| 基于蒙特卡罗模拟的供应链风险估计研究 |
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| 引用本文： | 陈敬贤,施国洪,程发新.基于蒙特卡罗模拟的供应链风险估计研究[J].数学的实践与认识,2011,41(13). |
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| 作者姓名： | 陈敬贤 施国洪 程发新 |
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| 作者单位： | 1. 南通大学商学院,江苏南通,226019
2. 江苏大学工商管理学院,江苏镇江,212013 |
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| 基金项目： | 国家社会科学基金青年项目(10CGL025); 江苏省高校哲学社会科学基金(2010SJB630055); 江苏省高校青蓝工程优秀青年骨干教师基金(苏教师2010第27号) |
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| 摘 要： | 以市场需求波动风险为例,基于蒙特卡罗模拟研究了供应链风险估计问题.首先,对市场需求波动风险及其损失度量进行理论分析,利用市场需求波动风险情境下的供应链系统库存成本损失来度量市场需求波动风险的损失.其次,选择供应链末端需求为蒙特卡罗方法待模拟的随机变量,基于需求建立了市场需求波动风险概率测度模型和风险损失度量模型,确定了市场需求波动风险概率和风险损失为需求的相关量.然后,通过实例的仿真求解验证了模型.最后,给出了利用本模型方法进行供应链风险估计时需要注意的问题及进一步研究的问题.研究表明:蒙特卡罗方法对供应链风险估计具有较强的鲁棒性.
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| 关 键 词： | 供应链 风险估计 风险概率 风险损失 蒙特卡罗模拟 |
Research of Supply Chain Risk Estimation by Monte Carlo Simulation |
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| CHEN Jing-xian,SHI Guo-hong,CHENG Fa-xin.Research of Supply Chain Risk Estimation by Monte Carlo Simulation[J].Mathematics in Practice and Theory,2011,41(13). |
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| Authors: | CHEN Jing-xian SHI Guo-hong CHENG Fa-xin |
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| Institution: | CHEN Jing-xian~1,SHI Guo-hong~2,CHENG Fa-xin (1.School of Business,Nantong University,Nantong 226019,China) (2.School of Business Administration,Jiangsu University,Zhenjiang 212013,China) |
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| Abstract: | Taking the demand fluctuation risk as example,this paper addresses the risk estimation of the supply chain by Monte Carlo approach.Firstly,we analyze the supply chain demand fluctuation risk,then choose the inventory cost loss of the supply chain system to measure the demand fluctuation risk loss.Secondly,we choose the demand of the supply chain as the vector which will be simulated by Monte Carlo approach.Then,this paper establish the measurement model of the risk probability and the risk loss.Thirdly,we t... |
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| Keywords: | supply chain risk estimation risk probability risk loss Monte Carlo simulation |
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