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分析了几种相关结构函数(Copula)表示的相关结构模型,给出了用相关结构函数对金融资产间的相关结构进行建模的方法.结果表明混合Gumbel(M-Gumbel)相关结构函数能较全面地描述上海深圳两证券指数的相关结构,模拟计算VaR的结果支持了实证分析的结论. 相似文献
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相关Hopf模的对偶 总被引:7,自引:2,他引:5
本文的目的就是给出相关Hopf模的对偶性质.在第一部分,证明了相关Hopf模的对偶模仍是相关Hopf模.特别地,Hopf模的对偶仍是Hopf模.在第二、第三两部分,分别给出相关Hopf模的对偶相关Hopf模的基本结构定理及Maschke定理. 相似文献
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土工参数随机模型中相关函数的选择 总被引:1,自引:0,他引:1
本文研究土性剖面的随机模型,给出了相关文献中使用的方差衰减函数与相关距离的数学模型,并证明了相关函数的类型在某种条件下必为指数函数,纠正了相关文献中的错误概念。 相似文献
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沪深股市相关结构分析研究 总被引:2,自引:0,他引:2
在金融市场风险分析中,对金融资产相关结构的讨论有着重要意义,从而引出对如何选取好的相关结构模型来捕捉金融资产间的相关变化规律的讨论。针对这一问题,我们用混合相关结构函数Copula对上海、深圳股票市场进行了相关分析研究,用极值分布刻画了每支股票的边缘分布,用两步估计法对Copula中的参数进行了估计。分析结果表明:混合Copula相关结构能够捕捉金融市场间相关性变化规律,比单个Copula相关结构更灵活,更能全面地反映市场间非对称变化的相关程度和模式,此方法还可以推广到对多种金融资产收益率进行相关性分析。 相似文献
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信度是评价量表质量的关键,高质量的量表设计,应该使观测变量与其要测试的潜在变量之间达到最大相关,实践中如何选择相关变量来反映这种相关?针对量表设计的复杂程度不同,建立相关的思路是不同的,从而形成了各自不同的方法. 相似文献
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主要证明了相关Yetter-Drinfel'd Hopf代数上的相关Hopf模结构定理,不仅推广了Yetter-Drinfel'd Hopf代数上的Hopf模结构定理,而且推广了相关Hopf模结构定理.同时,给出相关Yetter-Drinfel'd Hopf代数上的Maschke定理. 相似文献
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We propose a model for reinsurance control for an insurance firm in the case where the liabilities are driven by fractional Brownian motion, a stochastic process exhibiting long-range dependence. The problem is transformed to a nonlinear programming problem, the solution of which provides the optimal reinsurance policy. The effect of various parameters of the model, such as the safety loading of the reinsurer and the insurer, the Hurst parameter, etc. on the optimal reinsurance program is studied in some detail. Copyright © 2007 John Wiley & Sons, Ltd. 相似文献
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On the assumption that investment fund follows the logarithm-normal distribution, the paper derives the forms of proportional and excess-of-loss reinsurance contracts which make the convex combination of the insurer’s rate of return v1 and the reinsurer’s rate of return v2 exceeds R at the probability of f. In the whole paper, the premium takes the expectation principle. 相似文献
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In this paper, the Conditional Value-at-Risk (CVaR) is adopted to measure the total loss of multiple lines of insurance business and two nonparametric estimation methods are introduced to explore the optimal multivariate quota-share reinsurance under a mean-CVaR framework. While almost all the existing literature on optimal reinsurance are based on a probabilistic derivation, the present paper relies on a statistical analysis. The proposed optimal reinsurance models are directly formulated on empirical data and no explicit distributional assumption on the underlying risk vector is required. The resulting nonparametric reinsurance models are convex and computationally amenable, circumventing the difficulty of computing CVaR of the sum of a generally dependent random vector. Statistical consistency of the resulting estimators for the best CVaR is established for both nonparametric models, allowing empirical data to be generated from any stationary process satisfying strong mixing conditions. Finally, numerical experiments are presented to show that a routine bootstrap procedure can capture the distributions of the resulting risk measures well for independent data. 相似文献
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本文对双险种风险模型,在一险种采取比例再保险,另一险种采取超出损失再保险策略下,得到调节系数与再保险自留水平之间的函数关系式,在理赔额为指数分布和Erlang(2)分布的条件下,得到最优比例再保险和超出损失再保险的自留水平,以及调节系数最大值。 相似文献
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In this paper, we study an insurer’s reinsurance–investment problem under a mean–variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative Lévy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthermore, we obtain the explicit equilibrium reinsurance–investment strategy by solving the extended Hamilton–Jacobi–Bellman equation. 相似文献
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This paper investigates optimal reinsurance strategies for an insurer with multiple lines of business under the criterion of minimizing its total capital requirement calculated based on the multivariate lower-orthant Value-at-Risk. The reinsurance is purchased by the insurer for each line of business separately. The premium principles used to compute the reinsurance premiums are allowed to differ from one line of business to another, but they all satisfy three mild conditions: distribution invariance, risk loading and preserving the convex order, which are satisfied by many popular premium principles. Our results show that an optimal strategy for the insurer is to buy a two-layer reinsurance policy for each line of business, and it reduces to be a one-layer reinsurance contract for premium principles satisfying some additional mild conditions, which are met by the expected value principle, standard deviation principle and Wang’s principle among many others. In the end of this paper, some numerical examples are presented to illustrate the effects of marginal distributions, risk dependence structure and reinsurance premium principles on the optimal layer reinsurance. 相似文献
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Alejandro Balbás Beatriz Balbás Antonio Heras 《European Journal of Operational Research》2011,214(3):796-804
The optimal reinsurance problem is a classic topic in actuarial mathematics. Recent approaches consider a coherent or expectation bounded risk measure and minimize the global risk of the ceding company under adequate constraints. However, there is no consensus about the risk measure that the insurer must use, since every risk measure presents advantages and shortcomings when compared with others.This paper deals with a discrete probability space and analyzes the stability of the optimal reinsurance with respect to the risk measure that the insurer uses. We will demonstrate that there is a “stable optimal retention” that will show no sensitivity, insofar as it will solve the optimal reinsurance problem for many risk measures, thus providing a very robust reinsurance plan. This stable optimal retention is a stop-loss contract, and it is easy to compute in practice. A fast linear time algorithm will be given and a numerical example presented. 相似文献
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本文研究了投资影响下的再保险策略,利用有关的线性正倒向随机微分方程,获得投资影响下再保险的自留比例或自留额的计算式子. 相似文献