共查询到20条相似文献,搜索用时 15 毫秒
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信用传染违约Aalen加性风险模型 总被引:1,自引:0,他引:1
本文考虑了基于加性风险模型的信用风险违约预报模型,不但考虑了宏观因素和公司个体因素,并且通过引入行业因素来刻画公司间可能存在的不同于宏观因素的信用传染效应,由此克服了以往模型对违约相关性的低估.本文在参数加性风险模型下给出极大似然估计及渐近性,提出两种估计方法并比较二者表现,得到最优权估计更加有效.同时本文还考虑了半参数的风险模型,并基于鞅的估计方程得到其估计及渐近性,均得到不错的结果. 相似文献
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主要研究工作休假和休假中止的M/G/1排队系统,首先将对应于此系统的数学模型转化为抽象Cauchy问题,其次证明对应于此排队模型的主算子生成正压缩C0半群T(t),然后证明T(t)是局部等距的,最后证明此模型存在唯一的非负时间依赖解。 相似文献
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指标可取负值的基于输入与输出的DEA模型 总被引:1,自引:0,他引:1
吴文江 《数学的实践与认识》2008,38(2):115-121
有关基于输入与输出的DEA模型,本文与现有文献的不同之处,一是模型中的评价指标可取负值,二是被评的决策单元可以不是所给的n个决策单元之一,三是模型并非由多目标规划模型推得.此外,给出了有关此模型的三个定理.因此,可知有关此模型的最优解存在的充分条件;在求解此模型后就能在判断决策单元的DEA有效性的同时计算出其相对效率,并能计算出其在DEA相对有效面上的"投影". 相似文献
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In this paper, we study the Cauchy problem for a regularized viscoelastic fluid model in space dimension two, the Bardina–Oldroyd model, which is inspired by the simplified Bardina model for the turbulent flows of fluids, introduced by Cao et al. (2006). In particular, we obtain the local existence of smooth solutions to this model via the contraction mapping principle. Furthermore, we prove the global existence of smooth solutions to this system. 相似文献
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将多险种风险模型推广到带干扰项的一种新模型,讨论了收益过程的性质,并利用鞅的方法得出了破产概率所满足的Lundberg不等式及其一般公式. 相似文献
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Black-Scholes model, as a base model for pricing in derivatives markets has some deficiencies, such as ignoring market jumps, and considering market volatility as a constant factor. In this article, we introduce a pricing model for European-Options under jump-diffusion underlying asset. Then, using some appropriate numerical methods we try to solve this model with integral term, and terms including derivative. Finally, considering volatility as an unknown parameter, we try to estimate it by using our proposed model. For the purpose of estimating volatility, in this article, we utilize inverse problem, in which inverse problem model is first defined, and then volatility is estimated using minimization function with Tikhonov regularization. 相似文献
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Tuhao Chen Fred M. Hoppe Satish Iyengar David Brent 《Methodology and Computing in Applied Probability》2003,5(4):419-426
For logistic regression in case-control studies, when risk factors associated with the outcome are exceedingly rare in the control group, the estimation of parameters in the model becomes difficult. In this paper, we propose a two-stage hybrid method to achieve this. In the first stage, we model the risk due to the rare factor, and in the second stage we model the residual risk due to the other factors using standard logistic model. 相似文献
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本文建立了保费收入率与索赔到达均依赖于当前盈余额的保险模型.将这一模型纳入逐段决定马尔可夫过程的框架,破产时刻就是这一逐段决定马尔可夫过程的端时.我们用鞅方法得到了保费收入率与索赔到达率均依赖于当前盈余额的风险模型的破产概率的确切表达式. 相似文献
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本文研究了一类保费与索赔均为批量到达的双险种破产模型,在特定的分布下导出了调节系数方程,得到了初始资本为u的破产概率的上界并与非批量到达的模型的破产上界进行了比较。 相似文献
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对战地应急治疗救援问题进行分析,以先到先服务规则为前提,建立了以总治疗时间最少为目标的FCFS模型,在此基础上又对等待时间进行优化建立了有选择偏好的FCFS模型,最后给出了基于延迟时间的救治模型,并对提出的模型进行计算机模拟,得出了伤员最佳救治策略. 相似文献
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本文讨论了一类相关保险业务的风险过程,将相依索赔的风险过程转化为古典风险模型,得出最终破产概率的一般表达式. 相似文献
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双二项风险模型的破产概率 总被引:10,自引:1,他引:9
首先将经典的复合二项风险模型推广到保费到达过程与个体索赔过程是两个相互独立的二项过程的一种新模型,然后运用两种方法得出破产概率满足的一般公式和Lundberg不等式. 相似文献
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Maximum likelihood estimation in a partially observed stratified regression model with censored data
Amélie Detais Jean-François Dupuy 《Annals of the Institute of Statistical Mathematics》2011,63(6):1183-1206
The stratified proportional intensity model generalizes Cox’s proportional intensity model by allowing different groups of
the population under study to have distinct baseline intensity functions. In this article, we consider the problem of estimation
in this model when the variable indicating the stratum is unobserved for some individuals in the studied sample. In this setting,
we construct nonparametric maximum likelihood estimators for the parameters of the stratified model and we establish their
consistency and asymptotic normality. Consistent estimators for the limiting variances are also obtained. 相似文献
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利用非负M矩阵的性质,给出了woods定理的一个新证明方法与该定理相关的推论;应用Z变换对离散型动态投入产出模型进行了求解,推导了投入产出模型的解在经济增长率、产出结构计算中的应用,并用具体实例对动态投入产出模型的经济预测与控制功能进行了实证分析. 相似文献
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《Comptes Rendus de l'Academie des Sciences Series IIA Earth and Planetary Science》1999,328(12):1231-1236
We consider a conservative and entropie discrete-velocity model for the Bathnagar-Gross-Krook (BGK) equation. In this model, the approximation of the Maxwellian is based on a discrete entropy minimization principle. First, we prove a consistency result for this approximation. Then, we demonstrate that the discrete-velocity model possesses a unique solution. Finally, the model is written in a continuous equation form, and we prove the convergence of its solution toward a solution of the BGK equation. 相似文献
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本文给出了人民币汇率决定模型,并对货币供需、资金流量进行了分析.该模型参照了Robimson的国际贸易条件理论、Alexander吸收理论、特别是Barro—Calvo—Robriguez融资产组合平衡与货币分析法于一体的货币主义的货币替代模型.这个模型体系由三部分组成:基本模型、动态模型、调控模型.基于这三个模型,对汇率决定进行了一般的均衡分析、走势分析与调控分析. 相似文献