关于相依风险的随机比较

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 Title	Stochastic 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 Abstract	This 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
Identifier	https://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.

All comments (0)

[Comments/Objections/Suggestion]

No comment.

The comment function is only available to registered usersLog In

If you have any objections to this item, please fill out the form below and the administrator will contact you as soon as possible.
Content:
Email：	*
Institution:
Verification Code:	Refresh

Any comments and suggestions are welcomed.
Title:	*
Content:
Email：	*
Verification Code:	Refresh

数学与统计学院知识库