期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

非负随机变量函数凸序与投资组合的风险值 被引量：2

Function Convex Order of Non-negative Random Variables and Portfolio Value at Risk
下载PDF
导出
摘要 引进非负随机变量函数凸序研究随机资产的风险值(VaR),证明了任意随机资产组合的风险不会超过其各个随机资产的风险值之和,给出了投资组合的风险值上界. The function convex order of non-negative random variables is introduced for risk assets value （VaR）. The conclusion is that the portfolio risk value can not exceed the sum of individual risk assets values. The upper bound of portfolio risk value is also given.
作者 夏亚峰 周小兴 朱丽华
机构地区 兰州理工大学理学院 福建省泉州市河市中学
出处 《甘肃科学学报》 2007年第3期40-43,共4页 Journal of Gansu Sciences
基金 甘肃省教育厅硕士点基金项目(0603-07) 兰州理工大学优秀青年基金联合资助
关键词 函数凸序 凸序 投资组合 VAR function convex order convex order portfolio VaR
分类号 O223 [理学—运筹学与控制论]
  • 相关文献

参考文献8

二级参考文献33

  • 1[1]Shaked M, Shanthikumar. Stochastic Orders and Their Applications[M]. Boston: Academic press, 1994.
  • 2[2]Chang Kuo-Hwa. Stochastic orders of the sums of two exponential random variables[J]. Statistics and Probability Letters, 2001, 51(4): 389～396.
  • 3[4]Szekli R. Stochastic Ordering and Dependence in Applied Probability[M]. Lecture Notes in Statistics 97. New York, Berlin, Heidelberg: Springer, 1995.
  • 4[1]Shaked, M. , Shanthikumar, J. G. , Stochastic Orders and Their Aplications, Academic Press,New York, 1994.
  • 5[2]Denneberg, D. , Non-additive Measure and Integral, Kluwer Academic Publishers,Boston,1994.
  • 6[3]Dhaene, J. , Denuit, M. , Goovaerts, J. , Kass, R. , Vyncke D. The concept of comonotonicity in actuarial science and finance: theory, Insurance: Mathematics and Economics, 31 (2002), 3-33.
  • 7[4]Dhaene, J. , Denuit, M. , Goovaerts, J. , Kass, R. , Vyncke, D. , The concept of comonotonicity in actuarial science and finance: applications, Insurance: Mathematics and Economics, 31 (2002), 133-161.
  • 8[5]Wang, S. , Dhaene, J. , Comonotonicity, correlation order and stop-loss premiuns, Insurance:Mathematics and Economics, 22( 1998), 235-243.
  • 9[6]Wang, S. , Young, V. , Order risks : expected utility versus Yaari's dualtheory of choic under risk.Insurance : Mathematics and Economics, 22( 1998), 145-162.
  • 10邓永录，随机模型及其应用，1993年

共引文献19

同被引文献13

  • 1Barlow, Prosehan F. Statistical Theory of Reliability and Life Testing[ M]. To Begin with, Silver Spring, MD, 1975.
  • 2C D Lai, M Xie. Stochastic Ageing and Dependence for Reliability[M]. Berlin, Springer, 2006.
  • 3Hu Tai-zhong, Wei Ying. Stochastic Comparisons of Spacings from Restricted Families of Distribution[J]. Statistic and Probability Letters, 1997,53:91-99.
  • 4Kochar, Subhash C. On Stochastic Orderings Between Distribution and their Sample Spacings[J]. Statistic Probability Letters, 1999,42:345-352.
  • 5Shaked,Shanthikumar. Stochastic Order[M]. Berlin:Springer, 2007.
  • 6Sheldon M Ross. Stochastic Processes[M]. Berlin: Springer, 1996.
  • 7Xu Mao-chao, Li xiao-hu. Likelihood Ratio Order of m-spacings for two Samples[J]. Journal of Statistical Planning and Inference, 2006,136:4 250-4 258.
  • 8[1]Grandell.J.Aspects of Risk Theory[M].New York:Springer-Verlag,1991.
  • 9[3]He Yuan-jiang,Li Xu-eheng,John Zhang.Some Results of Ru-in Probability for the Classical Risk Process[J].Jourual of ap-plied mathematics and decisions sciences,2003,7(3):133-146.
  • 10[4]Kim C Yuen.On the renewal risk process with stochastic interest[J].Mathematic and Economics,2006,116(10):1 496-1 510.

引证文献2

二级引证文献8

甘肃科学学报
2007年 第3期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部