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In this paper, we discuss the optimal reinsurance strategy of minimizing the in-surer’s risk under the distortion risk measure. We assume that reinsurance premium is determined by the expected premium...
Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities stud...
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...
Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle is an interesting topic. This paper discusses the optimal reinsurance problem wit...
The CreditRisk + model is widely used in industry for computing the loss of a credit port-folio. The standard CreditRisk + model assumes independence among a set of common risk factors, a simplified a...
In this paper, we discuss the optimal reinsurance strategy of minimizing the in-surer’s risk under the distortion risk measure. We assume that reinsurance premium is determined by the expected premium...
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...
Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle is an interesting topic. This paper discusses the optimal reinsurance problem wit...
Severe Ionosphere magnetic storms are feared events for integrity and continuity of navigation systems such as EGNOS, the European SBAS (Satellite-Based Augmentation System) complementing GPS and an a...
We consider the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedasticity process, denoted by FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We pre...
We consider the problem of nonparametric estimation of a convex regression function $\phi_0$. We study global risk bounds and adaptation properties of the least squares estimator (LSE) of $\phi_0$. Un...
This paper examines the pattern of HIV risk behaviors among male jail detainees. From multivariate analyses of baseline data from an HIV intervention study of ours, we find that: (1) cocaine use, hero...
In a recent series of high impact public health publications, the c-index was used as measure of prediction to assess the public health relevance of a risk factor. I demonstrate that the c-index is an...
We set the context for capital approximation within the framework of the Basel II / III regulatory capital accords. This is particularly topical as the Basel III accord is shortly due to take effect. ...
Multiple sclerosis (MS) is a chronic autoimmune disease that affects the central nervous system. The progression and severity of MS varies by individual, but it is generally a disabling disease. Altho...

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