双险种的Cox风险模型

由于保险公司经营规模的不断扩大，险种类型的增多，用古典风险模型及其其它推广的单一险种风险模型来研究其风险经营过程存在着局限性，因而需要建立多险种的风险模型。本文研究了一类两种险种且理赔次数服从Cox过程的模型。得到了破产概率满足推广的Lundberg不等式。以及在特殊情况时ψ（0）的明确表达式。     

一类多险种风险过程的破产概率

由于保险公司风险经营规模的不断扩大,考虑到用单一险种的风险模型来描述风险经营过程的局限性,本文建立了多险种风险模型,并对其中一类特殊的风险模型的破概率进行了研究,给出了初始资本为0时破产概率Ψ（0）的明确表达式,以及初始资本为μ的破产概率Ψ（μ）的近似估计和在某些特殊情形下Ψ（μ）的明确表达式。     

带利率的特殊双险种风险模型的破产概率

研究了保费为一复合随机过程且含利率因素的特殊双险种风险模型,给出了此模型下保险公司稳定经营的必要条件;证明了调节系数的存在性;用鞅方法讨论了此模型的破产概率上界.     

带干扰的多险种Cox风险模型的破产概率

考虑到保险公司在实际经营中收益所具有的不确定性和风险经营的多元化,建立了一个更现实的风险模型即带干扰的多险种Cox风险模型.运用鞅论得到了该模型最终破产概率的上界,并对Lundberg不等式作了推广.     

带干扰的多险种风险模型

由于保险公司风险经营规模不断扩大,用单一险种的模型来描述风险过程存在局限性,本文讨论了带干扰多险种风险模型,应用鞅论方法,得出伦德伯格不等式和最终破产概率公式。     

一类双险种风险过程的破产概率的估计

本文研究了一类双险种风险模型，理赔额均服从指数分布，其中一个险种的保费到达为齐次Poisson过程，给出了最终破产概率的上界和t。时刘之间破产概率的一个上界估计。     

相关风险和模型的破产概率

本文研究了两险种理赔到达过程相关的正风险和模型与负风险和模型.利用Lundberg指数是相关因子的单调递减函数的性质,证明了破产概率是随着相关因子的增加而增大的,从而将相应的结果推广到了两险种理赔到达过程相关的风险和模型.     

常利率复合二项双险种风险模型的研究

提出了含利率因素的复合二项双险种风险模型,并在有关假设的基础上,给出了此模型下保险公司稳定经营的必要条件;证明了索赔时刻的盈余过程是一马氏过程和调节系数的存在性,并采用递归方法得到了模型的破产概率的上界估计.     

一类相依双险种风险模型的罚金折现期望函数

考虑索赔到达具有相依性的一类双险种风险模型,其中第一类险种的索赔计数过程为Poisson过程,第二类险种的索赔计数过程为其p-稀疏过程与广义Erlang(2)过程的和,利用更新论证得到了此风险模型的罚金折现期望函数满足的微积分方程及其Laplace变换的表达式.并就索赔额均服从指数分布的情形,给出了罚金函数及破产概率的精确表达式.     

多险种复合Poisson风险模型和破产概率

经典风险模型只描述了单一险种的经营模式,具有局限性,本文对多险种的复合Poisson风险模型的破产概率进行了研究。本文给出了初始资本为0时破产概率皿（O）的明确表达式,以及理赔量服从指数分布且初始资本为u时破产概率ψ（u）的明确表达式。     

Criterion of semi-Markov dependent risk model

A rigorous definition of semi-Markov dependent risk model is given. This model is a generalization of the Markov dependent risk model. A criterion and necessary conditions of semi- Markov dependent risk model are obtained. The results clarify relations between elements among semi-Markov dependent risk model more clear and are applicable for Markov dependent risk model.     

保险系统中一种推广风险模型的破产概率

将经典复合 Poisson风险模型推广至更为一般情况 ,其中保单以 Poisson分布流到达且收取的保费为随机变量 ,建立一种双复合 Poisson风险模型 .对此模型 ,得到了最终破产概率的一般表达式和破产概率的一个上界估计值 .     

含有背景风险的双目标投资组合模型研究

投资者进行投资实践时无不面临着背景风险。绝大多数以均值方差为框架的投资组合并没有考虑背景风险,其效用在实际应用中容易受到背景风险的影响。本文在含有交易费用的双目标函数模型中引入背景风险,从是否含有背景风险和背景风险偏好度大小两方面对投资组合问题展开研究,并使用智能算法得到模型的最优解,对模型进行实证分析。实证结果表明:1)当背景风险收益为0时,含有背景风险的投资组合比不含有背景风险的投资组合更能反映真实的投资环境。2) 当背景风险收益不为0时,含有背景风险的投资组合比不含有背景风险的投资组合得到更高的收益。因此,考虑背景风险后投资组合的构建优于不考虑背景风险投资组合的构建。     

An integrated approach for risk response development in project planning

The risk response development phase is a major phase in the project risk management process. We present a model that integrates project work contents, risk events, and risk reduction actions and their effects into a comprehensive framework. The model allows the representation of the overlapping effects of multiple risk reduction actions and of the impacts of secondary risk events, and supports the evaluation of the total risk exposure of the project under various combinations of risk reduction actions. The model can be treated with optimisation techniques in order to generate the most cost-effective combination of risk reduction actions. In this work we describe the model, outline a solution procedure and illustrate its application with an example taken from the software industry.     

基于模糊RBF神经网络的单位廉政风险评价研究

廉政风险防控是反腐败工作的新举措,对风险的评价是风险管理中一个不可缺少的流程.首先运用文献研究方法,提出廉政风险评价的初步指标,再运用帕累托理论得到经过约减的指标体系.建立基于模糊RBF神经网络的廉政风险水平评价模型.并在某军区对20个单位的廉政风险水平进行评价,与传统的评价模型相比,模型能够克服评估过程中的随机性和不确定性,以及计算过程中容易陷入局部极小的问题.     

Active allocation of systematic risk and control of risk sensitivity in portfolio optimization

Portfolio risk can be decomposed into two parts, the systematic risk and the nonsystematic risk. It is well known that the nonsystematic risk can be eliminated by diversification, while the systematic risk cannot. Thus, the portfolio risk, except for that of undiversified small portfolios, is always dominated by the systematic risk. In this paper, under the mean–variance framework, we propose a model for actively allocating the systematic risk in portfolio optimization, which can also be interpreted as a model of controlling risk sensitivity in portfolio selection. Although the resulting problem is, in general, a notorious non-convex quadratically constrained quadratic program, the problem formulation is of some special structures due to the features of the defined marginal systematic risk contribution and the way to model the systematic risk via a factor model. By exploiting such special problem characteristics, we design an efficient and globally convergent branch-and-bound solution algorithm, based on a second-order cone relaxation. While empirical study demonstrates that the proposed model is a preferred tool for active portfolio risk management, numerical experiments also show that the proposed solution method is more efficient when compared to the commercial software BARON.     

Ruin probabilities in the discrete time renewal risk model

In this paper, we study the discrete time renewal risk model, an extension to Gerber’s compound binomial model. Under the framework of this extension, we study the aggregate claim amount process and both finite-time and infinite-time ruin probabilities. For completeness, we derive an upper bound and an asymptotic expression for the infinite-time ruin probabilities in this risk model. Also, we demonstrate that the proposed extension can be used to approximate the continuous time renewal risk model (also known as the Sparre Andersen risk model) as Gerber’s compound binomial model has been proposed as a discrete-time version of the classical compound Poisson risk model. This allows us to derive both numerical upper and lower bounds for the infinite-time ruin probabilities defined in the continuous time risk model from their equivalents under the discrete time renewal risk model. Finally, the numerical algorithm proposed to compute infinite-time ruin probabilities in the discrete time renewal risk model is also applied in some of its extensions.     

考虑船舶偏好的海上风险规避路径规划研究

运输船舶在海上航行时,一直面临着来自船舶事故和海盗袭击两方面的潜在威胁,针对上述存在的两种威胁,以及不同船舶对于船舶风险和经济效益的偏好区别,文章提出考虑船舶偏好的海上风险规避路径规划模型来为不同船舶规划最低风险行驶路径。模型首先运用高斯混合模型分别模拟两种潜在威胁的风险分布密度,其次根据不同船舶的偏好区别,综合船舶事故威胁,海盗劫持威胁以及经济效益三方面因素,采取GIS成本距离分析串行算法来得到海上风险规避路径。最后,文章将提出的模型进行了实例应用验证,结果印证了该模型的实用性与科学性。     

Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk

Reverse mortgages provide an alternative source of funding for retirement income and health care costs. The two main risks that reverse mortgage providers face are house price risk and longevity risk. Recent real estate literature has shown that the idiosyncratic component of house price risk is large. We analyse the combined impact of house price risk and longevity risk on the pricing and risk profile of reverse mortgage loans in a stochastic multi-period model. The model incorporates a new hybrid hedonic–repeat-sales pricing model for houses with specific characteristics, as well as a stochastic mortality model for mortality improvements along the cohort direction (the Wills–Sherris model). Our results show that pricing based on an aggregate house price index does not accurately assess the risks underwritten by reverse mortgage lenders, and that failing to take into account cohort trends in mortality improvements substantially underestimates the longevity risk involved in reverse mortgage loans.     

带干扰的保费随机收取的双险种风险模型

推广了已有文献中提出的带干扰的双险种复合负二项风险模型,让保费收取次数服从负二项分布,两类险种的索赔也服从负二项分布,得到了带干扰的保费随机收取的双险种风险模型,给出了破产概率的一般表达式和上界．