泰国蒌叶精油化学成分的研究

泰国蒌叶精油 (Betlevineoil)是由从泰国蒌叶藤叶用水蒸汽蒸馏而得精油 ,湿料计含油率约为 0 .2 % ,利用气相色谱和气相色谱—质谱—计算机联用仪技术对泰国蒌叶精油 (Betlevineoil)的化学成分进行研究分析 ,色谱分离出 6 4种成份 ,其中检测鉴定 58种成分 ,其中主要成分为乙酸丁香酚酯 (Acetyleugenol) 31.76 8%、反式 异丁香酚 (trans Isoeugenol) 2 8.32 2 %、乙酸 4 烯丙基苯酚酯 (4 Allylphenylacetate) 8.0 53%、乙位石竹烯 (beta Caryophyl lene) 3.0 6 3%、大根香叶烯 (Germacrene d) 2 .917%、甲位紫穗槐烯 (alpha Amorphene) 2 .52 0 %、甲位杜松醇 (alpha Cadinol) 2 .4 36 %、甲基黑椒酚 (Chavicol) 1.994 %。泰国蒌叶精油有药效 ,在泰国当地有传对爱滋病及爱滋病带菌者有疗效作用     

Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions

An n-dimensional random vector is constructed whose survival copula is given by a copula that was first presented in Cuadras and Augé [C.M. Cuadras, J. Augé, A continuous general multivariate distribution and its properties, Communications in Statistics - Theory and Methods 10 (4) (1981) 339-353]. This construction adds a Poisson subordinator as mixing variable to initially independent exponentially distributed random variables. It is shown how the choice of Poisson process relates to the parameter of the induced Cuadras-Augé copula. Based on this construction, a sampling algorithm for this multivariate distribution is presented which has average computational efficiency O(nloglogn).     

Do Rosenblatt and Nataf isoprobabilistic transformations really differ?

This article is the third in a series dedicated to the mathematical study of isoprobabilistic transformations and their relationship with stochastic dependence modelling, see [R. Lebrun, A. Dutfoy, An innovating analysis of the Nataf transformation from the viewpoint of copula, Probabilistic Engineering Mechanics (2008). doi: 10.1016/j.probengmech.2008.08.001] for an interpretation of the Nataf transformation in term of normal copula and [R. Lebrun, A. Dutfoy, A generalization of the Nataf transformation to distributions with elliptical copula, Probabilistic Engineering Mechanics (24) (2009), 172–178. doi:10.1016/j.probengmech.2008.05.001] for a generalisation of the Nataf transformation to any elliptical copula.In this article, we explore the relationship between two isoprobabilistic transformations widely used in the community of reliability analysts, namely the Generalised Nataf transformation and Rosenblatt transformation.First, we recall the elementary results of the copula theory that are needed in the remaining of the article, as a preliminary section to the presentation of both the Generalized Nataf transformation and the Rosenblatt transformation in the light of the copula theory.Then, we show that the Rosenblatt transformation using the canonical order of conditioning is identical to the Generalised Nataf transformation in the normal copula case, which is the most usual case in reliability analysis since it corresponds to the classical Nataf transformation. At this step, we also show that it is not possible to extend the Rosenblatt transformation to distributions with general elliptical copula the way the Nataf transformation has been generalised.Furthermore, we explore the effect of the conditioning order of the Rosenblatt transformation on the usual reliability indicators obtained from a FORM or SORM method. We show that in the normal copula case, all these reliability indicators, excepted the importance factors, are unchanged whatever the conditioning order one chooses.In the last section, we conclude the article with two numerical applications that illustrate the previous results: the equivalence between both transformations in the normal copula case, and the effect of the conditioning order in the normal and non-normal copula case.     

Fitting Drought Duration and Severity with Two-Dimensional Copulas

This study aims to model the joint drought duration and severity distribution using two-dimensional copulas. The method of inference function for margins (IFM method) is employed to construct copulas. Two separate maximum likelihood estimations of univariate marginal distributions are performed first, then followed by a maximization of the bivariate likelihood as a function of the dependence parameters. The drought duration and severity are assumed to be exponential and gamma distributions, respectively. Several copulas are tested to determine the best data fitted copula. Droughts, defined using the Standardized Precipitation Index (SPI), of Wushantou (Taiwan) are employed as an example to illustrate the proposed methodology. The copula fitting results for drought duration and severity are quite satisfactory. The bivariate drought analyses, including the joint probabilities and bivariate return periods, based on the derived copula-based joint distribution are also investigated to demonstrate the advantages of bivariate modeling of droughts.     

国内外期货市场相关性研究

利用copula函数和Kendall tau统计量的内在关系，估计出不同copula函数的参数，并选择最优的copula函数来刻画大连大豆期货市场和美国、日本大豆期货市场以及日元／美元汇率之间的相关性结构．基于得到的最优copula函数．研究了上述市场之间的尾部相关性．研究结果对金融风险管理具有重要的现实意义．     

The impact of the dependence structure in risk management: a focus on credit-risk

The aim of the paper is to discuss the important role of the dependence structure in risk management. Therefore, we focus on credit-risk and propose an innovative model to value the credit risk of a portfolio. This new approach (HYC for short) is based on a hierarchical hybrid copula and involves a clusterization of the portfolio in several risk's classes. The HYC model is classified as hybrid because the computation of the loss cdf depends on the class's cardinality: for large groups one is justified to apply a limiting approach, while for small ones one applies a procedure preserving the granularity of the group itself. In order to appreciate the impact of the dependence structure in credit-risk evaluation, a VaR analysis based on the HYC loss function is here compared to the CreditMetrics approach in an in-sample exercise and to the empirical VaR in an out-of sample exercise aimed to test the forecasting effectiveness of the model. This comparison allows us to appreciate over/under-valuation of the capital detained from the financial institution. Moreover, the impact of an enlargement of the dependence structure is discussed with respect to the systemic/contagious effects in the context of a portfolio optimisation with constraint on a sub-portfolio's risk.     

部件相依复杂系统可靠性模型及其寿命界限分析

文章应用Copula函数,研究了部件相依的复杂系统可靠性问题,给出了F-G-M Copula函数下一般系统的可靠度、平均寿命、平均寿命误差韵表达式,讨论了部件正象限相依下复杂系统的平均寿命与部件独立时系统的平均寿命的关系,并研究了串联与并联系统的界限,通过算例分析了部件相依下对平均寿命的影响程度。