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| 引用本文： | 章溢,周东琼,温利民. ָ��-٤��ģ�������ռ�ֵ�����ı�Ҷ˹����[J]. 应用概率统计, 2015, 31(1): 46-56 |
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| 作者姓名： | 章溢 周东琼 温利民 |
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| 作者单位： | ???????????????????????, ????????????????, ??????????????????? |
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| 摘 要： | VaR风险度量在金融、保险中有重要的应用.本文建立了贝叶斯模型, 在某种损失函数下研究了VaR风险度量的贝叶斯估计.证明了指数-伽马分布下贝叶斯估计的强相合性和渐近正态性,最后利用数值模拟的方法验证了不同样本容量下估计的收敛速度.
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| 关 键 词： | ?????????? ???????? ??????? ?????? ?????????. |
Bayesian Estimation of Value at Risk Measure under Exponential-Gamma Models |
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| Zhang Yi,Zhou Dongqiong,Wen Limin. Bayesian Estimation of Value at Risk Measure under Exponential-Gamma Models[J]. Chinese Journal of Applied Probability and Statisties, 2015, 31(1): 46-56 |
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| Authors: | Zhang Yi Zhou Dongqiong Wen Limin |
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| Affiliation: | School of Mathematics and Information Science, Jiangxi Normal University; Science Teaching Department in Jiangxi University of Technology; School of Information Management, Jiangxi University of Finance and Economics |
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| Abstract: | VaR measure has important applications in finance and insurancepractice. In this paper, the Bayesian models are established. Under some loss function,the Bayeian estimate of VaR is derived. In addition, we prove the strongly consistencyand asymptotic normality for the Bayesian estimation of VaR under exponential-Gamma model.Finally, the numerical simulation is done to verify the convergence rate of the estimateof VaR with different sample sizes. |
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