摘要
在金融、经济和管理等领域经常需要比较不同的风险。相对于常用的VaR和TVaR等风险度量方法而言,基于随机序的风险比较更具全局性。本文首先在损失金额和损失次数模型下,讨论了基于止损序的风险比较问题;然后讨论了保费原理对风险序的保持情况;最后应用累积赔付额数据对本文的理论模型进行了实证检验。
We often need to compare different risks in finance,economics,management and other areas.It's more holistic to use the method of stochastic order than VaR and TVaR on comparing risks.The paper,firstly,discusses the problems of risk comparison under stop-loss order,and its based on the models of Amount of loss and number of loss;then it discusses the maintain condition that premium principle for risk order.At the end of the paper,the theoretical results of the paper are applied to the data of aggregate claim amount.
出处
《兰州商学院学报》
2012年第1期1-6,共6页
Journal of Lanzhou Commercial College
基金
国家自然科学基金项目(71171193)
中国人民大学科学研究基金项目(中央高校基本科研业务费专项资金资助)(10XNI001)
关键词
损失模型
风险比较
止损序
保费原理
loss models
comparison of risks
stop-loss order
premium principle
