Douglas on values: From indirect roles to multiple goals

In recent papers and a book, Heather Douglas has expanded on the well-known argument from inductive risk, thereby launching an influential contemporary critique of the value-free ideal for science. This paper distills Douglas’s critique into four major claims. The first three claims provide a significant challenge to the value-free ideal for science. However, the fourth claim, which delineates her positive proposal to regulate values in science by distinguishing direct and indirect roles for values, is ambiguous between two interpretations, and both have weaknesses. Fortunately, two elements of Douglas’s work that have previously received much less emphasis (namely, her comments about the goals of scientific activity and the ethics of communicating about values) provide resources for developing a more promising approach for regulating values in science.     

A new statistical approach for the analysis of uncertain systems

This paper addresses the issues of conservativeness and computational complexity of probabilistic robustness analysis. The authors solve both issues by defining a new sampling strategy and robustness measure. The new measure is shown to be much less conservative than the existing one. The new sampling strategy enables the definition of efficient hierarchical sample reuse algorithms that reduce significantly the computational complexity and make it independent of the dimension of the uncertainty space. Moreover, the authors show that there exists a one to one correspondence between the new and the existing robustness measures and provide a computationally simple algorithm to derive one from the other. This research is supported in part by grants from NASA (NCC5-573), LEQSF (NASA /LEQSF(2001-04)-01), the NNSFC Young Investigator Award for Overseas Collaborative Research (60328304) and a NNSFC grant (10377004).     

离散时间更新风险模型赤字分布的上下界估计

研究离散时间更新风险模型的赤字分布,利用赤字分布以及赤字尾分布所满足的瑕疵更新方程,给出了赤字分布不同形式的上下界估计.     

纺织企业转产风险的分析

根据纺织企业的特点,深入分析了其在转产过程中面临的风险因素.提出了纺织企业转产风险指标体系,并通过问卷调查方式,就纺织企业转产风险各指标因素的重要性及其对转产活动的影响作了具体研究和论证.     

安全信息缺失事故致因理论的初步研究

为更好解释事故致因,在分析已有事故致因理论的基础上,分析了安全信息与事故致因因素之间的联系,认为安全信息是各种致因因素的信息化表述,安全信息缺失将直接或间接导致事故的发生并影响事故的发展.继而用安全信息的概念统一人、物、环境、能量和管理等事故致因因素,提出了安全信息缺失的概念和安金信息缺失事故致因理论.新理论认为安全信息缺失是造成事故发生的主要潜在原因,也是导致事故扩大的主要原因,避免关键性安全信息的缺失是预防事故发生和防止事故扩大的重点.建立了新理论的理论模型和可用于定量风险评价的数学模型.该理论为事故有效预防和系统风险评价提供了一种新思路和方法.     

带常利率和干扰项的负风险模型相关性质

为解决基本负风险模型与保险公司实际运营的偏差问题,在考虑了其他因素影响的前提下,建立了同时含有常利率和干扰项的负风险模型,使其更加贴近保险公司及经营性公司的实际情况.首先采用矩母函数的定义及相关性质推导了新模型的基本性质,介绍了调节系数的概念,然后利用切比雪夫不等式证明了新模型破产概率的表达式以及破产概率所满足的Lundberg上界,最后通过数值模拟,分别分析了两种因素对新模型破产概率上界的影响.结果表明:在干扰项不变的情况下,新模型的破产概率上界会随着利率的增加而减小;在利率不变的情况下,破产概率上界会随着随机因素的干扰而变大.该成果对保险公司的实际运营具有一定的指导意义.     

论股东和经营者的冲突与协调

目前在公司制企业中代理问题已经成为一项难题。在所有代理问题中,股东和经营者之间的代理问题最为严重。文章分析了股东和经营者之间代理问题产生的理论根源及其表现,提出了监督和激励等防止经营者背离股东目标行为的具体措施。     

浅谈审计风险

结合实际工作经验,从审计风险的概念、表现形式及防范措施等方面,论述了审计工作中的风险防范。     

基于整体性思想的射击模型分析

通过权衡复杂系统的五项度量指标,达到了对稳定中心度量指标的控制;利用工程领域中的实际例子,得到了比已有结论更优的结果.     

Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation

This paper proposes value‐at risk (VaR) estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility. The appeal of this proposal is that it merges information from the historical time series and the different information supplied by the market's expectation of risk. Forecast‐combining methods, with weights estimated using quantile regression, are considered. We also investigate plugging implied volatility into the CAViaR models—a procedure that has not been considered in the VaR area so far. Results for daily index returns indicate that the newly proposed methods are comparable or superior to individual methods, such as the standard CAViaR models and quantiles constructed from implied volatility and the empirical distribution of standardised residuals. We find that the implied volatility has more explanatory power as the focus moves further out into the left tail of the conditional distribution of S&P 500 daily returns. Copyright © 2012 John Wiley & Sons, Ltd.