本文假設信用事件為非致命性 (non-fatal)，其發生為外生非齊次卜瓦松過程 (Inhomogeneous Poisson Process)。當信用事件發生時，導致債權群組之標的資產違約機率同時上升，與市場上違約叢聚現象 (clustering effect)相似。本研究允許信用事件發生之頻率為系統及非系統性風險因素，且服從三參數伽瑪分配。進而提供一可校準的動態違約相關性模型，藉由對於信用事件發生頻率與信用事件影響幅度之刻劃，更能與市場報價貼近。本研究並以信用擔保債權為例，驗證本模型於評價及校準上之可行性，並對遠期信用擔保債權進行評價與敏感度分析。根據市場報價校準出之參數可反應目前信用市場上對於債權群組之標的資產間違約關聯性之看法。當模型中之參數變動時，對於違約關聯性之影響，亦可觀察權益分券與其他分券之合理信用價差產生之變化。

摘要 《紅樓夢》是一部具有高度思想性和高度藝術性的文學鉅著，其前進思想和表現的寫作技巧，無可置疑的領先同時代的作家和作品。因為其具有獨特的藝術魅力，所以不但廣泛的流傳民間，也成功地站上世界文學之林。 《紅樓夢》雖然膾炙人口且流傳已逾兩百餘年，然而本書真正的作者是誰，卻一直是學者專家們爭論的話題。在大家的印象中，紅樓夢前八十回由清朝曹雪芹所寫，而後四十回則由高鶚所續編完成，但是研究紅樓夢的學者對於此一說法，仍抱著懷疑的態度，不斷的尋求證據以解答此問題的真相。 近年來，學者憑靠著殘存的證據，試圖以各種研究方法予以合理的推論，然時空變遷，只能恢復部分的歷史真相，無法給予完整的復原，而《紅樓夢》的作者究竟是誰，至今尚未有一個大家認同的答案。 本論文嘗試以品種比較、樣本重複性及品種涵蓋率等統計方法，配合電腦的檢索，藉由分析寫作風格及其用字習慣，以統計分析的角度來推論《紅樓夢》的作者。 關鍵詞：紅樓夢、品種問題、樣本重複性、卜瓦松過程。 / Abstract "The Dream of Chamber" is a greatly artistic novel in Chinese literature. Undoubtedly, the writing style and the delicate design of this book lead the other authors and novels at the same time. Because of its distinctive charm, it is wide-spreading not only in China but also in the other country. Although "The Dream of Chamber" has been spread more than two hundred years, however it also exists a mystery─"Who is the real author of this book？". Most people believe that Sher-Chin Tsao wrote the first 80 chapters, and Gao-E wrote the last 40 chapters. But many have doubt about this statement. People try to find evidence in order to solve this problem, but still have not a persuasive answer. In this report, we attempt to solve this riddle by statistical analysis, including the methods of species comparing, species overlap, and sample coverage etc., besides, we use computer to search words. We try to infer the author of "The Dream of Chamber" from the statistical point of view. Keyword: The Dream of Chamber, species comparison, sample coverage. Poisson Process.

本論文中，我們提出基於機場安全檢查的分層排隊理論模型，模型中的旅客基於歷史的安全數據被分成三組。我們運用二維馬可夫過程（two-dimensional Markov process）以及馬可夫調控卜瓦松過程（Markov modulated Poisson process）構建模型的排隊系統並加以分析。我們收集了台灣桃園國際機場和其它兩個機場的旅客數據以驗證我們提出的模型，並運用模擬退火法（simulated annealing）求得近似最佳解（near-optimum solution）。最後我們通過模型的旅客平均等候時間和另外兩種等候模型進行比較，之後得出我們的模型確實可以在不增加成本，甚至提升安全性的同時能夠有效地減少平均等候時間。 / This thesis proposes a tiered inspection system for airport security, wherein passengers are divided into three classes based on historical security records. A two-dimensional Markov process and a Markov modulated Poisson process (MMPP) queue were used in the formulation of the security inspection system. Simulated annealing was then used to obtain near-optimum solution for the model. The efficacy of the proposed model was evaluated using the arrival data of passengers at Taoyuan International Airport and other two international airports. A comparison with two conventional queueing models with regard to the average waiting time demonstrated the effectiveness of the proposed security inspection system in enhancing service efficiency and boosting the level of security.

運用傳統再保險契約移轉風險受限於承保能量的逐年波動，尤其自90年代起，全球巨災頻繁，保險人損失巨幅增加，承保能量急遽萎縮，基於巨災市場之資金需求，再保險轉向資本市場，預期將巨災風險移轉至投資人，促成保險衍生性金融商品之創新，本研究針對佔有顯著交易量的巨災風險債券進行分析，基於Cummins和Geman (1995)所建構巨災累積損失模型，引用Duffie 與Singleton (1999)於違約債券的計價模式，將折現利率表示為短期利率加上事故發生率及預期損失比例之乘積，並將債券期間延長至多年期，以符合市場承保的需求，應用市場無套利假設及平賭測度計價的方法計算合理的市場價值，巨災損失過程將分成損失發展期與損失確定期，以卜瓦松過程表示巨災發生頻率，並利用台灣巨災經驗資料建立合適之損失幅度模型，最後以蒙地卡羅方法針對三種不同型態的巨災風險債券試算合理價值，並具體結論所得的數值結果與後續之研究建議。 / Using traditional reinsurance treaties to transfer insurance risks are restrained due to the volatility of the underwriting capacity annually. Catastrophe risks have substantially increased since the early 1990s and have directly resulted significant claim losses for the insurers. Hence the insurers are pursuing the financial capacities from the capital market. Transferring the catastrophe risks to the investor have stimulated the financial innovation for the insurance industry. In this study, pricing issues for the heavily traded catastrophe risk bonds (CAT-bond) are investigated. The aggregated catastrophe loss model in Cummins and Geman (1995) are adopted. While the financial techniques in valuing the defaultable bonds in Duffie and Singleton (1999) are employed to determine the fair prices incorporating the claim hazard rates and the loss severity. The duration of the CAT-bonds is extended from single year to multiple years in order to meet the demand from the reinsurance market. Non- arbitrage theory and martingale measures are employed to determine their fair market values. The contract term of the CAT-bonds is divided into the loss period and the development period. The frequency of the catastrophe risk is modeled through the Poisson process. Taiwan catastrophe loss experiences are examined to build the plausible loss severity model. Three distant types of CAT-bonds are analyzed through Monte Carlo method for illustrations. This paper concludes with remarks regarding some pricing issues of CAT-bonds.