Double Conditional Expectation

The concept of double conditional expectation is introduced. A series of properties for the double conditional expectation are obtained several convergence theorems and Jensen inequality are proved. Finally we discuss the special cases and application for double conditional expectation. Key words double conditional expectation - covergence theorem - Jensen inequality - branching chain in random environment CLC number O 211.6 Foundation item: Supported by the National Science Foundation of China (10371092) and the Foundation of Wuhan UniversityBiography: HU Di-he (1935-), male, Professor, research direction: stochastic processes and random fractals.

L_p-CONTINUITY OF NONCOMMUTATIVE CONDITIONAL EXPECTATIONS

Let （M,τ） be a noncommutative probability space, （Mn）n≥l a sequence of von Neumann subalgebras of M and N a von Neumann subalgebra of M. We introduce the notions of It-approach and orthogonal approach for （Mn）n≥1 and prove that ε（x｜Mn）Lp→ε（x｜N） for any x ∈ Lp（M） （1 ≤ p 〈 ∞） if and only if （Mn）n≥1 τ-approaches and orthogonally approaches N.

JONES TYPE C^(*)-BASIC CONSTRUCTION IN NON-EQUILIBRIUM HOPF SPIN MODELS

Let H be a finite dimensional Hopf C^(*)-algebra,and let K be a Hopf^(*)-subalgebra of H.Considering that the field algebra■K of a non-equilibrium Hopf spin model carries a D(H,K)-invariant subalgebra ■K,this paper shows that the C^(*)-basic construction for the inclusion ■K×■K can be expressed as the crossed product C^(*)-algebra■KD(H,K).Here,D(H,K)is a bicrossed product of the opposite dual H^(op) and K.Furthermore,the natural action of D(H,K)on D(H,K)gives rise to the iterated crossed product■KD(H,K)×D(H,K),which coincides with the C^(*)-basic construction for the inclusion■K×■KD(H,K).In the end,the Jones type tower of field algebra■Kis obtained,and the new field algebra emerges exactly as the iterated crossed product.

Stock market and macroeconomic variables:new evidence from India

Understanding the relationship between macroeconomic variables and the stock market is important because macroeconomic variables have a systematic effect on stock market returns.This study uses monthly data from India for the period from April 1994 to July 2018 to examine the long-run relationship between the stock market and macroeconomic variables.The empirical findings suggest that standard cointegration tests fail to identify any relationship among these variables.However,a transformation that extracts the actual functional relationship between these variables using the alternating conditional expectations algorithm of(J Am Stat Assoc 80:580–598,1985)identifies strong evidence of cointegration and indicates nonlinearity in the long-run relationship.Further,the continuous partial wavelet coherency model identifies strong coherency at a lower frequency for the transformed variables,establishing the fact that the long-run relationship between stock prices and macroeconomic variables in India is nonlinear and time-varying.This evidence has far-reaching implications for understanding the dynamic relationships between the stock market and macroeconomic variables.

OPTIONAL AND PREDICTABLE PROJECTIONS OF SET-VALUED MEASURABLE PROCESSES

In this paper,the optional and predictable projections of set-valued measurable processes are studied.The existence and uniqueness of optional and predictable projections of set-valued measurable processes are proved under proper circumstances.

VAR AND CTE BASED OPTIMAL REINSURANCE FROM A REINSURER'S PERSPECTIVE

In this article,we study optimal reinsurance design.By employing the increasing convex functions as the admissible ceded loss functions and the distortion premium principle,we study and obtain the optimal reinsurance treaty by minimizing the VaR(value at risk)of the reinsurer's total risk exposure.When the distortion premium principle is specified to be the expectation premium principle,we also obtain the optimal reinsurance treaty by minimizing the CTE(conditional tail expectation)of the reinsurer's total risk exposure.The present study can be considered as a complement of that of Cai et al.[5].

Upper Bounds for Ruin Probability with Stochastic Investment Return

Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin probability is the best for practical use. This paper presents a discrete time risk model with stochastic in- vestment return. Conditional expectation properties and martingale inequalities are used to obtain both ex- ponential and non-exponential upper bounds for the ruin probability.

Some Properties of A Lack-of-Fit Test for a Linear Errors in Variables Model

The relationship between the linear errors-in-variables model and the corresponding ordinary linear model in statistical inference is studied. It is shown that normality of the distribution of covariate is a necessary and sufficient condition for the equivalence. Therefore, testing for lack-of-fit in linear errors-in-variables model can be converted into testing for it in the corresponding ordinary linear model under normality assumption. A test of score type is constructed and the limiting chi-squared distribution is derived under the null hypothesis. Furthermore, we discuss the power of the test and the choice of the weight function involved in the test statistic.

On Maximal Abelian Self-adjoint Subalgebras of Factors of Type II_1

In this note, we show that if N is a proper subfactor of a factor M of type Ⅱ1 with finite Jones index, then there is a maximal abelian self-adjoint subalgebra （masa） A of N that is not a masa in ,M. Popa showed that there is a proper subfactor R0 of the hyperfinite type Ⅱ1 factor R such that each masa in R0 is also a masa in R. We shall give a detailed proof of Popa＇s result.

Dual representation of expectile-based expected shortfall and its properties

An expectile can be considered a generalization of a quantile.While expected shortfall is a quantile-based risk measure,we study its counterpart-the expectile-based expected shortfall-where expectile takes the place of a quantile.We provide its dual representation in terms of a Bochner integral.Among other properties,we show that it is bounded from below in terms of the convex combination of expected shortfalls,and also from above by the smallest law invariant,coherent,and comonotonic risk measures,for which we give the explicit formulation of the corresponding distortion function.As a benchmark to the industry standard expected shortfall,we further provide its comparative asymptotic behavior in terms of extreme value distributions.Based on these results,we finally explicitly compute the expectile-based expected shortfall for selected classes of distributions.

The Dynamic Impact of Structural Oil Price Shocks on the Macroeconomy

In this paper,we apply the structural vector autoregression(SVAR)model to decompose the international oil price shock into oil supply shocks,aggregate demand shocks and oil-specific demand shocks,and then use the DCC-GARCH model to analyse the dynamic correlations between these three kinds of oil price shocks and the macroeconomic variables of several oil importing and exporting countries.To quantify the intensity of the effect of oil shocks on these variables,we propose a measure,conditional expectation(Co E),to capture the percent change of the economic variable under oil price shocks relative to the median state.The time-varying copula model is employed to estimate the proposed measure through time.The empirical results show that,for instance,the impacts of oil price shocks on macroeconomic variables are different in different periods,showing the time-varying characteristics.Additionally,the impacts of oil price shocks on macroeconomic variables show great differences and some similarities among different countries.Finally,we give some policy suggestions for these countries,in particular for China’s special results.

Probability representations of fuzzy systems

In this paper, the probability significance of fuzzy systems is revealed. It is pointed out that COG method, a defuzzification technique used commonly in fuzzy systems, is reasonable and is the optimal method in the sense of mean square. Based on different fuzzy implication operators, several typical probability distributions such as Zadeh distribution, Mamdani distribution, Lukasiewicz distribution, etc, are given. Those distributions act as ＂inner kernels＂ of fuzzy systems. Furthermore, by some properties of probability distributions of fuzzy systems, it is also demonstrated that CRI method, proposed by Zadeh, for constructing fuzzy systems is basically reasonable and effective. Besides, the special action of uniform probability distributions in fuzzy systems is characterized. Finally, the relationship between CRI method and triple I method is discussed. In the sense of construction of fuzzy systems, when restricting three fuzzy implication operators in triple I method to the same operator, CRI method and triple I method may be related in the following three basic ways： 1） Two methods are equivalent; 2） the latter is a degeneration of the former; 3） the latter is trivial whereas the former is not. When three fuzzy implication operators in triple I method are not restricted to the same operator, CRI method is a special case of triple I method; that is, triple I method is a more comprehensive algorithm. Since triple I method has a good logical foundation and comprises an idea of optimization of reasoning, triple I method will possess a beautiful vista of application.