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The Study of Copula Model Based on Nonparametric Kernel Estimation

Author: XuYanLan
Tutor: WangChuanYu
School: Anhui University of Engineering
Course: Applied Mathematics
Keywords: Copula Nucleation density Nonparametric estimation Housing sales price index Business Climate Index Stochastic interest rates United reserves for life insurance
CLC: F293.3
Type: Master's thesis
Year: 2011
Downloads: 58
Quote: 0
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Abstract


The paper first defines the F function , the combination of the characteristics of this kind of function , constructed by the known F function F function ; using Copula function and the nature of the function F , 2-Copula constructor . Use distort the function definition G function , G function related nature , combined with a given function of G and Copula function , distorted Copula functions is constructed and given the Copula function and distorted Copula function correlation metric comparing Second Clayton Copula national real estate price fluctuations and the correlation structure between the macro-economic climate . nationwide housing sales price index and the national business climate index instead of the above two fluctuations , the use of non-parametric kernel density estimation method to obtain the two indices were used in the calculation experience density distribution function , and the establishment of a the Copula nuclear model , the rank correlation coefficient , illustrates the development of the national real estate market is healthy . analysis of the main factors in the study of non-performing assets of commercial banks cash recovery amount , taken with a good the Clayton Copula function , lower tail structure described above two exponential growth rate structure , established a the Copula nuclear model , the approximate expression of the amount of cash recovery of non-performing assets of state-owned commercial banks each quarter . Finally, stochastic interest rates , using Vasicek 's interest force its cumulative function modeling of different recovery rate , given interest force accumulated function random volatility , and through a graphical depiction of the recovery rate of the size of the force of interest accumulation function change over time . Copula nature of lifelong death life insurance h payment n death insurance , fully discrete , fully continuous couples joint life insurance liability reserve formula in a separate case , the responsibility of completely continuous joint life insurance net insurance charges carried a numerical calculation , results show that young couples , middle-aged couples , older couples in net premiums to determine the interest rate is greater than the the Vasicek interest on force net premiums ; interest force in the Vasicek parameters c , σ , μ μ0 changes in net premiums , and the change in the function of the death force a greater impact on net premiums , so in practice to select a suitable force function of death is necessary .

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CLC: > Economic > Economic planning and management > Urban and municipal economy > Urban Economics and Management > The real estate economy
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