扭曲风险度量及其尾渐近性的研究

11571198
2015
A0603.经济数学与金融数学
尹传存
面上项目
教授
曲阜师范大学
50万元
重尾分布族;扭曲风险度量;相依风险模型;尾部次（超）可加性;尾部渐近性
2016-01-01到2019-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof 期刊论文 Chuancun Yin;Dan Zhu
2 New Class of Distortion Risk Measures and Their Tail Asymptotics with Emphasis on VaR 期刊论文 Chuancun Yin;Dan Zhu
3 Elliptical distribution-based weight-determining method for ordered weighted averaging operators 期刊论文 Sha Xiuyan;Xu Zeshui;Yin Chuancun
4 Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model 期刊论文 Honglong You;Yuan Gao
5 Spectrally negative Levy risk model under Erlangized barrier strategy 期刊论文 Dong Hua;Yin Chuancun;Dai Hongshuai
6 Nonparametric estimation for a spectrally negative Lévy process based on high frequency data 期刊论文 Honglong You;Chunhao Cai
7 ON THE LAST EXIT TIMES FOR SPECTRALLY NEGATIVE LÉVY PROCESSES 期刊论文 YINGQIU LI;CHUANCUNYIN;XIAOWEN ZHOU
8 Two Sufficient Conditions for Convex Ordering on Risk Aggregation 期刊论文 Dan Zhu;Chuancun Yin
9 Stochastic interest model driven by compound Poisson process and Brownian motion with applications in life contingencies 期刊论文 Shilong Li;Xia Zhao;Chuancun Yin;Zhiyue Huang
10 折 射 Levy 风 险 过 程 的Parisian破产 问 题  期刊论文 张万路;赵翔华
11 Remarks on Equality of Two Distributions under Some Partial Orders 期刊论文 Chuan-cun YIN
12 Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes 期刊论文 Yongxia Zhao;Ping Chen;Hailiang Yang
13 DIVIDEND PAYMENTS IN A PERTURBED COMPOUND POISSON MODEL WITH STOCHASTIC INVESTMENT AND DEBIT INTEREST 期刊论文 Y. H. Lu;Y. F. Li
14 Stochastic Optimal Control of Investment and Dividend Payment Model under Debt Control with Time-Inconsistency 期刊论文 Zhu Dan;Yin Chuancun
15 对偶 延 迟 更 新 风 险 模型 的 占 位 时 期刊论文 张 万 路;殷 晓 龙;赵 翔 华
16 Total duration of negative surplus for a MAP risk model 期刊论文 DONG Hua;ZHAO Xiang-hua
17 On a spectrally negative Lévy risk process with periodic dividends and capital injections 期刊论文 Hua Dong;Xiaowen Zhou
18 Optimal Reciprocal Reinsurance under GlueVaR Distortion Risk Measures 期刊论文 Yuxia Huang;Chuancun Yin
19 Optimal Investment and Premium Control in a Nonlinear Diffusion Model 期刊论文 Ming ZHOU;Kam Chuen YUEN;Chuan-cun YIN
20 Stochastic Interest Model Based on Compound Poisson Process and Applications in Actuarial Science 期刊论文 Li Shilong;Yin Chuancun;Zhao Xia;Dai Hongshuai
21 A general strong law of large numbers for non- additive probabilities and its applications 期刊论文 Feng Hu;Zengjing Chen;Panyu Wu
22 A Probabilistic Proof for Representations of the Riemann Zeta Function 期刊论文 Liu Jiamei;Huang Yuxia;Yin Chuancun
23 On spectrally positive Levy risk processes with Parisian implementation delays in dividend payments 期刊论文 Xianghua Zhao;Hua Dong;Hongshuai Dai
24 L^p weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications 期刊论文 ZHAOJUN ZONG;FENG HU
25 L^p Solutions of Infinite Time Interval Backward Doubly Stochastic Differential Equations 期刊论文 Zhaojun Zong;Feng Hu
26 Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint 期刊论文 Wen Yuzhen;Yin Chuancun
27 A unifying approach to constrained and unconstrained optimal reinsurance 期刊论文 Huang Yuxia;Yin Chuancun
28 Parisian ruin probability for Markov additive risk processes 期刊论文 Xianghua Zhao;Hua Dong
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