基于极大熵准则的先验分布确定方法

借助于熵的概念，讨论了用极大熵的思想来确定先验分布的几种情形，给出了在各种情形下先验分布的形式和结论，从而提供了确定先验分布的一种有效的方法。     

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Besides the claims data in the past, certain assumptions about the distribution of claimsare required to derive the credibility premium in the classical theory. In the paper, the credibility premium can be calculated via the maximum entropy method if we know nothing about the distribution of claims. Furthermore, two corollaries are obtained under certain assumptions, that is, new claims have more weight than the old ones and the classical credibility formula is a special case of the credibility premium derived in the present paper. Finally, the simulation study is presented to illustrate that the credibility premium in the present paper is better than other models if the mean square error is taken as the evaluation criterion.     

区间概率信息条件下的风险型决策问题的解法探讨

区间概率信息条件下的决策问题是介于不确定型决策与风险型决策之间的一类特殊的决策问题。基于区间概率的定义及其数学特征,利用最大熵准则将区间概率转化为点概率,从而实现了区间概率信息条件决策问题的求解。     

工程设计中约束规划熵方法的收敛性分析

极大熵方法在工程设计优化中得到成功的应用,但它的收敛性分析一直没有得到很好的解决．本文讨论了这个有意义的问题,在一般连续条件下解决了工程设计中的外点极大熵方法和内点极大熵方法的收敛性．     

基于最大熵原理的测量不确定度商概率建模及计算

测量数学模型建立后,测量不确定度评定需考虑输入量的不确定度及分布的传递性.若测量模型为幂指数积模型,通常先将输入量线性化,再采用合成方差的方法计算被测量的不确定度,方法计算简便,但未揭示不确定度随分布传递这一现象.针对问题,首先运用最大熵原理,计算测量仪器分辨力已知时,输入量的概率密度函数,其结果显示输入量服从矩形分布;其次重点推导了输入量与被测量之间为商概率模型时,被测量的概率密度函数、估计值和测量不确定度,并给出不确定度评定的具体步骤;最后利用恒流源测量高精密小电阻实例的对比分析,说明了该不确定度评定模型的可行性和有效性.     

Determination of risk pricing measures from market prices of risk

A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted coherent risk measures and spectral risk measures, we provide a method for reconstructing distortion functions from the observed prices of risk. The technique is based on an appropriate application of the method of maximum entropy in the mean, which builds upon the classical method of maximum entropy.     

基于极大熵投影寻踪组合法的水资源预警评价模型

利用基于极大熵准则赋权和基于实数加速遗传算法的投影寻踪方法相结合的组合附权法确定了各预警指标的权重;采用层次分析法计算水资源可持续利用复合系统中各子系统所占权重;利用综合评价模型计算出哈尔滨市水资源可持续发展指数;最终得到哈尔滨市水资源可持续利用预警结果.     

A method for determining risk aversion functions from uncertain market prices of risk

In Gzyl and Mayoral (2008) we developed a technique to solve the following type of problems: How to determine a risk aversion function equivalent to pricing a risk with a load, or equivalent to pricing different risks by means of the same risk distortion function. The information on which the procedure is based consists of the market prices of the risk. Here we extend that method to cover the case in which there may be uncertainties in the market prices of the risks.     

Practical Stability in the pth Mean of Stochastic Differential Equations with Discontinuous Coefficients

In this paper,we give sufficient conditions to analyze the practical stability in the pth mean of stochastic differential equations with discontinuous coefficients.The Lyapunov-like function plays an important role in analysis.Some numerical computations are carried out to illustrate the theoretical results.     

高技术产业技术创新生态系统健康性评价及关键影响因素分析——基于改进熵值-DEMATEL-ISM组合方法的实证研究

高技术产业技术创新生态系统的健康发展对完善国家创新生态系统至关重要。本研究选取24个系统健康性影响因素,运用改进熵值-DEMATEL-ISM组合方法得出2011~2016年中国省际系统健康性得分,并对健康性关键影响因素及因素间的作用关系予以分析。结果表明,几年间系统健康性得分水平偏低且存在东部优于中部、中部优于西部的区域差异;系统健康性关键影响因素为有研发机构的企业数占比、国际竞争力、市场需求、对人员的吸附能力、知识产权保护、国内竞争力、引进外资和高技术企业数量;关键原因因素借助中层因素的中介传递作用影响关键结果因素最终影响系统健康的9条影响传递路径是关联广泛的主导路径,在改善系统健康性时应优先重视。     

WEIBULL分布步进应力加速寿命试验损伤失效率模型参数的近似极大似然估计和逆矩估计

Bhattacharyya和Soejoeti(1980)对步进应力加速寿命试验提出损伤失效率模型(TFR模型)．本针对TFR模型，对两参数Weibull分布，在步进应力加速试验下给出了参数的近似极大似然估计和逆矩估计，并通过Montr-Carlo模拟考察了估计的精度，比较了各估计的优劣。     

Banach空间中依中间意义渐近非扩张映象具误差的三步平均值迭代序列收敛问题

研究了Banach空间中依中间意义渐近非扩张映象具误差的三步平均值迭代序列收敛问题,所得结果改进和发展了相关文献中的结果.     

On the fundamental convergence in the (C) mean in problems of information fusion

The Choquet integral can be regarded as one of aggregation operators being used in information fusion. In this study, we offer an interpretation of sequences of measurable functions and the Choquet integral in the framework of information fusion. Based on an efficiency measure space, we also define a new concept of a fundamental convergence in the (C) mean of sequences of measurable functions and discuss its theoretical underpinnings along with related interpretation issues as well as deliver some new results. Furthermore, an application of this concept is discussed in the context of information fusion. More specifically, based on the theoretical investigations, this idea is applied to the determination of a measurable function being used in the Choquet integral.     

有效矩估计在中国股票市场的应用研究

对期权定价模型的一类拓展模型-随机波动率(SV)模型,由于模型中存在不可观测的随机波动因素,并且其精确似然函数很难得到,于是提出了一种基于标的资产价格历史数据的有效矩估计(EMM)方法,此方法是把观测数据映射到简化的辅助模型GARCH(1,1)上,并计算辅助模型得分用以建立矩条件,实现SV模型参数的有效估计.利用这一方法对中国股市进行了波动分析,得出了较好的结果.