兰州大学机构库 >数学与统计学院
关于相依风险的随机比较
Alternative TitleStochastic Comparisons of Dependent Risks
曾宪福
Thesis Advisor李效虎
2010-05-25
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
Keyword边界分布 随机递增序 色散序 剩余财富序 停止损失序
Abstract本文主要探讨了风险间的相依关系对风险组合的影响. 在给定边界 分布函数情况下对相依风险的随机序比较, 包括随机递增序( SI)、相关序(CORR)和超模序(SM)等. 如果一组相依风险以随机递增序小于另一组相依风险, 那么两个风险组合在色散序(DISP)、剩余财富序(EW)和停止损失序(SL)上就存在对应的序关系.
Other AbstractThis paper studies the relation of dependency risks and its impact on the risk portfolio. Stochastic orders with given marginal distributions, including the stochastically increasing order, correlation order and supermodular order are studied. If one group of risks is smaller than another in the stochastically increasing order which with same given marginal distributions, then the two risk protfolios have correspond connection in the dispersive order, excess wealth order and stop-loss order.
URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225333
Collection数学与统计学院
Recommended Citation
GB/T 7714
曾宪福. 关于相依风险的随机比较[D]. 兰州. 兰州大学,2010.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Altmetrics Score
Google Scholar
Similar articles in Google Scholar
[曾宪福]'s Articles
Baidu academic
Similar articles in Baidu academic
[曾宪福]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[曾宪福]'s Articles
Terms of Use
No data!
Social Bookmark/Share
No comment.
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.