基于凸概度分布簇下WCVaR模型的有限逼近性

如何求解实际问题中Worst条件风险值模型是一个非常困难的问题,研究了凸概率分布簇下的WCVaR(Worst Conditional Value-at-Risk)模型等价性及其在序列分布簇下的有限逼近性,根据概率分布簇的VaR测度值,定义了WCVaR风险测度值和对应的WCVaR模型,证明了WCVaR模型等价一个另一个数学规划问题求解.在一定条件下,证明了在损失有界情形用有限个分布簇就可以足够近似计算WCVaR模型的最优解,因此,对于解决稳健型条件风险值模型具重要的实际价值.     

多目标条件风险值问题的等价定理

条件风险值问题是研究信用风险最优化的一种新的模型，本文研究了一类多目标条件风险值问题等价定理，我们引入了多个损失函数在对应的置信水平下关于一个证券组合的α-VaR损失值(最小信用风险值)和α-CVaR损失值(最小信用风险值对应的条件期望损失值或条件风险价值度量)概念，为了求得α-CVaR损失值下的弱：Pareto有效解，我们证明了它等价于求解另一个多目标规划问题的Pateto有效解，这样使得问题的求解变得简单．     

Newton公式和Vieta定理的等价性

利用待定系数法和数学归纳法证明Newton公式和Vieta定理的等价性.     

威尔逊定理的一个等价命题

素数的研究一直是初等数论的一个重要内容，而素数的判定又是其中一个较困难而又具有价值的问题．１７７１年数学家拉格朗日证明了著名的威尔逊定理：“ｐ为素数的充要条件是ｐ能整除（ｐ－１）！＋１．”根据威尔逊定理，可以构造出一个人们梦寐以求的只产生素数且能够产...     

多损失条件风险值的多层规划模型

对于多个损失函数,在给定的置信水平下,首先定义了不超过给定损失值的最小风险值(即Va R值)和基于权值的累积期望损失值(即CVa R损失值)概念,然后建立了一个多损失条件风险值的多层规划模型.该模型的目标是求各层多损失CVa R值达最小的最优策略,并证明了它等价于另一个较容易求解的多层规划模型.最后,给出了三级供应链中多产品的定价与订购的条件风险值模型(三层线性规划模型).     

Markov相依风险模型的等价定理及概率结构

严格定义了Markov相依风险模型.证明了该模型的一个等价定理,使得Markov相依风险模型中的诸过程之间的关系更清晰.获得了Markov相依风险模型的概率结构,构造性地证明了该模型的存在定理.     

关于微分达布(Darboux)定理的等价性

给出了微分达布定理的一个等价定理,证明了它们的等价性     

cauchy-Binet定理与Laplace定理的等价证明

本运用分块矩陈及多元多项式的性质对行列式求值中的Cauchy-Binet定理与Laplace定理给出了等价证明。     

Brouwer不动点定理的等价形式

一.引言和预备知识 Brouwer不动点定理是非线性分析和拓扑学中之一基本定理。半个多世纪以来,人们给出其多种形式的推广和多方面的应用。但是在本文中我们将要证明,截至目前Brouwer不动点定理的许多重要推广都是与之相等价的,而且都等价于集合的紧性。作为这一结果的应用,我们顺便部分解答了Smart所提出的一个公开问题。     

期货套期保值C VaR风险的敏感度分析

把条件风险价值应用于期货组合套期保值的风险管理,分析条件风险价值对期货部位的敏感性.在一般的概率分布下,分空头套期保值和多头套期保值两种情况,导出期货组合套期保值的条件风险价值关于套期比的一阶和二阶变化率,并研究其经济意义.投资者可以根据条件风险价值的敏感度增减期货头寸,把握好用于套期保值的期货量,帮助投资者管理套期保值风险.     

极值理论在高频数据中的VaR和CVaR风险价值研究

高频数据具有与低频数据明显不同的特征。本文引入广义帕雷托分布代替传统的正态分布等,精确描述金融高频数据收益的厚尾特征;并且计算高频数据下的VaR和CVaR,然后利用深成A指数据进行返回检验。两种返回检验方法的结果表明,极值理论方法可以比较精确地度量VaR和CVaR。     

Tail equivalence relationships for ruin probabilities in several risk models

This paper is a further investigation into the ruin probability ψ(x) in several risk models, where x is the initial surplus. Under the assumption that the claim sizes are heavy‐tailed, we get some tail equivalence relationships of ψ(x). Copyright © 2005 John Wiley & Sons, Ltd.     

基于CVaR的最优投资组合模型算法分析

通过引入光滑因子,改进了基于条件风险值(CVaR)的最优投资组合线性模型,并详细介绍了以VaR最小为目标函数的最优投资组合模型的算法设计思想与过程.     

条件Erlang分布的双参数加法定理

X(γ)和Y(k)服从参数(γ,λ)和(k,μ)的Erlang分布且相互独立.本文证明了在X(γ)相似文献   

V@R representation theorems in ambiguous frameworks

The value at risk (V@R) is a very important risk measure with significant applications in finance (risk management, pricing, hedging, portfolio theory, etc), insurance (premium principles, optimal reinsurance, etc), production, marketing (newsvendor problem), etc. It also plays a critical role in regulation about risk (Basel, Solvency, etc), it is very appreciated by practitioners due to its intuitive interpretation, and it is the unique popular risk measure remaining finite for heavy tailed risks with unbounded expectation. Besides, ambiguous frameworks are becoming more and more usual in applications of risk analysis. Lack of data or committed errors may provoke discrepancies between real probabilities and estimated ones. This paper combines both V@R and ambiguous settings, and a new representation theorem for V@R is given. Consequently, inspired by previous studies dealing with coherent risk measures and their representation, we will give new methods to compute and optimize V@R under ambiguity. This seems to be a relevant finding because the analytical properties of V@R are very weak if one compares with a coherent risk measure. Indeed, V@R is neither continuous nor convex, which makes it very complicated to deal with it in mathematical approaches. Nevertheless, the results of this paper will allow us to transform computation and optimization problems involving V@R into continuous and differentiable problems.     

Measuring Risk for Income Streams

A measure of risk is introduced for a sequence of random incomes adapted to some filtration. This measure is formulated as the optimal net present value of a stream of adaptively planned commitments for consumption. The new measure is calculated by solving a stochastic dynamic linear optimization problem which, for finite filtrations, reduces to a deterministic linear programming problem.We analyze properties of the new measure by exploiting the convexity and duality structure of the stochastic dynamic linear problem. The measure depends on the full distribution of the income process (not only on its marginal distributions) as well as on the filtration, which is interpreted as the available information about the future. The features of the new approach are illustrated by a numerical example.     

条件Erlang分布双参数加法定理的推广

X(m)和Y(k)服从参数(m,λ)和(k,μ)的Erlang分布且相互独立.证明了在X(m)相似文献   

基于M-CVaR的供应链收益共享契约协调研究

基于收益共享契约能有效改善供应链运作效率且实践中不仅存在风险中性、厌恶型,还存在风险喜好型供应链成员。运用均值-条件风险价值统一度量决策者的风险喜好、中性及厌恶水平,并据此研究考虑决策者风险偏好水平的供应链收益共享契约协调问题。首先建立零售商及供应链整体的均值-条件风险价值模型;然后研究考虑决策者风险偏好水平的供应链收益共享契约协调问题;最后讨论供应链成员的风险偏好水平对最优订购量及最优批发价格的影响,并通过数值算例进行验证。结果表明产品的最优批发价格随着零售商悲观系数的增大而减小,随着供应商悲观系数的增大而增大,而最优订购量随着零售商悲观系数的增大而减小,亦随着供应商悲观系数的增大而减小。因此,设计供应链收益共享契约时应考虑成员的风险偏好水平。     

On the equivalence of Rolle's and generalized mean value theorems on time scales

In this note, by using elementary calculus on time scales, we recall the direct proof of the equivalence between Rolle's and generalized (Cauchy's) mean value theorems on time scales.