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具有投资收益的一个随机风险模型研究
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作者 江涛 《数量经济技术经济研究》 CSSCI 北大核心 2003年第7期64-66,共3页
本文研究了带有收益率的一个离散时间风险模型,得到了在有限时间破产的一个等价公式,所得结果不仅推广了常数利率下经典模型的相应结果,而且便于实际应用。
关键词 投资收益 随机风险模型 离散时间 破产概率 风险投资 保险资金 聚集模型
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保险费随机收取的风险模型 被引量:17
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作者 杨善朝 马翀 谭激扬 《经济数学》 2004年第1期1-5,共5页
对保险费收取次数和每一保单收取的保险费均为随机变量的风险模型进行研究 ,证明了破产概率的一般公式和 L undberg不等式 ,并就指数分布情形给出破产概率的具体计算公式 ,这些结果较好地推广了文献 [5 -
关键词 风险模型 保险费随机收取 破产概率 Lundberg不等式
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随机利率下的风险模型 被引量:1
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作者 张奕 何文炯 《经济数学》 2002年第3期47-52,共6页
本文考虑一种具有随机利率的风险模型。对随机利率则取一般的独立增量过程 ,得到总索赔额精算现值的各阶矩 。
关键词 随机利率 Poisson过程 Wiener过程 风险模型
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完全离散二项风险模型下有限时间内的生存概率 被引量:15
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作者 龚日朝 杨向群 《应用概率统计》 CSCD 北大核心 2001年第4期431-436,共6页
本文用分析方法研究了保险公司在完全离散复合二项风险模型下生存到固定时刻\n,在n恰好发生第k次赔付,而且在时刻n的盈余为某数x(x≥0)的概率公式.由此得到了有限时间内的生存概率公式.
关键词 复合二项风险模型 破产概率 生存概率 母函数 随机风险模型
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复合二项风险模型的破产概率 被引量:50
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作者 龚日朝 杨向群 《经济数学》 2001年第2期38-42,共5页
本文讨论了一般情形的复合二项风险模型,得出了初始资本为0时的破产概率以及初始资本为u≥0的情况下的破产概率的一般公式.
关键词 复合二项风险模型 风险理论 破产概率 随机风险模型 保险事务
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复合二项风险模型的破产概率 被引量:5
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作者 龚日朝 杨向群 《数学理论与应用》 2001年第2期95-99,共5页
本文首次讨论了一般情形的复合二项风险模型 ,考虑了它的一些有关性质 ,得出了初始资本为 0时的破产概率 ,它只与安全负荷系数有关 .最后得出了初始资本为 u≥
关键词 复合二项风险模型 破产概率 经典风险理论 随机风险模型 保险 生存概率
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常利率因素下的复合二项风险模型的破产概率 被引量:2
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作者 李静霞 王永茂 刘宝亮 《统计与决策》 CSSCI 北大核心 2006年第23期6-7,共2页
关键词 复合二项风险模型 最终破产概率 利率因素 LUNDBERG不等式 时间模型 随机风险模型 风险理论 生存概率
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带约束的Markov-modulated风险模型最优分红和注资策略
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作者 岳毅蒙 《轻工学报》 CAS 2016年第5期105-108,共4页
在考虑Markov-modulated风险模型分红约束和交易费用的基础上,以股东的折现分红减去折现注资之差的期望值最大为目标,讨论了模型的最优分红和注资策略问题.由随机控制理论建立HJB方程,得到相应的最优策略为Threshold策略.
关键词 Markov-modulated风险模型随机控制 HJB方程 注资策略 分红策略
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有限时间破产概率的表达式
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作者 江涛 雷鸣 《统计与决策》 CSSCI 北大核心 2007年第16期30-32,共3页
本文研究了具有随机收益率的一类离散风险模型。在净损失额为Pareto分布、随机收益率分别为均匀分布、Pareto分布与Weibull分布的情况下,采取有限部分推导与随机模拟相结合的方法,对此类问题的有限时间破产概率的渐近表达公式进行了探... 本文研究了具有随机收益率的一类离散风险模型。在净损失额为Pareto分布、随机收益率分别为均匀分布、Pareto分布与Weibull分布的情况下,采取有限部分推导与随机模拟相结合的方法,对此类问题的有限时间破产概率的渐近表达公式进行了探索性研究,提供了获取未知渐近表达式的一个行之有效的实验方法。 展开更多
关键词 随机收益率 随机风险模型 有限时间的破产概率 帕雷托型分布
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破产理论与股票定价
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作者 董作文 《中国商界》 2011年第2期-,共1页
风险理论主要处理保险事务中的随机风险模型.研究这些风险模型的破产概率即为破产理论,它是保险精算数学的研究内容.本文利用破产理论对股票的价格作出了预测.
关键词 破产理论 随机风险模型 研究内容 破产概率 精算数学 风险理论 保险事务 预测 价格 股票 处理
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Meta-analysis of effects of obstructive sleep apnea on the renin-angiotensinaldosterone system 被引量:42
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作者 Ze-Ning JIN Yong-Xiang WEI 《Journal of Geriatric Cardiology》 SCIE CAS CSCD 2016年第4期333-343,共11页
Background Obstructive sleep apnea (OSA) is the most common cause of resistant hypertension, which has been proposed to result from activation of the renin-angiotensin-aldosterone system (RAAS). We meta-analyzed t... Background Obstructive sleep apnea (OSA) is the most common cause of resistant hypertension, which has been proposed to result from activation of the renin-angiotensin-aldosterone system (RAAS). We meta-analyzed the effects of OSA on plasma levels of RAAS components. Methods Full-text studies published on MEDL1NE and EMBASE analyzing fasting plasma levels of at least one RAAS component in adults with OSA with or without hypertension. OSA was diagnosed as an apnea-hypopnea index or respiratory disturbance index 〉 5. Study quality was evaluated using the Newcastle-Ottawa Scale, and heterogeneity was assessed using the 12 statistic. Results from individual studies were synthesized using inverse variance and pooled using a random-effects model. Subgroup analysis, sensitivity analysis, and meta-regression were performed, and risk of publication bias was assessed. Results The meta-analysis included 13 studies, of which 10 reported results on renin (n = 470 cases and controls), 7 on angiotensin II (AnglI, n = 384), and 9 on aldosterone (n = 439). AnglI levels were significantly higher in OSA than in controls [mean differences = 3.39 ng/L, 95% CI: 2.00-4.79, P 〈 0.00001], while aldosterone levels were significantly higher in OSA with hypertension than OSA but not with hypertension (mean differences = 1.32 ng/dL, 95% CI: 0.58-2.07, P = 0.0005). Meta-analysis of all studies suggested no significant differences in aldosterone between OSA and controls, but a significant pooled mean difference of 1.35 ng/mL (95% CI: 0.88-1.82, P 〈 0.00001) emerged after excluding one small-sample study. No significant risk of publication bias was detected among all included studies. Conelusions OSA is associated with higher AnglI and aldosterone levels, espe- cially in hypertensive patients. OSA may cause hypertension, at least in part, by stimulating RAAS activity. 展开更多
关键词 HYPERTENSION Obstructive sleep apnea Renin-angiotensin-aldosterone system
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Analysis of Prognostic Factors of Esophageal and Gastric Cardiac Carcinoma Patients after Radical Surgery Using Cox Proportional Hazard Model-A Random Sampling Study from the Fourth Hospital of Hebei Medical University during the Period of 1996-2004
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作者 Wei Liu Xishan Hao +12 位作者 Qian Fan Peizhong Wang Haixin Li Linan Song Shijie Wang Ying Jin Yong Chen Liyun Guan Yumin Ping Xianli Meng Rui Wang Junfeng Liu Xiaoling Wang 《Clinical oncology and cancer researeh》 CAS CSCD 2009年第4期290-295,共6页
OBJECTIVE To retrospectively analyze clinical data of patientsfrom our hospital who underwent radical surgery for esophagealcarcinoma and for adenocarcinoma of the gastric cardia,as well asto investigate prognostic fa... OBJECTIVE To retrospectively analyze clinical data of patientsfrom our hospital who underwent radical surgery for esophagealcarcinoma and for adenocarcinoma of the gastric cardia,as well asto investigate prognostic factors affecting the long-term survival ofthe patients.METHODS Data from the patients eligible for our study,admitted to the 4th Hospital of Hebei Medical University fromJanuary 1996 to December 2004,were randomized,and 12distinctive clinicopathologic factors influencing the survival rateof those who underwent radical surgery for esophageal carcinomaor carcinoma of the gastric cardia were collected.Univariate andmultivariate analysis of these individual variables were performedusing the Cox proportional hazard model.RESULTS It was shown by univariate analysis that age,tumorsize,pathologic type,lymph node status,TNM staging,depthof infiltration and encroachment into local organs,etc.,were thefactors that markedly influenced the prognosis of patients(P<0.01).Multivariate analysis showed that pathologic type,numberof the lymph node metastases,involvement of local organs,andTNM staging were independent prognostic factors(P<0.05).CONCLUSION The independent factors influencing theprognosis of patients with esophageal cancer and carcinoma ofthe gastric cardia include pathologic type,number of lymph nodemetastases,involvement of local organs and TNM staging.Themain prognostic factors affecting the patient's survival are patientage,tumor size and depth of infiltration.In addition,patients withinvolvement of the local organs have a worse prognosis,and theyshould be closely followed up. 展开更多
关键词 esophageal carcinoma carcinoma of gastriccardia Cox model prognosis.
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Jackknifed random weighting for Cox proportional hazards model
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作者 LI Xiao 1 ,WU YaoHua 2,& TU DongSheng 1 1 Cancer Research Institute,Queen’s University,Kingston,Ontario K 7L 3N6,Canada 2 Department of Finance and Statistics,University of Science and Technology of China,Hefei 230026,China 《Science China Mathematics》 SCIE 2012年第4期775-786,共12页
The Cox proportional hazards model is the most used statistical model in the analysis of survival time data.Recently,a random weighting method was proposed to approximate the distribution of the maximum partial likeli... The Cox proportional hazards model is the most used statistical model in the analysis of survival time data.Recently,a random weighting method was proposed to approximate the distribution of the maximum partial likelihood estimate for the regression coefficient in the Cox model.This method was shown not as sensitive to heavy censoring as the bootstrap method in simulation studies but it may not be second-order accurate as was shown for the bootstrap approximation.In this paper,we propose an alternative random weighting method based on one-step linear jackknife pseudo values and prove the second accuracy of the proposed method.Monte Carlo simulations are also performed to evaluate the proposed method for fixed sample sizes. 展开更多
关键词 Cox proportional hazards model JACKKNIFE random weighting second-order accuracy simulations survival data
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On a Dual Risk Model Perturbed by Diffusion with Dividend Threshold 被引量:1
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作者 Hui ZHI Jiangyan PU 《Chinese Annals of Mathematics,Series B》 SCIE CSCD 2016年第5期777-792,共16页
In the dual risk model, the surplus process of a company is a L′evy process with sample paths that are skip-free downwards. In this paper, the authors assume that the surplus process is the sum of a compound Poisson ... In the dual risk model, the surplus process of a company is a L′evy process with sample paths that are skip-free downwards. In this paper, the authors assume that the surplus process is the sum of a compound Poisson process and an independent Wiener process. The dual of the jump-diffusion risk model under a threshold dividend strategy is discussed. The authors derive a set of two integro-differential equations satisfied by the expected total discounted dividend until ruin. The cases where profits follow an exponential or mixtures of exponential distributions are solved. Applying the key method of the Laplace transform, the authors show how the integro-differential equations are solved. The authors also discuss the conditions for optimality and show how an optimal dividend threshold can be calculated as well. 展开更多
关键词 exponential surplus admissible assume Laplace Poisson until Wiener derive continuity
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Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
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作者 ZHU ChunHua GAO QiBing LIN JinGuan 《Science China Mathematics》 SCIE CSCD 2015年第5期1079-1090,共12页
Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail proba... Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of extended regular variation, we obtain an asymptotically equivalent formula which holds uniformly for all time horizons, and furthermore, the same asymptotic formula holds for the finite-time ruin probabilities. The results extend the works of Tang et al.(2010). 展开更多
关键词 renewal risk models ASYMPTOTICS Levy process UNIFORMITY extended regular variation
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