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91.
92.
用Johnson分布族来计算非线性VaR 总被引:2,自引:1,他引:1
目前,最普遍的风险管理方法是:VaR(Value at Risk含义是风险中的价值)风险测量技术,而该技术在测量包含有非非线性头寸的资产组合回报时,因为资产回报分布已不是正态分布,因而在求组合回报在一定置信水平下的分位数时,遇到了前扎未有的挑战。在这种情况下,局部Mnte-Carlo模拟法被认为是一种较准确的VaR测量方法,但由于其计算的时间长,计算量大,且无法解决伪随机数的休聚性问题等本身缺陷,在实际中也不常用,针对这一情况,Risk Metrics技术小组于1996年就提出以Johnson分布来将回报转换为标准正态分布,但参数估计除对数正态外不存在解析形式,且需要解一个非线性方程组。而本采用分位点估计来估计参数,不但不必要解非线性方程组,计算量上大大减少,而且James F.Slifker等人已经证明分位点估计比矩估计拟合得更好,所以本把它用于VaR计算,并与局部Monte-Carlo模拟法进行了比较。 相似文献
93.
本文提出了一种全新的偿付能力评价模型,即未偿率模型,随后讨论了未偿率模型在各种损失分布情况下的应用.在本文的最后,还讨论了未偿率模型在指数分布利正态分布条件下的一些特殊性质. 相似文献
94.
In most studies on optimal reinsurance, little attention has been paid to controlling the reinsurer’s risk. However, real-world insurance markets always place a limit on coverage, otherwise the insurer will be subjected to under a heavy financial burden when the insured suffers a large unexpected covered loss. In this paper, we revisit the optimal reinsurance problem under the optimality criteria of VaR and TVaR risk measures when the constraints for the reinsurer’s risk exposure are presented. Two types of constraints are considered that have been proposed by Cummins and Mahul (2004) and Zhou et al. (2010), respectively. It is shown that two-layer reinsurance is always the optimal reinsurance policy under both VaR and TVaR risk measures and under both types of constraints. This implies that the two-layer reinsurance policy is more robust. Furthermore, the optimal quantity of ceded risk depends on the confidence level, the safety loading and the tolerance level, as well as on the relation between them. 相似文献
95.
Arzu Boysal 《Proceedings of the American Mathematical Society》2008,136(12):4201-4209
Let be a smooth projective irreducible curve over of genus and let be a set of distinct points on . We fix a nonnegative integer and denote by the moduli space of parabolic semistable vector bundles of rank on with trivial determinant and fixed parabolic structure of type at , where each weight is in . On there is a canonical line bundle , whose global sections are called generalized parabolic -theta functions of order . In this paper we prove the existence of such nonzero nonabelian theta functions, thus establishing a part of higher genus generalizations of the celebrated saturation conjectures.
96.
97.
On-line two-angle (15° and 90°) light scattering measurements with a gel permeation chromatography for linear and branched polystyrene in tetrahydrofuran (a good solvent) and in trans-decalin (a theta solvent) were made and compared with data from a multi-angle light scattering detector and literature values. Theoretically, weight-average molecular weight and the radius of gyration Rg can be determined accurately in the range where Rg2k2 is less than 1.2 (rod)∼1.7 (random coil); here, k is the absolute value of the scattering vector for a right angle detector with the Berry square root method. Molecular weight dependence of the radius of gyration obtained from the two-angle light scattering detector for linear and branched polystyrenes under different thermodynamic conditions were measured and found to be almost the same as values measured with a multi-angle light scattering detector and literature values in the appropriate range of molecular weight. 相似文献
98.
Keiichi Gunji 《Mathematische Zeitschrift》2008,260(1):187-201
In general, it is difficult to determine the dimension of the space of Siegel modular forms of low weights. In particular,
the dimensions of the spaces of cusp forms are known in only a few cases. In this paper, we calculate the dimension of the
space of Siegel–Eisenstein series of weight 1, which is a certain subspace of a complement of the space of cusp forms.
相似文献
99.
厚尾分布的极值分位数估计与极值风险测度研究 总被引:3,自引:1,他引:2
金融数据呈现的厚尾性已达成共识.本文中,我们基于指数回归模型构造了厚尾分布的极值分位数估计,从而得到了VaR的估计公式.作为一个应用,我们得到了上海上证指数和深圳成份指数的VaR的估计值. 相似文献
100.
Recently it has been shown that a two-dimensional model of self-attracting polymers based on attracting segments displays two phase transitions, a θ-like collapse between swollen polymers and a globular state and another between the globular state and a polymer crystal. On the other hand, the canonical model based on attracting monomers on lattice sites displays only one: the standard tricritical θ collapse transition. Here we consider the attracting segment model with the addition of stiffness and show that it displays the same phases as the canonical model. 相似文献