| 基于混合模型对地震巨灾风险的分析 |
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| 引用本文： | 李云仙,董志伟,钱振伟.基于混合模型对地震巨灾风险的分析[J].数理统计与管理,2017(4):571-579. |
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| 作者姓名： | 李云仙 董志伟 钱振伟 |
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| 作者单位： | 1. 云南财经大学金融学院保险系,云南昆明,650221;2. 云南财经大学巨灾风险管理研究中心,云南昆明,650221 |
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| 基金项目： | 国家社科项目(11101432)，国家自科项目(71263056) |
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| 摘 要： | POT模型常被用于分析巨灾风险,然而在应用POT模型时,阀值的估计及选择存在很多困难。本文提出用混合模型对巨灾风险进行估计,并讨论混合模型的贝叶斯统计分析。基于混合模型及贝叶斯统计方法,本文对我国1966年至2014年问GDP调整后的地震直接经济损失进行分析,并根据最终模型计算出不同置信度水平下的VaR值和ES值,为我国地震巨灾风险管理提供了理论依据。
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| 关 键 词： | 巨灾风险 混合模型 贝叶斯方法 MCMC算法 |
Mixture Model and Its Application in Analyzing Earthquake Catastrophic Risk |
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| LI Yun-xian,DONG Zhi-wei,QIAN Zhen-wei.Mixture Model and Its Application in Analyzing Earthquake Catastrophic Risk[J].Application of Statistics and Management,2017(4):571-579. |
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| Authors: | LI Yun-xian DONG Zhi-wei QIAN Zhen-wei |
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| Abstract: | POT model is widely used in analyzing catastrophic risk.However,it is difficult for the estimating and selection of the threshold in POT model.In this paper,a mixture model is proposed to evaluate catastrophic risk.Bayesian approach is applied to estimate the mixture model.Based on the proposed model and method,the adjust-GDP loss data caused by earthquake are analyzed.The data are collected from 1966 to 2014 in China.After estimating the fitted model,the VaR and ES are calculated.Catastrophic risk management strategies for earthquake disaster can be obtained according to the VaR and ES. |
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| Keywords: | catastrophic risk mixture model Bayesian approach MCMC algorithm |
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