排序方式: 共有145条查询结果,搜索用时 31 毫秒
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基于时变Copula模型,获得预测方差,确定单个基金收益率序列的边缘分布.利用常见的静态Copula和时变Copula模型对基金收益率序列间两两相依关系进行建模并进行对比分析.应用研究表明,基于MCMC方法的时变Copula模型能更有效地度量基金收益率序列的风险. 相似文献
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This article considers a co-reinsurance strategy that (1) protects insurance companies against catastrophic risks; (2) enables insurers to gather sufficient information about the different risk attitudes of reinsurers and diversify their reinsured risks; (3) enables insurers to create better risk-sharing profiles by balancing the risk tolerances of reinsurers; (4) has the benefit of allowing reinsurers to accumulate experience with risks with which they are unfamiliar; (5) reduces the overall direct cost of a reinsurance contract; (6) allows a government to back some insurance products, such as the terrorism insurance programs that were established in many countries after the September 11th terrorist attacks; and (7) reflects the practical reinsurance industry of some countries, such as Iran. Such a co-reinsurance strategy can be fully determined by estimating its parameters whenever three optimal criteria are satisfied and prior information about the unknown parameters is available. Two simulation-based studies have been conducted to demonstrate (1) the practical applications of our findings and (2) the possible impact of any type of dependency between the co-reinsurance’s parameters and the evaluated optimal co-reinsurance strategy. 相似文献
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Dynamic hedging used to mitigate the financial risks associated with large portfolios of variable annuities requires calculating partial dollar deltas on major market indices. Metamodeling approaches have been proposed in the past few years to address the computational issues related to the calculation of partial dollar deltas. In this paper, we investigate whether the additional complication of modeling the dependence between the partial dollar deltas improves the accuracy of the metamodeling approaches. We use several copulas to model the dependence structures of the partial dollar deltas and conduct numerical experiments to compare different metamodels. Despite the evidence of strong dependence in the estimated models, our numerical results show that modeling the dependence structures in the metamodels does not improve the accuracy of the estimations at the portfolio level. This is because the dependence between the partial dollar deltas is well captured by the covariates used in the marginal models. This finding suggests that we should focus more on marginal models than specifying the dependence structure explicitly. 相似文献
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Random sets are set-valued random variables. They have been applied in various fields like stochastic geometry, statistics, economics, engineering or computer science, and are often used for modeling uncertainty. In an earlier paper the author has defined joint capacity and joint containment functionals which are multivariate set functions describing the joint distribution of random sets. This paper is concerned with the question how copulas can be used to describe or model the dependence of random sets. It is demonstrated that a joint containment functional can be related to its margins by a family of copulas. Furthermore, the paper provides a first insight how copulas can be used to define joint containment functionals. 相似文献
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The management of Operational Risk has been a difficult task due to the lack of data and the high number of variables. In
this project, we treat operational risks as multivariate variables. In order to model them, copula functions are employed,
which are a widely used tool in finance and engineering for building flexible joint distributions. The purpose of this research
is to propose a new methodology for modelling Operational Risks and estimating the required capital. It combines the use of
graphical models and the use of copula functions along with hyper-Markov law. Historical loss data of an Italian bank is used,
in order to explore the methodology’s behaviour and its potential benefits.
相似文献
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Tail Dependence Comparison of Survival Marshall–Olkin Copulas 总被引:1,自引:0,他引:1
Haijun Li 《Methodology and Computing in Applied Probability》2008,10(1):39-54
The multivariate tail dependence describes the amount of dependence in the upper-orthant tail or lower-orthant tail of a multivariate
distribution and can be used in the study of dependence among extreme values. We derive an explicit expression of tail dependence
of multivariate survival Marshall–Olkin copulas, and obtain a sufficient condition under which tail dependencies of two survival
Marshall–Olkin copulas can be compared. Some examples are also presented to illustrate our results.
相似文献
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This paper presents a novel four-stage algorithm for the measurement of the rank correlation coefficients between pairwise financial time series. In first stage returns of financial time series are fitted as skewed-t distributions by the generalized autoregressive conditional heteroscedasticity model. In the second stage, the joint probability density function (PDF) of the fitted skewed-t distributions is computed using the symmetrized Joe–Clayton copula. The joint PDF is then utilized as the scoring scheme for pairwise sequence alignment in the third stage. After solving the optimal sequence alignment problem using the dynamic programming method, we obtain the aligned pairs of the series. Finally, we compute the rank correlation coefficients of the aligned pairs in the fourth stage. To the best of our knowledge, the proposed algorithm is the first to use a sequence alignment technique to pair numerical financial time series directly, without initially transforming numerical values into symbols. Using practical financial data, the experiments illustrate the method and demonstrate the advantages of the proposed algorithm. 相似文献
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基于TGARCH-t的混合Copula投资组合风险测度研究 总被引:1,自引:0,他引:1
在分析了现有Copula函数在测度投资组合风险不足的情况下,首先充分考虑资产波动的时变性、杠杆效应等特征,选择了TGARCH-t模型进行边缘分布建模.接着引入混合Copula模型来描述投资组合的复杂相关结构,同时利用构造的主对角线距离统计量等方法验证了混合Copula模型的优势.最后通过VaR的蒙特卡洛模拟结果看到,这种方法能更为精确的测度投资组合风险值. 相似文献