺及其质量管理要点。

关键词：炉渣淤泥混合料配合比多孔砖工艺质量管理

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提高煤矸石空心砖质量的工艺操作及管理要点

新型建筑材料 2006年第6期33卷 19-21页

作者：伍贤益湖南常德市西湖区砖瓦总厂湖南常德415921

介绍生产煤矸石空心砖的原材料选用、混合料处理与陈化、坯体成型与干燥、烧成工艺选择与码窑焙烧等工艺的操作及管理要点。选择的煤矸石以含碳量较高,发热量为(1.2～1.5)×4.186kJ/kg的陈矸石为宜;确定配合比的依据是煤矸石发热量的高... 详细信息

介绍生产煤矸石空心砖的原材料选用、混合料处理与陈化、坯体成型与干燥、烧成工艺选择与码窑焙烧等工艺的操作及管理要点。选择的煤矸石以含碳量较高,发热量为(1.2～1.5)×4.186kJ/kg的陈矸石为宜;确定配合比的依据是煤矸石发热量的高低和粘结料塑性指数的大小;混合料陈化处理的时间一般为3～5d;混合料混合均匀度达95%～98%;挤压成型是保证坯体优质的关键工序,成型含水率为18%～20%。

关键词：煤矸石空心砖粘结料配合比质量工艺

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实值随机变量的高阶随机序(英文)

应用概率统计 2011年第6期27卷 657-669页

作者：胡少勇吴贤毅华东师范大学金融与统计学院上海200241

在本文中,我们讨论了实值随机变量的高阶随机序问题.基于生存函数和分布函数的n阶序我们给出了实值风险的n阶停止–损失序一个更明朗的、更确切的刻画.进一步的,我们研究了基于不同效用函数的三种高阶经济序,我们得到了这些序之间的关... 详细信息

在本文中,我们讨论了实值随机变量的高阶随机序问题.基于生存函数和分布函数的n阶序我们给出了实值风险的n阶停止–损失序一个更明朗的、更确切的刻画.进一步的,我们研究了基于不同效用函数的三种高阶经济序,我们得到了这些序之间的关系和性质.

关键词：随机序停止-损失序期望效用理论