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期刊论文 [8]
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Systemic risk statistics with scenario analysis
期刊论文
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2019, 卷号: 48, 期号: 14
作者:
Chen, Yanhong
;
Hu, Yijun
收藏
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浏览/下载:6/0
  |  
提交时间:2019/12/05
Convexity
data-based systemic risk measures
positive homogeneity
scenario analysis
systemic risk statistics
91B30
91B32
91B70
Necessary and Sufficient Optimality Conditions for Regular-Singular Stochastic Differential Games with Asymmetric Information
期刊论文
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2018, 卷号: 179, 页码: 501-532
作者:
Wang, Yan
;
Wang, Lei
;
Teo, Kok Lay
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  |  
浏览/下载:14/0
  |  
提交时间:2019/12/02
Necessary optimality conditions
Sufficient optimality conditions
Regular-singular control
Stochastic differential game
Asymmetric information
Saddle point
Nash equilibrium
Optimal investment
Dividend
Model uncertainty
91G80
91A15
91A23
93E20
60J75
91B28
91B30
The relations among the three kinds of conditional risk measures
期刊论文
Science China Mathematics, 2014, 卷号: 57, 期号: 8, 页码: 1753-1764
作者:
Guo TieXin*
;
Zhao ShiEn
;
Zeng XiaoLin
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/03
random normed module
countable concatenation property
L∞(E)-conditional risk measure
Lp(E)-conditional risk measure (1 ⩽ p < + ∞)
LFp(E)-conditional risk measure (1 ⩽ p ⩽ +∞)
extension
46A22
46A25
46H25
91B16
91B30
91B70
On a discrete-time risk model with general income and time-dependent claims.
期刊论文
Journal of Computational and Applied Mathematics, 2014, 卷号: Vol.260, 页码: 470-481
作者:
Liu, He
;
Bao, Zhenhua
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浏览/下载:4/0
  |  
提交时间:2019/02/27
62P05
91B30
The Finite Time Ruin Probability of a New Risk Model Based on Entrance Process
期刊论文
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2013, 卷号: 42, 期号: 2, 页码: 336-345
作者:
Xiao, HM
;
Li, ZH
;
Liu, WW
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  |  
浏览/下载:5/0
  |  
提交时间:2015/12/16
Insurance risk process
Long-tailed and light-tailed distributions
Non homogeneous Poisson process
Ruin probability
Subexponential distributions
91B30
60G70
Dividend Payments in a Risk Model Perturbed by Diffusion with Multiple Thresholds
期刊论文
Stochastic Analysis and Applications, 2013, 卷号: Vol.31 No.6, 页码: 1097-1113
作者:
Jiang, Wuyuan
;
Yang, Zhaojun
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浏览/下载:3/0
  |  
提交时间:2020/01/05
62P05
91B30
Dividend payments
Integro-differential equations
Multiple thresholds
Perturbed process
Phase-type distribution
Ruin probabilities in the risk process with random income
期刊论文
Acta Mathematicae Applicatae Sinica, 2008, 卷号: Vol.24 No.2, 页码: 195-202
作者:
Zhen-hua Bao
;
Zhong-xing Ye
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  |  
浏览/下载:5/0
  |  
提交时间:2019/02/27
Beekman
convolution
formula
Defective
renewal
equation
Ruin
probability
Zero-truncated
geometric
distribution
91B30
The deficit at ruin in the Sparre Andersen model with interest
期刊论文
Journal of Applied Mathematics and Computing, 2007, 卷号: Vol.23 NO.1-2, 页码: 87-99
作者:
Zhen-Hua Bao
;
Zhong-Xing Ye
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  |  
浏览/下载:3/0
  |  
提交时间:2019/02/27
91B30
Sparre
Andersen
model
deficit
at
ruin
interest
force
upper
bounds
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