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学者姓名：翁志超
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<正>一、引言近年来，保险科技发展迅速，逐渐成为未来保险业转型升级和创新的关键因素。2021年12月29日，中国保险行业协会在《保险科技“十四五”发展规划》中提出，要增强保险价值链创新的科技支撑，提升科技应用风险管控，增强人民群众对数字化、网络化、智能化保险产品和服务的满意度，让保险科技真正赋能保险行业高质量发展。科技是一把“双刃剑”，保险科技也不例外。一方面，保险科技赋能保险行业，
Keyword ：
声誉风险 声誉风险 寿险公司 寿险公司 防范研究 防范研究
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| GB/T 7714 | 翁志超 , 林莹 . 保险科技视角下寿险公司声誉风险防范研究 [J]. | 上海保险 , 2023 , 8 (01) : 41-48 . |
| MLA | 翁志超 等. "保险科技视角下寿险公司声誉风险防范研究" . | 上海保险 8 . 01 (2023) : 41-48 . |
| APA | 翁志超 , 林莹 . 保险科技视角下寿险公司声誉风险防范研究 . | 上海保险 , 2023 , 8 (01) , 41-48 . |
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文章采用向量自回归（VAR）模型，构建时域与频域溢出指数，从时域与频域视角研究财政政策、货币政策、贸易政策以及汇率与资本项目政策不确定性对金融市场的静态与动态溢出效应。实证结果表明，政策不确定性与金融市场之间存在双向溢出效应，且不同类型政策不确定性对金融市场的溢出效应具有异质性与时变性；政策不确定性对金融市场的溢出效应主要由高频溢出效应构成，但国际金融危机、欧债危机、英国脱欧等持续性事件会导致政策不确定性的低频溢出效应超过高频溢出效应。鉴于此，政府应增强经济政策的前瞻性和连贯性，提高内部经济政策的透明度和稳定性，警惕外部经济政策的不确定性对我国金融体系造成的冲击。
Keyword ：
政策不确定性 政策不确定性 时域 时域 溢出效应 溢出效应 金融市场 金融市场 频域 频域
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| GB/T 7714 | 林桢 , 翁志超 . 政策不确定性对金融市场的溢出效应研究——基于时域与频域视角的实证分析 [J]. | 福建金融 , 2022 , 10 (03) : 27-36 . |
| MLA | 林桢 等. "政策不确定性对金融市场的溢出效应研究——基于时域与频域视角的实证分析" . | 福建金融 10 . 03 (2022) : 27-36 . |
| APA | 林桢 , 翁志超 . 政策不确定性对金融市场的溢出效应研究——基于时域与频域视角的实证分析 . | 福建金融 , 2022 , 10 (03) , 27-36 . |
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绿色资产支持证券作为一种新型债务融资工具,能够通过一系列的结构安排和信用增级方式盘活资产,以解决绿色产业在融资方面存在的困难.本文通过建立期权调整利差模型,在使用CIR单因素模型、BDT模型、线性插值法分别求得适用于绿色资产支持证券的利率路径分布及期权调整利差后,运用该模型求得广州地铁1期、2期绿色资产支持证券的理论价值.研究结果表明:目前我国绿色资产支持证券的理论价值高于其实际价值.在此基础上对如何提高我国绿色资产支持证券的定价效率提出了相应的政策建议.
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| GB/T 7714 | 翁志超 , 郑青 . 绿色资产支持证券发展及其定价研究——基于期权调整利差法的分析 [J]. | 价格理论与实践 , 2021 , (1) : 132-135 . |
| MLA | 翁志超 等. "绿色资产支持证券发展及其定价研究——基于期权调整利差法的分析" . | 价格理论与实践 1 (2021) : 132-135 . |
| APA | 翁志超 , 郑青 . 绿色资产支持证券发展及其定价研究——基于期权调整利差法的分析 . | 价格理论与实践 , 2021 , (1) , 132-135 . |
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新闻媒体的快速发展,有利于上市企业与投资者之间信息互通,从而降低企业的股权融资成本.选取了中国沪深A股上市公司2012-2018年间的年度数据作为研究对象,使用OJN模型估算股权融资成本,通过爬虫软件收集沪深A股上市公司的媒体报道篇数计算媒体报道指标,通过主成分分析计算投资者情绪指标,并实证检验媒体报道、投资者情绪对股权融资成本的影响.
Keyword ：
媒体效应 媒体效应 投资者关注 投资者关注 融资约束 融资约束
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| GB/T 7714 | 翁志超 , 施振霖 . 媒体报道、投资者情绪对股权融资成本的影响 ——以上市公司为例 [J]. | 现代商贸工业 , 2020 , (8) : 118-119 . |
| MLA | 翁志超 等. "媒体报道、投资者情绪对股权融资成本的影响 ——以上市公司为例" . | 现代商贸工业 8 (2020) : 118-119 . |
| APA | 翁志超 , 施振霖 . 媒体报道、投资者情绪对股权融资成本的影响 ——以上市公司为例 . | 现代商贸工业 , 2020 , (8) , 118-119 . |
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In this paper, we consider the weak convergence of exceedances point processes in the plane of complete and incomplete stationary Gaussian sequences under some weak dependence conditions. The main results are applied to derive the asymptotic joint distribution of location and height of maximum with data missing, and the joint asymptotic behavior of the location of the first high-level exceedance and the location of the maximum with data missing. (C) 2019 Elsevier B.V. All rights reserved.
Keyword ：
Data missing Data missing Location and height of maximum Location and height of maximum location of the first high-level exceedance location of the first high-level exceedance Point process in the plane Point process in the plane Stationary Gaussian sequence Stationary Gaussian sequence
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| GB/T 7714 | Peng, Zuoxiang , Tong, Jinjun , Weng, Zhichao . Exceedances point processes in the plane of stationary Gaussian sequences with data missing [J]. | STATISTICS & PROBABILITY LETTERS , 2019 , 149 : 73-79 . |
| MLA | Peng, Zuoxiang 等. "Exceedances point processes in the plane of stationary Gaussian sequences with data missing" . | STATISTICS & PROBABILITY LETTERS 149 (2019) : 73-79 . |
| APA | Peng, Zuoxiang , Tong, Jinjun , Weng, Zhichao . Exceedances point processes in the plane of stationary Gaussian sequences with data missing . | STATISTICS & PROBABILITY LETTERS , 2019 , 149 , 73-79 . |
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文章采用2013-2017年商业银行指数和互联网金融指数的日度收盘价数据,结合GARCH-Copu-la-CoVaR模型来度量互联网金融对商业银行的系统性风险溢出效应.结果 表明:互联网金融对商业银行的系统性风险溢出效应为正且明显,而且其对不同类型商业银行的系统性风险溢出具有异质性,股份制商业银行较敏感.
Keyword ：
GARCH-Copula-CoVaR模型 GARCH-Copula-CoVaR模型 互联网金融 互联网金融 系统性风险 系统性风险 风险溢出效应 风险溢出效应
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| GB/T 7714 | 翁志超 , 颜美玲 . 互联网金融对商业银行的系统性风险溢出效应测度 [J]. | 统计与决策 , 2019 , 35 (22) : 159-163 . |
| MLA | 翁志超 等. "互联网金融对商业银行的系统性风险溢出效应测度" . | 统计与决策 35 . 22 (2019) : 159-163 . |
| APA | 翁志超 , 颜美玲 . 互联网金融对商业银行的系统性风险溢出效应测度 . | 统计与决策 , 2019 , 35 (22) , 159-163 . |
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Let {(xi(ni), eta(ni) ), 1 <= i <= n, n >= 1} be a triangular array of independent bivariate elliptical random vectors with the same distribution function as (S-1, rho S-n(1) + root 1-rho S-2(n)2), rho(n) is an element of(0, 1), where (S-1, S-2) is a bivariate spherical random vector. For the distribution function of radius root S-1(2) + S-2(2) belonging to the max-domain of attraction of the Weibull distribution, the limiting distribution of maximum of this triangular array is known as the convergence rate of rho(n) to 1 is given. In this paper, under the refinement of the rate of convergence of rho(n) to 1 and the second-order regular variation of the distributional tail of radius, precise second-order distributional expansions of the normalized maxima of bivariate elliptical triangular arrays are established.
Keyword ：
Bivariate elliptical triangular array Bivariate elliptical triangular array maximum maximum second-order expansion second-order expansion second-order regular variation second-order regular variation
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| GB/T 7714 | Liao, Xin , Weng, Zhi Chao , Peng, Zuo Xiang . Second-order Asymptotics on Distributions of Maxima of Bivariate Elliptical Arrays [J]. | ACTA MATHEMATICA SINICA-ENGLISH SERIES , 2018 , 34 (7) : 1159-1178 . |
| MLA | Liao, Xin 等. "Second-order Asymptotics on Distributions of Maxima of Bivariate Elliptical Arrays" . | ACTA MATHEMATICA SINICA-ENGLISH SERIES 34 . 7 (2018) : 1159-1178 . |
| APA | Liao, Xin , Weng, Zhi Chao , Peng, Zuo Xiang . Second-order Asymptotics on Distributions of Maxima of Bivariate Elliptical Arrays . | ACTA MATHEMATICA SINICA-ENGLISH SERIES , 2018 , 34 (7) , 1159-1178 . |
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In this paper, we study second order expansions of distributions of maxima of bivariate Gaussian triangular arrays under power normalization. Numerical analysis is given to compare the asymptotic behaviors under power normalization with the asymptotic behaviors under linear normalization derived by Hashorva et al. (2016). (C) 2017 Elsevier B.V. All rights reserved.
Keyword ：
Bivariate Gaussian triangular array Bivariate Gaussian triangular array Maximum Maximum Power normalization Power normalization Second order expansion Second order expansion
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| GB/T 7714 | Weng, Zhichao , Liao, Xin . Second order expansions of distributions of maxima of bivariate Gaussian triangular arrays under power normalization [J]. | STATISTICS & PROBABILITY LETTERS , 2017 , 125 : 33-43 . |
| MLA | Weng, Zhichao 等. "Second order expansions of distributions of maxima of bivariate Gaussian triangular arrays under power normalization" . | STATISTICS & PROBABILITY LETTERS 125 (2017) : 33-43 . |
| APA | Weng, Zhichao , Liao, Xin . Second order expansions of distributions of maxima of bivariate Gaussian triangular arrays under power normalization . | STATISTICS & PROBABILITY LETTERS , 2017 , 125 , 33-43 . |
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高等学校是国家培养跨学科人才的重要基地.本文从培养目标、培养模式以及培养方案等三方面阐述福州大学开展"数理金融实验班"人才培养模式的探索.
Keyword ：
人才培养 人才培养 数理金融 数理金融 跨学科教育 跨学科教育
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| GB/T 7714 | 林炳华 , 翁志超 . 高校数理金融跨学科人才培养模式研究 ——以福州大学"数理金融实验班"为例 [J]. | 教育现代化 , 2017 , 4 (31) : 5-6 . |
| MLA | 林炳华 等. "高校数理金融跨学科人才培养模式研究 ——以福州大学"数理金融实验班"为例" . | 教育现代化 4 . 31 (2017) : 5-6 . |
| APA | 林炳华 , 翁志超 . 高校数理金融跨学科人才培养模式研究 ——以福州大学"数理金融实验班"为例 . | 教育现代化 , 2017 , 4 (31) , 5-6 . |
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It is known that the normalized maxima of a sequence of independent and identically distributed bivariate normal random vectors with correlation coefficient rho is an element of [-1, 1) is asymptotically independent, which implies that using bivariate normal distribution will seriously underestimate extreme co-movement in practice. By letting rho depend on the sample size and go to one with certain rate, Husler and Reiss (1989) showed that the normalized maxima of Gaussian random vectors can become asymptotically dependent so as to well predict the co-movement observed in the market. In this paper, we extend such a study to a triangular array of a multivariate Gaussian sequence, which further generalizes the results in Hsing et al. (1996) and Hashorva and Weng (2013). (C) 2015 Elsevier B.V. All rights reserved.
Keyword ：
Correlation coefficient Correlation coefficient Maxima Maxima Stationary Gaussian triangular array Stationary Gaussian triangular array
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| GB/T 7714 | Hashorva, Enkelejd , Peng, Liang , Weng, Zhichao . Maxima of a triangular array of multivariate Gaussian sequence [J]. | STATISTICS & PROBABILITY LETTERS , 2015 , 103 : 62-72 . |
| MLA | Hashorva, Enkelejd 等. "Maxima of a triangular array of multivariate Gaussian sequence" . | STATISTICS & PROBABILITY LETTERS 103 (2015) : 62-72 . |
| APA | Hashorva, Enkelejd , Peng, Liang , Weng, Zhichao . Maxima of a triangular array of multivariate Gaussian sequence . | STATISTICS & PROBABILITY LETTERS , 2015 , 103 , 62-72 . |
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