A class of Erlang(2) risk model with dependence between claim sizes and claim intervals;
理赔量和理赔间隔时间相依的Erlang(2)风险模型
In reliability theory,the independence is a particular state of the dependence.
在可靠性理论中,部件相互独立是相依的特殊情况。
In this paper,the classical risk model is generalized as a dependent risk model with bonus line,in which the arrival of term policies follows a Poisson process and the arrival of the claims follows a p-thinning process of the arrival of term policies.
将古典风险模型推广为带线性红利的一类相依风险模型。
This paper show the bounds of the Value-at-Risk for functions of dependent risks using copulas and measure the VaR of return ratio of Shanghai and Shenzhen Stock Market.
copula(连结函数)已经成为风险管理领域强有力的工具,该文利用copula手段给出了相依风险函数Ψ(X1,…,Xn)的最优界,并对沪、深两市的收益率风险进行了实证分析,把Laplace分布作为边际分布计算出了相应的上界和下界,最后讨论了不同类的copula以及参数选取对界的影响。
We consider a risk model with dependent two classes,where the claim number process of the first class is Erlang(2) process,and the second is its p-thinning process.
研究了一类相依的双险种风险模型,其中第一类险种的索赔到达计数过程为E lang(2)过程,第二类险种的索赔到达计数过程为其p-稀疏过程。
An M/Ej/1 multiple vacation queue system with balking and state-dependent service rate is studied.
研究了带有止步和状态相依服务率的M/Ej/1多重休假排队系统,主要在多重休假排队系统中增加了止步和状态相依两个因素。
Study on the Dependence of Random Variables from ARCH;
ARCH过程的相依性研究
The dependence between random variables is based on the relationship between concordances of random variables,which only weighs under the condition that the covariance of two random variables is larger or equal to zero.
在可靠性中,可以利用随机变量之间的相协关系来刻画随机变量之间的相依性,但相协的概念并不完善,针对这个问题,提出了负相协的定义,给出了负相协的性质,最后对负相协和负象限两种相依关系进行了研究。
The bank′s losses caused by operational risk present obvious fat tail and tail dependence.
针对银行操作风险损失分布的厚尾性和损失事件之间的尾部相依性,首先用单变量极值理论建立了单个损失事件计量模型,然后用多变量极值的连接函数反映了损失事件之间的尾部相依性,避免了计量中对银行操作风险的低估和对监管资本要求高估。
Text gives a general way of determining copula dependence structure,and real data in China stock market is analyzed.
提出了中国股市测定copula相依结构的一般方法,并结合中国股市的实际数据作了分析。