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It is our great honor to welcome you to the 2017 Service System Engineering Conference & 2017 Symposium on Analytics and Risk, hosted jointly by Tongji University, the Society of System Engineering in...
A clearing member of a Central Counterparty (CCP) is exposed to losses on their default fund and initial margin contributions. Such losses can be incurred whenever the CCP has insufficient funds to un...
From Risk Measures to Research Measures
Bibliometric Indices Citations Risk Measures Scientic Impact Measures Calibration Duality
2012/6/4
In order to evaluate the quality of the scientific research, we introduce a new family of scientific performance measures, called Scientific Research Measures (SRM). Our proposal originates from the m...
Large deviations for a mean field model of systemic risk
mean field large deviations systemic risk dynamic phase transitions
2012/4/28
We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. There are three param...
Comparative and qualitative robustness for law-invariant risk measures
Law-invariant risk measure convex risk measure coherent risk measure Orlicz space qualitative robustness comparative robustness
2012/4/28
When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel's classical notion of qualitative robustness is...
BSDEs in Utility Maximization with BMO Market Price of Risk
BSDEs BMO Market Price of Risk
2011/7/20
This article studies quadratic semimartingale BSDEs arising in power utility maximization
when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...
Quantum Financial Economics - Risk and Returns
Quantum Financial Economics Multifractal Self-Organized Criticality Quantum Chaotic Volatility
2011/7/19
Financial volatility risk is addressed through a multiple round evolutionary quantum game equilibrium leading to Multifractal Self-Organized Criticality (MSOC) in the financial returns and in the risk...
Quantifying mortality risk in small defined-benefit pension schemes
Small dened-benet pension scheme mortality risk idiosyncratic risk systematic risk Euler capital allocation principle stochastic mortality coecient of variation
2011/7/19
A risk of small dened-benet pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to eectively pool mortality risk. This mea...
One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance Reserve risk Claims Development Result Bootstrap method Tail factor Prediction error Solvency II
2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance, Reserve risk, Claims Development Result, Bootstrap method, Tail factor, Prediction
2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/28
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. T...
Any Regulation of Risk Increases Risk
regulation crisis risk management value-at-risk risk Basel
2010/4/28
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwis...
The First IASTED International Conference on Advancements in Management Science and Risk Assessment(首届IASTED 管理科学与风险评估及改进国际会议)
首届 IASTED 管理科学 风险评估 国际会议
2009/4/22