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1.
土木工程投标报价风险补偿费用的研究   总被引:4,自引:0,他引:4  
基于模糊集理论,AHP原理以及土木工程投标承包的系统性和程序性特点,建立起工程风险之间存在可依赖性的风险分析模型,为风险补偿费用的确定提供较为科学的依据。  相似文献
2.
Copula convergence theorems for tail events   总被引:3,自引:0,他引:3  
Tail dependence is studied from a distributional point of view by means of appropriate copulae. We derive similar results to the famous Pickands–Balkema–de Haan Theorem of Extreme Value Theory. Under regularity conditions, it is shown that the Clayton copula plays among the family of archimedean copulae the role of the generalized Pareto distribution. The practical usefulness of the results is illustrated in the analysis of stock market data.  相似文献
3.
本文在标准的Black—Scholes框架下,设计了两种路径依赖重置期权。并利用风险中性定价方法讨论了定价问题,得到了价格的解析表达式。  相似文献
4.
本文考虑相关风险序,首先,把Dhaene和Goovaerts于1996年提出的相关序由二维随机向量推广到了多维随机向量的情况;然后,我们讨论了推广的相关序的一些性质;最后作为推论,我们还得到:由相关序可以推出指数序.  相似文献
5.
For a sequence of random variables X 1, ..., X n , the dependence scenario yielding the worst possible Value-at-Risk at a given level α for X 1+...+X n is known for n=2. In this paper we investigate this problem for higher dimensions. We provide a geometric interpretation highlighting the dependence structures which imply the worst possible scenario. For a portfolio (X 1,..., X n ) with given uniform marginals, we give an analytical solution sustaining the main result of Rüschendorf (Adv. Appl. Probab. 14(3):623–632, 1982). In general, our approach allows for numerical computations.   相似文献
6.
The dependence structure in the tails of bivariate random variables is studied by means of appropriate copulae. Weak convergence results show that these copulae are natural dependence structures for joint tail events. The results obtained apply to particular types of copulae such as archimedean copulae and the Gaussian copula. Further, connections to multivariate extreme value theory are investigated and a two-dimensional Pickands–Balkema–de Haan Theorem type is derived. Finally, a counterexample showing that the tail dependence coefficients do not completely determine the dependence structure of bivariate rare events is provided.  相似文献
7.
Given a non-trivial market price of risk, we study the impact of state-dependent cashflow risk on the optimal investment policy and on the ensuing value of an unlevered firm that holds the option of scaling up cashflows from its assets in place upon incurring an irreversible cost. The firm’s investment decision and value are studied as a function of the market price of risk and of the degree of state dependence in cashflow risk.  相似文献
8.
在不同时期的索赔具有自回归相依结构的条件下,给出了累积索赔的前两阶矩,并进一步讨论了在保费计算中的应用.数值算例揭示了相依参数对风险矩以及保险费的影响,表明了保险公司适时开发新业务、淘汰旧业务的必要性.  相似文献
9.
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.  相似文献
10.
We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial and actuarial interest.  相似文献
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