Fitting the Generalized Pareto Distribution to Commercial Fire Loss Severity: Evidence from Taiwan

[[abstract]]This paper focuses on modeling and estimating tail parameters of loss distributions from Taiwanese commercial fire loss severity. Using extreme value theory, we employ the generalized Pareto distribution (GPD) and compare it with standard parametric modeling based on lognormal, exponential, gamma andWeibull distributions. In an empirical study, we determine the thresholds of the GPD using mean excess plots and Hill plots. Kolmogorov–Smirnov and likelihood ratio goodness-of-fit tests are conducted, and value-at-risk and expected shortfall are calculated. We also construct confidence intervals for the estimates using the bootstrap method.[[booktype]]紙本[[booktype]]電子版[[iscallforpapers]]

Threshold effects in the relationships between USD and gold futures by panel smooth transition approach

[[abstract]]Using a Panel Smooth Transition Regression (PSTR) model, this study sets crude oil as threshold variable, and Volatility Index (VIX) and Morgan Stanley Capital International (MSCI) for Emerging Market Index (MSCI-E) as control variables to investigate the nonlinear dynamic relationship between USD/yen and gold futures in the Commodity Exchange, Inc. (COMEX). Empirical results show that the transition function is a logistic type. In region 1, the price of crude oil is low. The sign of VIX is positive. USD/yen exerts negative impact on gold market due to the way that gold market functions as a factor of hedge against portfolio and geopolitical risk. In region 2, the price of crude oil is higher (the demand for crude oil may be stronger). The economy is prosperous; VIX turns low; USD/yen increases. Investors have more money from other financial markets to buy gold, thus, causing gold futures price to rise. Besides, gold is both a hedge and a safe haven for developing countries but not for emerging countries; therefore, the relationships between gold and MSCI-E are positive in both regions.[[journaltype]]國外[[incitationindex]]SSCI[[ispeerreviewed]]Y[[booktype]]紙本[[countrycodes]]GB

INFOTERRA: THE INTERNATIONAL ENVIRONMENTAL INFORMATION SYSTEM

In the 1960's man woke up to the fact that the human species, as it multiplies and relentlessly consumes, may at some not too distant future become a plague infesting this globe of ours-stripping it of 1ts freshwater, its so1l, its natural resources, and its flora and fauna and biodiversity, and thereby condemning it to death. This realization gave rise to a shared concern of our common future, and of the future of our ONLY ONE EARTH. This shared concern gave rise to the international environmental movement, and part of the resulting concerted efforts to safeguard our globe is the sharing of our environmental experiences, environmental data and environmental information included

An Empirical Investigation into the Effects of Bond

[[abstract]]This paper investigates the effects of a bond segregation policy in Taiwan. Our empirical findings show that the OS&OP ratio decreases below 30% after the year 2007, while the RP ratio and the ST-D ratio increase. In addition, the scale of bond fund sales also decreases. We further conclude that all the ratios present significant differences after 2007 by using the student-t pair test. We apply five widely used copula functions to understand the correlation between these ratios and the mean return rate of the net value. The results find that all the ratios have a positive correlation with the mean return rate except the RP ratio. The volatility of return also decreases no matter in a historical or GARCH model. Lastly, the VaR decreases after carrying out the policy. The OS&OP ratio has a positive correlation with the VaR over the full time period of January 2001 to June 2010. As a consequence, this means that the OS&OP ratio is the key factor for bond funds.[[sponsorship]]浙江大學金融研究院; 浙江大學經濟學院; 台灣金融學術聯盟[[conferencetype]]兩岸[[conferencedate]]20120421~20120422[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]浙江杭州, 中

Finite Domain Bounds Consistency Revisited

A widely adopted approach to solving constraint satisfaction problems combines systematic tree search with constraint propagation for pruning the search space. Constraint propagation is performed by propagators implementing a certain notion of consistency. Bounds consistency is the method of choice for building propagators for arithmetic constraints and several global constraints in the finite integer domain. However, there has been some confusion in the definition of bounds consistency. In this paper we clarify the differences and similarities among the three commonly used notions of bounds consistency.Comment: 12 page

Advancing 21st Century Competencies in Hong Kong

This paper is one of five case studies that accompany the Asia Society reportpublished_or_final_versio

Time-dependent correlations of inflationary perturbations

We show that if the primordial classical perturbations were generated by the gravitational particle creation during inflation, and followed by an evolution of quantum-to-classical transition,the time dependent correlation of these perturbations is long-tailed with a correlation time larger than the Hubble-time. Consequently, the inflationary perturbations are locally scale-scale correlated. Hence, the interaction of the fields during inflation can be explored via the detection of the local scale-scale correlation of the CMB fluctuations.Comment: 7 pages. To appear in Europhysics Letters v.56, no.6, Dec. 15t