المؤلفون: Zhou, Quan, Chen, Zhenlong, Ming, Ruixing

مصطلحات موضوعية: keyword:mixed operation, keyword:grouped model, keyword:aggregated risk measurement, keyword:Value of Risk, keyword:numerical simulation, msc:62E17, msc:62H20, msc:62P99, msc:65C20, msc:91B30, msc:91G50, msc:91G60

وصف الملف: application/pdf

Relation: mr:MR3455170; zbl:Zbl 06562149; reference:[1] Allen, L., Rai, A.: Operational efficiency in banking: An international comparison.Journal of Banking & Finance 20 (1996), 655-672. 10.1016/0378-4266(95)00026-7; reference:[2] Arbenz, P., Hummel, C., Mainik, G.: Copula based hierarchical risk aggregation through sample reordering.Insur. Math. Econ. 51 (2012), 122-133. Zbl 1284.91198, MR 2928749, 10.1016/j.insmatheco.2012.03.009; reference:[3] Berger, A. N., Demsetz, R. S., Strahan, P. E.: The consolidation of the financial services industry: Causes, consequences, and implications for the future.Journal of Banking & Finance 23 (1999), 135-194. 10.1016/S0378-4266(98)00125-3; reference:[4] Bernard, C., Jiang, X., Wang, R.: Risk aggregation with dependence uncertainty.Insur. Math. Econ. 54 (2014), 93-108. Zbl 1291.91090, MR 3145855, 10.1016/j.insmatheco.2013.11.005; reference:[5] Chong, B., Liu, M., Altunbaş, Y.: The impact of universal banking on the risks and returns of Japanese financial institutions.Pacific-Basin Finance Journal 4 (1996), 181-195. 10.1016/0927-538X(96)00010-8; reference:[6] Denuit, M., Genest, C., Marceau, É.: Stochastic bounds on sums of dependent risks.Insur. Math. Econ. 25 (1999), 85-104. Zbl 1028.91553, MR 1718543, 10.1016/S0167-6687(99)00027-X; reference:[7] Embrechts, P., Höing, A., Juri, A.: Using copulae to bound the value-at-risk for functions of dependent risks.Finance Stoch. 7 (2003), 145-167. Zbl 1039.91023, MR 1968943, 10.1007/s007800200085; reference:[8] Embrechts, P., Puccetti, G., Rüschendorf, L.: Model uncertainty and VaR aggregation.Journal of Banking & Finance 37 (2013), 2750-2764. 10.1016/j.jbankfin.2013.03.014; reference:[9] Fields, L. P., Fraser, D. R.: On the compensation implications of commercial bank entry into investment banking.Journal of Banking & Finance 23 (1999), 1261-1276. 10.1016/S0378-4266(99)00010-2; reference:[10] Frei, F. X., Harker, P. T., Hunter, L. W.: Inside the Black Box: What Makes a Bank Efficient? Financial Institutions.Efficiency, Innovation, Regulation (eds. P. Harker, S. Zenios) Cambridge University Press (2000).; reference:[11] Hashorva, E.: Exact tail asymptotics of aggregated parametrised risk.J. Math. Anal. Appl. 400 (2013), 187-199. Zbl 1258.91104, MR 3003975, 10.1016/j.jmaa.2012.11.047; reference:[12] Heilpern, S.: Aggregate dependent risks-risk measure calculation.Mathematical Economics 7 (2011), 107-122.; reference:[13] Joe, H., Li, H., Nikoloulopoulos, A. K.: Tail dependence functions and vine copulas.J. Multivariate Anal. 101 (2010), 252-270. Zbl 1177.62072, MR 2557632, 10.1016/j.jmva.2009.08.002; reference:[14] Junker, M., May, A.: Measurement of aggregate risk with copulas.Econom. J. 8 (2005), 428-454. Zbl 1125.91351, MR 2188967, 10.1111/j.1368-423X.2005.00173.x; reference:[15] Mao, S., Wang, J., Pu, X.: Advanced Mathematical Statistics.Higher Education Press, Beijing (2006).; reference:[16] Markowitz, H.: Portfolio selection.The Journal of Finance 7 (1952), 77-91.; reference:[17] McNeil, A. J., Frey, R., Embrechts, P.: Quantitative Risk Management. Concepts, Techniques, and Tools.Princeton Series in Finance Princeton University Press, Princeton (2005). Zbl 1089.91037, MR 2175089; reference:[18] Rime, B., Stiroh, K. J.: The performance of universal banks: Evidence from Switzerland.Journal of Banking & Finance 27 (2003), 2121-2150. 10.1016/S0378-4266(02)00318-7; reference:[19] Rüschendorf, L.: Random variables with maximum sums.Adv. Appl. Probab. 14 (1982), 623-632. Zbl 0487.60026, MR 0665297, 10.2307/1426677; reference:[20] Skoglund, J., Erdman, D., Chen, W.: A mixed approach to risk aggregation using hierarchical copulas.Journal of Risk Management in Financial Institutions 6 (2013), 188-205.; reference:[21] Wang, R., Peng, L., Yang, J.: Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities.Finance Stoch. 17 (2013), 395-417. Zbl 1266.91038, MR 3038596, 10.1007/s00780-012-0200-5; reference:[22] Wang, B., Wang, R.: The complete mixability and convex minimization problems with monotone marginal densities.J. Multivariate Anal. 102 (2011), 1344-1360. Zbl 1229.60019, MR 2819953, 10.1016/j.jmva.2011.05.002

الاتاحة: http://hdl.handle.net/10338.dmlcz/144814

المؤلفون: Georgescu, Irina

مصطلحات موضوعية: keyword:possibilistic risk aversion, keyword:prudence, keyword:optimal saving, msc:03E72, msc:91B30, msc:91B99, msc:94D05

وصف الملف: application/pdf

Relation: mr:MR3301856; zbl:Zbl 1308.91082; reference:[1] Arrow, K. J.: Essays in the theory of risk bearing.North-Holland, Amsterdam 1970. Zbl 0215.58602, MR 0363427; reference:[2] Carlsson, C., Fullér, R.: On possibilistic mean value and variance of fuzzy numbers.Fuzzy Sets Syst. 122 (2001), 315-326. Zbl 1016.94047, MR 1854821; reference:[3] Carlsson, C., Fullér, R.: Possibility for Decision.Springer 2011. Zbl 1227.91002, MR 2828468; reference:[4] Courbage, C., Rey, B.: Precautionary saving in the presence of other risks.Econom. Theory 32 (2007), 417-424. Zbl 1159.91418, MR 2308938, 10.1007/s00199-006-0178-3; reference:[5] Courbage, C., Rey, B.: On the shape of non-monetary measures in the face of risk.In: The 36th Seminar of the European Group of Risk and Insurance Economists (EGRIE), Bergen 2009.; reference:[6] Crainich, D., Eeckhoudt, L.: On the intensity of downside risk aversion.J. Risk Uncertainty 36 (2008), 267-276. Zbl 1151.91428, 10.1007/s11166-008-9037-x; reference:[7] Dubois, D., Prade, H.: Fuzzy Sets and Systems: Theory and Applications.Academic Press, New York 1980. Zbl 0444.94049, MR 0589341; reference:[8] Dubois, D., Prade, H.: Possibility Theory.Plenum Press, New York 1988. Zbl 1272.03015, MR 1104217; reference:[9] Duncan, G. T.: A matrix measure of multivariate local risk aversion.Econometrica 45 (1977), 895-903. Zbl 0367.90017, MR 0496493, 10.2307/1912680; reference:[10] Eeckhoudt, L., Schlesinger, H.: Putting risk in its proper place.Amer. Econom. Rev. 96 (2006), 280-289. 10.1257/000282806776157777; reference:[11] Eeckhoudt, L., Gollier., C., Schlesinger, H.: Economic and Financial Decisions under Risk.Princeton University Press, 2005.; reference:[12] Friedman, M., Savage, L.: The utility analysis of choices involving risk.J. Polit. Econom. 56 (1948), 279-304. 10.1086/256692; reference:[13] Fullér, R., Majlender, P.: On weighted possibilistic mean and variance of fuzzy numbers.Fuzzy Sets Syst. 136 (2003), 363-374. Zbl 1022.94032, MR 1984582; reference:[14] Georgescu, I.: Possibilistic risk aversion.Fuzzy Sets Syst. 60 (2009), 2608-2619. Zbl 1269.91031, MR 2589107; reference:[15] Georgescu, I.: A possibilistic approach to risk aversion.Soft Comput. 15 (2011), 795-801. Zbl 1243.91026, 10.1007/s00500-010-0634-7; reference:[16] Georgescu, I., Kinnunen, J.: Multidimensional risk aversion with mixed parameters.In: The 6th IEEE International Symposium on Applied Computational Intelligence and Informatics (SACI 2011), Timisoara 2011, pp. 63-68.; reference:[17] Gollier, C.: The Economics of Risk and Time.MIT Press, 2004. Zbl 0991.91001; reference:[18] Hellwig, M.: Risk aversion in the small and in the large when outcomes are multidimensional.Preprints of the Max Planck Institute for Research on Collective Goods, Bonn 2006. MR 1859482; reference:[19] Jouini, E., Napp, C., Nocetti, D.: On multivariate prudence.J. Econom. Theory. 148 (2013), 1255-1267. Zbl 1285.91043, MR 3055661, 10.1016/j.jet.2012.10.007; reference:[20] Karni, E.: On multivariate risk aversion.Econometrica 47 (1979), 1391-1401. Zbl 0431.90013, MR 0550940, 10.2307/1914007; reference:[21] Kimball, M.: Precautionary saving in the small and in the large.Econometrica 58 (1990), 58-73. MR 1046919, 10.2307/2938334; reference:[22] Leland, H. E.: Saving and uncertainty: the precautionary demand for saving.Quarterly J. Econom. 82 (1968), 465-473. 10.2307/1879518; reference:[23] Menegatti, M.: Optimal saving saving in the presence of two risks.J. Econom. 96 (2009), 277-288.; reference:[24] Menezes, C., Geiss, C., Tressler, J.: Increasing downside risk.Amer. Econom. Rev. 70 (1980), 921-932.; reference:[25] Niculescu, C. P., Perrson, L. E.: Convex Functions and their Applications: A Contemporary Approach.Springer, 2005. MR 2178902; reference:[26] Pratt, J.: Risk aversion in the small and in the large.Econometrica 32 (1964), 122-130. Zbl 0267.90010, 10.2307/1913738; reference:[27] Sandmo, A.: The effect of uncertainty on saving decision.Rev. Econom. Studies 37 (1970), 353-360. 10.2307/2296725; reference:[28] Zadeh, L. A.: Fuzzy sets as a basis for a theory of possibility.Fuzzy Sets Syst. 1 (1978), 3-28. Zbl 0377.04002, MR 0480045; reference:[29] Zhang, W. G., Wang, Y. L.: A comparative study of possibilistic variances and covariances of fuzzy numbers.Fund. Inform. 79 (2007), 257-263. MR 2346245

الاتاحة: http://hdl.handle.net/10338.dmlcz/144102

المؤلفون: Abel, Ulrich, Furdui, Ovidiu, Gavrea, Ioan, Ivan, Mircea

مصطلحات موضوعية: keyword:improper integrals, keyword:moments, keyword:integrated tail operator, msc:44A60, msc:91B30

وصف الملف: application/pdf

Relation: mr:MR2738966; zbl:Zbl 1224.44005; reference:[1] Asmussen, Søren: Applied probability and queues.Wiley Series in Probability and Mathematical Statistics. Applied Probability and Statistics. Chichester etc.: John Wiley & Sons (1987). MR 0889893; reference:[2] Cramér, Harald: The elements of probability theory and some of its applications.New York: John Wiley & Sons. Stockholm: Almquist & Wiksell 281 (1954). MR 0067379; reference:[3] Zbăganu, Gheorghiţă: On iterated integrated tail.Preprint (2009). MR 2645119

الاتاحة: http://hdl.handle.net/10338.dmlcz/140803

المؤلفون: Branda, Martin

مصطلحات موضوعية: keyword:mean-CVaR model, keyword:mixed-integer value function, keyword:stability analysis, keyword:contamination techniques, keyword:derivatives of optimal value function, msc:90C11, msc:90C15, msc:90C31, msc:91B28, msc:91B30

وصف الملف: application/pdf

Relation: mr:MR2676075; zbl:Zbl 1202.90203; reference:[1] Bank, B., Guddat, J., Klatte, D., Kummer, B., Tammer, K.: Non-linear Parametric Optimization.Akademie-Verlag, Berlin 1982. Zbl 0502.49002; reference:[2] Billingsley, P.: Convergence of Probability Measures.(Wiley Series in Probability and Statistics.) Second edition. Wiley, New York 1999. Zbl 0944.60003, MR 1700749; reference:[3] Blair, C. E., Jeroslow, R. G.: The value function of a mixed integer program: I.Discrete Mathematics 19 (1977), 121–138. Zbl 0545.90079, MR 0475841, 10.1016/0012-365X(77)90028-0; reference:[4] Dobiáš, P.: Contamination for stochastic integer programs.Bulletin of the Czech Econometric Society 10 (2003), No. 18.; reference:[5] Dupačová, J.: Stability in stochastic programming with recourse.Contaminated distributions. Mathematical Programming Study 27 (1986), 133–144. MR 0836754, 10.1007/BFb0121117; reference:[6] Dupačová, J.: Stability and sensitivity-analysis for stochastic programming.Ann. Oper. Res. 27 (1990), 115–142. MR 1088990, 10.1007/BF02055193; reference:[7] Dupačová, J.: Output analysis for approximated stochastic programs.In: Stochastic Optimization: Algorithms and Applications (S. Uryasev and P. M. Pardalos, Eds.), Kluwer Academic Publishers, Dordrecht 2001, pp. 1–29. MR 1835091; reference:[8] Dupačová, J.: Risk objectives in two-stage stochastic programming models.Kybernetika 44 (2008), 2, 227–242. MR 2428221; reference:[9] Dupačová, J., Polívka, J.: Stress testing for VaR and CVaR.Quantitative Finance 27 (2007), 4, 411–421. MR 2354778, 10.1080/14697680600973323; reference:[10] Miettinen, K.: Nonlinear Multiobjective Optimization.Kluwer Academic Publishers, Dordrecht 1999. Zbl 1181.90237, MR 1784937; reference:[11] Rockafellar, T. R., Uryasev, S.: Conditional value-at-risk for genera loss distributions.J. Banking and Finance 26 (2002), 1443–1471. 10.1016/S0378-4266(02)00271-6; reference:[12] Römisch, W.: Stability of Stochastic Programming Problems.In: Stochastic Programming (A. Ruszczynski and A. Shapiro eds.), Handbooks in Operations Research and Management Science Vol. 10, Elsevier, Amsterdam (2003), 483-554. MR 2052760; reference:[13] Römisch, W., Schultz, R.: Multistage stochastic integer programming: an introduction.In: Online Optimization of Large Scale Systems (M. Grötschel, S. O. Krumke, and J. Rambau, eds.), Springer-Verlag, Berlin 2001, pp. 581–600.; reference:[14] Schultz, R.: On structure and stability in stochastic programs with random technology matrix and complete integer recourse.Mathematical Programming 26 (1995), 73–89. Zbl 0841.90101, MR 1358547, 10.1007/BF01585929; reference:[15] Schultz, R.: Stochastic programming with integer variables.Mathematical Programming, Ser. B 97 (2003), 285–309. Zbl 1035.90053, MR 2004400; reference:[16] Schultz, R., Tiedemann, S.: Conditional value-at-risk in stochastic programs with mixed-integer recourse.Mathematical Programming, Ser. B 105 (2006), 365–386. Zbl 1085.90042, MR 2190827, 10.1007/s10107-005-0658-4; reference:[17] Szegö, G.: Risk Measures for the 21st Century.Wiley, Chichester 2004.; reference:[18] Wallace, S. W., Ziemba, W. T.: Applications of Stochastic Programming.(MPS-SIAM Book Series on Optimization, Volume 5.) SIAM Philadelpia 2005. Zbl 1068.90002

الاتاحة: http://hdl.handle.net/10338.dmlcz/140752

المؤلفون: Kopa, Miloš

مصطلحات موضوعية: keyword:stochastic dominance, keyword:stability, keyword:SSD portfolio efficiency measure, msc:60E15, msc:91B28, msc:91B30, msc:91G10

وصف الملف: application/pdf

Relation: mr:MR2676085; zbl:Zbl 1193.91140; reference:[1] Dentcheva, D., Henrion, R., Ruszczyński, A.: Stability and sensitivity of optimization problems with first order stochastic dominance constraints.SIAM J. Optim. 18 (2007), 322–333. MR 2299687, 10.1137/060650118; reference:[2] Dentcheva, D., Ruszczyński, A.: Optimization with stochastic dominance constraints.SIAM J. Optim. 14 (2003), 548–566. MR 2048155, 10.1137/S1052623402420528; reference:[3] Dentcheva, D., Ruszczyński, A.: Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints.Math. Programming 99 (2004), 329–350. MR 2039044, 10.1007/s10107-003-0453-z; reference:[4] Dentcheva, D., Ruszczyński, A.: Portfolio optimization with stochastic dominance constraints.J. Banking and Finance 30 (2006), 2, 433–451. 10.1016/j.jbankfin.2005.04.024; reference:[5] Rudolf, G., Ruszczyński, A.: Optimization problems with second order stochastic dominance constraints: duality, compact formulations, and cut generation methods.SIAM J. Optim. 19 (2008), 3, 1326–1343. MR 2460744, 10.1137/070702473; reference:[6] Hadar, J., Russell, W. R.: Rules for ordering uncertain prospects.Amer. Econom. Rev. 59 (1969), 1, 25–34.; reference:[7] Hanoch, G., Levy, H.: The efficiency analysis of choices involving risk.Rev. Econom. Stud. 36 (1969), 335–346. Zbl 0184.45202, 10.2307/2296431; reference:[8] Hardy, G. H., Littlewood, J. E., Polya, G.: Inequalities.Cambridge University Press, Cambridge 1934. Zbl 0634.26008; reference:[9] Kopa, M., Chovanec, P.: A second-order stochastic dominance portfolio efficiency measure.Kybernetika 44 (2008), 2, 243–258. Zbl 1154.91456, MR 2428222; reference:[10] Kopa, M., Post, T.: A portfolio optimality test based on the first-order stochastic dominance criterion.J. Financial and Quantitative Analysis 44 (2009), 5, 1103–1124. 10.1017/S0022109009990251; reference:[11] Kopa, M.: An efficient LP test for SSD portfolio efficiency.Working paper, available at: http://ssrn.com/abstract=1340863.; reference:[12] Kuosmanen, T.: Efficient diversification according to stochastic dominance criteria.Management Sci. 50 (2004), 10, 1390–1406. 10.1287/mnsc.1040.0284; reference:[13] Levy, H.: Stochastic Dominance: Investment Decision Making Under Uncertainty.Second edition. Springer Science, New York 2006. Zbl 1109.91037, MR 2239375; reference:[14] Luedtke, J.: New formulations for optimization under stochastic dominance constraints.SIAM J. Optim. 19 (2008), 3, 1433–1450. Zbl 1180.90215, MR 2466178, 10.1137/070707956; reference:[15] Ogryczak, W., Ruszczyński, A.: Dual stochastic dominance and related mean-risk models.SIAM J. Optim. 13 (2002), 60–78. MR 1922754, 10.1137/S1052623400375075; reference:[16] Pflug, G. Ch.: Some remarks on the value-at-risk and the conditional value-at-risk.In: Probabilistic Constrained Optimization: Methodology and Applications (S. Uryasev, ed.), Kluwer Academic Publishers, Norwell MA 2000, pp. 278–287. Zbl 0994.91031, MR 1819417; reference:[17] Post, T.: Empirical tests for stochastic dominance efficiency.J. Finance 58 (2003), 1905–1932. 10.1111/1540-6261.00592; reference:[18] Roman, D., Darby-Dowman, K., Mitra, G.: Portfolio construction based on stochastic dominance and target return distributions.Math. Programming, Series B 108 (2006), 541–569. Zbl 1138.91476, MR 2238714, 10.1007/s10107-006-0722-8; reference:[19] Römisch, W.: Stability of stochastic programming problems.In: Stochastic Programming. Handbooks in Operations Research and Management Science 10 (A. Ruszczyński and A. Shapiro, eds.), Elsevier, Amsterdam 2003, pp. 483–554. MR 2052760; reference:[20] Rothschild, M., Stiglitz, J. E.: Rules for ordering uncertain prospects.J. Economic Theory 2 (1969), 225–243.; reference:[21] Ruszczyński, A., Vanderbei, R. J.: Frontiers of stochastically nondominated portfolios.Econometrica 71 (2003), 4, 1287–1297. MR 1995832, 10.1111/1468-0262.t01-1-00448; reference:[22] Uryasev, S., Rockafellar, R. T.: Conditional value-at-risk for general loss distributions.J. Banking and Finance 26 (2002), 1443–1471. 10.1016/S0378-4266(02)00271-6; reference:[23] Whitmore, G. A.: Third degree stochastic dominance.Amer. Econom. Rev. 60 (1970), 457–459.

الاتاحة: http://hdl.handle.net/10338.dmlcz/140763

المؤلفون: Ishimura, Naoyuki, Mita, Yuji

مصطلحات موضوعية: keyword:optimal portfolio problem, keyword:discrete Itô formula, keyword:discrete Hamilton–Jacobi–Bellman equation, msc:49L20, msc:90C90, msc:91B28, msc:91B30, msc:91G10

وصف الملف: application/pdf

Relation: mr:MR2588633; zbl:Zbl 1190.49034; reference:[1] R. Abe and N. Ishimura: Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem.Proc. Japan Acad., Ser. A. 84 (2008), 11–14. MR 2381178; reference:[2] T. Björk: Arbitrage Theory in Continuous Time.Second edition. Oxford Univ. Press, Oxford 2004.; reference:[3] D. Duffie: Security Markets.Academic Press, London 1988. Zbl 0861.90019, MR 0955269; reference:[4] T. Fujita: Introduction to the Stochastic Analysis for Financial Derivatives (Finance no Kakuritsu-Kaiseki Nyumon).Kodan-shya, Tokyo 2002 (in Japanese).; reference:[5] T. Fujita and Y. Kawanishi: A proof of Itô’s formula using a discrete Itô’s formula.Stud. Scienti. Math. Hungarica 45 (2008), 125–134. MR 2401170; reference:[6] R. Korn and E. Korn: Option Pricing and Portfolio Optimization.Graduate Studies in Mathematics 31, American Mathematical Society, Rhode Island 2001. MR 1802499; reference:[7] A. V. Melnikov: Financial Markets.Translations of Mathematical Monographs 184, American Mathematical Society, Rhode Island 1999. Zbl 1136.91013, MR 1687479; reference:[8] T. Rolski, H. Schmidli, V. Schmidt, and J. Teugels: Stochastic Processes for Insurance and Finance.John Wiley & Sons, New York 1998. MR 1680267

الاتاحة: http://hdl.handle.net/10338.dmlcz/140060

المؤلفون: Charpentier, Arthur

مصطلحات موضوعية: keyword:Archimedean copulas, keyword:Cox model, keyword:dependence, keyword:distorted copulas, keyword:ordering, msc:60A05, msc:60E15, msc:62H05, msc:62N01, msc:62N99, msc:91B30

وصف الملف: application/pdf

Relation: mr:MR2488904; zbl:Zbl 1196.62054; reference:[1] Ali M., Mikhail, N., Haq N. S.: A class of bivariate distribution including the bivariate logistic given margins.J. Multivariate Anal. 8 (1978), 405–412 MR 0512610, 10.1016/0047-259X(78)90063-5; reference:[2] Bandeen-Roche K. J., Liang K. Y.: Modeling failure-time associations in data with multiple levels of clustering.Biometrika 83 (1996), 29–39 MR 1399153, 10.1093/biomet/83.1.29; reference:[3] Charpentier J., Juri A.: Limiting dependence structures for tail events, with applications to credit derivatives.J. Appl. Probab. 44 (2006), 563–586 Zbl 1117.62049, MR 2248584, 10.1239/jap/1152413742; reference:[4] Charpentier A., Segers J.: Lower tail dependence for Archimedean copulas: Characterizations and pitfalls.Insurance Math. Econom. 40 (2007), 525–532 Zbl 1183.62086, MR 2311548, 10.1016/j.insmatheco.2006.08.004; reference:[5] Charpentier A., Segers J.: Convergence of Archimedean copulas.Prob. Statist. Lett. 78 (2008), 412–419 Zbl 1139.62303, MR 2396414, 10.1016/j.spl.2007.07.014; reference:[6] Charpentier A., Segers J.: Tails of Archimedean copulas.Submitted; reference:[7] Clayton D. G.: A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence.Biometrika 65 (1978), 141–151 Zbl 0394.92021, MR 0501698, 10.1093/biomet/65.1.141; reference:[8] Colangelo A., Scarsini, M., Shaked M.: Some positive dependence stochastic orders.J. Multivariate Anal. 97 (2006), 46–78 Zbl 1086.62009, MR 2208843, 10.1016/j.jmva.2004.11.006; reference:[9] Cooper R.: A note on certain inequalities.J. London Math. Soc. 2 (1927), 159–163 MR 1574413, 10.1112/jlms/s1-2.3.159; reference:[10] Cooper R.: The converse of the Cauchy–Holder inequality and the solutions of the inequality $g(x + y) \le g(x) + g(y)$.Proc. London Math. Soc. 2 (1927), 415–432 MR 1576944; reference:[11] Durante F., Sempi C.: Copula and semicopula transforms.Internat. J. Math. Math. Sci. 4 (2005), 645–655 Zbl 1078.62055, MR 2172400, 10.1155/IJMMS.2005.645; reference:[12] Durante F., Foschi, F., Spizzichino F.: Threshold copulas and positive dependence.Statist. Probab. Lett., to appear Zbl 1148.62032, MR 2474379; reference:[13] Feller W.: An Introduction to Probability Theory and Its Applications.Volume 2. Wiley, New York 1971 Zbl 0598.60003, MR 0270403; reference:[14] Geluk J. L., Vries C. G. de: Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities.Insurance Math. Econom. 38 (2006), 39–56 Zbl 1112.62011, MR 2197302, 10.1016/j.insmatheco.2005.06.010; reference:[15] Genest C.: The joy of copulas: bivariate distributions with uniform marginals.Amer. Statist. 40 (1086), 4, 280–283 MR 0866908; reference:[16] Genest C., MacKay R. J.: Copules archimédiennes et familles de lois bidimensionnelles dont les marges sont données.La revue canadienne de statistique 14 (1986), 145–159 Zbl 0605.62049, MR 0849869; reference:[17] Genest C., Rivest L. P.: On the multivariate probability integral transformation.Statist. Probab. Lett. 53 (2001), 391–399 Zbl 0982.62056, MR 1856163, 10.1016/S0167-7152(01)00047-5; reference:[18] Gumbel E. J.: Bivariate logistic distributions.J. Amer. Statist. Assoc. 56 (1961), 335–349 Zbl 0099.14502, MR 0158451, 10.1080/01621459.1961.10482117; reference:[19] Joe H.: Multivariate Models and Dependence Concepts.Chapman&Hall, London 1997 Zbl 0990.62517, MR 1462613; reference:[20] Junker M., Szimayer, S., Wagner N.: Nonlinear term structure dependence: Copula functions, empirics, and risk implications.J. Banking & Finance 30 (2006), 1171–1199 10.1016/j.jbankfin.2005.05.014; reference:[21] Juri A., Wüthrich M. V.: Copula convergence theorems for tail events.Insurance Math. Econom. 30 (2002), 411–427 Zbl 1039.62043, MR 1921115, 10.1016/S0167-6687(02)00121-X; reference:[22] Juri A., Wüthrich M. V.: Tail dependence from a distributional point of view.Extremes 6 (2003), 213–246 Zbl 1049.62055, MR 2081852, 10.1023/B:EXTR.0000031180.93684.85; reference:[23] Klement E. P., Mesiar, R., Pap E.: Transformations of copulas.Kybernetika 41 (2005), 425–434 MR 2180355; reference:[24] Lehmann E. L.: Some concepts of dependence.Ann. Math. Statist. 37 (1966), 1137–1153 Zbl 0146.40601, MR 0202228, 10.1214/aoms/1177699260; reference:[25] Ling C. M.: Representation of associative functions.Publ. Math. Debrecen 12 (1965), 189–212 MR 0190575; reference:[26] McNeil A. J., Neslehova J.: Multivariate Archimedean copulas, D-monotone functions and L1-norm symmetric distributions.Ann. Statist. To appear; reference:[27] Morillas P. M.: A method to obtain new copulas from a given one.Metrika 61 (2005), 169–184 Zbl 1079.62056, MR 2159414, 10.1007/s001840400330; reference:[28] Nelsen R.: An Introduction to Copulas.Springer, New York 1999 Zbl 1152.62030, MR 1653203; reference:[29] Oakes D.: Bivariate survival models induced by frailties.J. Amer. Statist. Assoc. 84 (1989), 487–493 Zbl 0677.62094, MR 1010337, 10.1080/01621459.1989.10478795; reference:[30] Schweizer B., Sklar A.: Probabilistic Metric Spaces.North-Holland, Amsterdam 1959 Zbl 0546.60010, MR 0790314; reference:[31] Sklar A.: Fonctions de répartition à $n$ dimensions et leurs marges.Publ. de l’Institut de Statistique de l’Université de Paris 8 (1959), 229–231 MR 0125600; reference:[32] Wang S., Nelsen, R., Valdez E. A.: Distortion of multivariate distributions: adjustment for uncertainty in aggregating risks.Mimeo 2005; reference:[33] Zheng M., Klein J. P.: Estimates of marginal survival for dependent competing risks based on an assumed copula.Biometrika 82 (1995), 127–138 Zbl 0823.62099, MR 1332844, 10.1093/biomet/82.1.127

الاتاحة: http://hdl.handle.net/10338.dmlcz/135890

المؤلفون: Kopa, Miloš, Chovanec, Petr

مصطلحات موضوعية: keyword:stochastic dominance, keyword:CVaR, keyword:SSD portfolio efficiency measure, msc:60E15, msc:90C25, msc:91B28, msc:91B30

وصف الملف: application/pdf

Relation: mr:MR2428222; zbl:Zbl 1154.91456; reference:[1] Giorgi E. De: Reward-risk portfolio selection and stochastic dominance.J. Banking Finance 29 (2005), 895–926; reference:[2] Giorgi E. De, Post T.: Second order stochastic dominance, reward-risk portfolio selection and the CAPM.J. Financial Quantitative Analysis, to appear; reference:[3] Dybvig P. H., Ross S. A.: Portfolio efficient sets.Econometrica 50 (1982), 6, 1525–1546 Zbl 0495.90010, MR 0685335; reference:[4] Hadar J., Russell W. R.: Rules for ordering uncertain prospects.Amer. Econom. Rev. 59 (1969), 1, 25–34; reference:[5] Hanoch G., Levy H.: The efficiency analysis of choices involving risk.Rev. Econom. Stud. 36 (1969), 335–346 Zbl 0184.45202; reference:[6] Kopa M., Post T.: A portfolio optimality test based on the first-order stochastic dominance criterion.J. Financial Quantitative Analysis, to appear; reference:[7] Kuosmanen T.: Efficient diversification according to stochastic dominance criteria.Management Sci. 50 (2004), 10, 1390–1406; reference:[8] Levy H.: Stochastic dominance and expected utility: Survey and analysis.Management Sci. 38 (1992), 4, 555–593 Zbl 0764.90004; reference:[9] Levy H.: Stochastic Dominance: Investment Decision Making Under Uncertainty.Second edition. Springer Science, New York 2006 Zbl 1109.91037, MR 2239375; reference:[10] Markowitz H. M.: Portfolio Selection.J. Finance 7 (1952), 1, 77–91; reference:[11] Markowitz H. M.: Portfolio Selection: Efficient Diversification in Investments.Wiley, New York 1959 MR 0103768; reference:[12] Ogryczak W., Ruszczyński A.: Dual stochastic dominance and related mean-risk models.SIAM J. Optim. 13 (2002), 60–78 Zbl 1022.91017, MR 1922754; reference:[13] Pflug G. Ch.: Some remarks on the value-at-risk and the conditional value-at-risk.In: Probabilistic Constrained Optimization: Methodology and Applications (S. Uryasev, ed.), Kluwer Academic Publishers, Norwell MA 2000, pp. 278–287 Zbl 0994.91031, MR 1819417; reference:[14] Post T.: Empirical tests for stochastic dominance efficiency.J. Finance 58 (2003), 1905–1932; reference:[15] Rothschild M., Stiglitz J. E.: Rules for ordering uncertain prospects.J. Econom. Theory 2 (1969), 225–243; reference:[16] Russell W. R., Seo T. K.: Representative sets for stochastic dominance rules.In: Studies in the Economics of Uncertainty (T. B. Fomby and T. K. Seo, eds.), Springer-Verlag, New York 1989, pp. 59–76; reference:[17] Ruszczyński A., Vanderbei R. J.: Frontiers of stochastically nondominated portfolios.Econometrica 71 (2003), 4, 1287–1297 Zbl 1154.91475, MR 1995832; reference:[18] Uryasev S., Rockafellar R. T.: Conditional value-at-risk for general loss distributions.J. Banking Finance 26 (2002), 1443–1471; reference:[19] Whitmore G. A.: Third degree stochastic dominance.Amer. Econom. Rev. 60 (1970), 457–459

الاتاحة: http://hdl.handle.net/10338.dmlcz/135846

المؤلفون: Dupačová, Jitka

مصطلحات موضوعية: keyword:two-stage stochastic programs, keyword:polyhedral risk objectives, keyword:robustness, keyword:contamination, keyword:bond portfolio management problem, msc:90C15, msc:90C39, msc:91B28, msc:91B30, msc:93E20

وصف الملف: application/pdf

Relation: mr:MR2428221; zbl:Zbl 1154.91500; reference:[1] Acerbi C.: Spectral measures of risk: A coherent representation of subjective risk aversion.J. Bank. Finance 26 (2002), 1505–1518; reference:[2] Ahmed S.: Convexity and decomposition of mean-risk stochastic programs.Math. Programming A 106 (2006), 447–452 Zbl 1134.90025, MR 2216788; reference:[3] Artzner P., Delbaen F., Eber, J., Heath D.: Coherent measures of risk.Math. Finance 9 (1999), 203–228. See also , pp. 145–175 Zbl 0980.91042, MR 1850791; reference:[4] Bertocchi M., Dupačová, J., Moriggia V.: Sensitivity analysis of a bond portfolio model for the Italian market.Control Cybernet. 29 (2000), 595–615 Zbl 1017.91036; reference:[5] Bertocchi M., Moriggia, V., Dupačová J.: Horizon and stages in applications of stochastic programming in finance.Ann. Oper. Res. 142 (2006), 63–78 Zbl 1101.90043, MR 2222910; reference:[6] Dempster M. A. H., ed.: Risk Management: Value at Risk and Beyond.Cambridge Univ. Press, Cambridge 2002 Zbl 1213.91087, MR 1892188; reference:[7] Dupačová J.: Stability in stochastic programming with recourse – contaminated distributions.Math. Programing Stud. 27 (1986), 133–144 Zbl 0594.90068, MR 0836754; reference:[8] Dupačová J.: Stability and sensitivity analysis in stochastic programming.Ann. Oper. Res. 27 (1990), 115–142 MR 1088990; reference:[9] Dupačová J.: Postoptimality for multistage stochastic linear programs.Ann. Oper. Res. 56 (1995), 65–78 Zbl 0838.90089, MR 1339785; reference:[10] Dupačová J.: Scenario based stochastic programs: Resistance with respect to sample.Ann. Oper. Res. 64 (1996), 21–38 Zbl 0854.90107, MR 1405628; reference:[11] Dupačová J.: Reflections on robust optimization.In: Stochastic Programming Methods and Technical Applications (K. Marti and P. Kall, eds.), LNEMS 437, Springer, Berlin 1998, pp. 111–127 Zbl 0909.90218, MR 1650772; reference:[12] Dupačová J.: Stress testing via contamination.In: Coping with Uncertainty. Modeling and Policy Issues (K. Marti et al., eds.), LNEMS 581, Springer, Berlin 2006, pp. 29–46 Zbl 1151.90504, MR 2278935; reference:[13] Dupačová J.: Contamination for multistage stochastic programs.In: Prague Stochastics 2006 (M. Hušková and M. Janžura, eds.), Matfyzpress, Praha 2006, pp. 91–101. See also SPEPS 2006-06; reference:[14] Dupačová J., Bertocchi, M., Moriggia V.: Testing the structure of multistage stochastic programs.Submitted to Optimization Zbl 1168.90567; reference:[15] Dupačová J., Hurt, J., Štěpán J.: Stochastic Modeling in Economics and Finance, Part II.Kluwer Academic Publishers, Dordrecht 2002 MR 2008457; reference:[16] Dupačová J., Polívka J.: Stress testing for VaR and CVaR.Quantitative Finance 7 (2007), 411–421 Zbl 1180.91163, MR 2354778; reference:[17] Eichhorn A., Römisch W.: Polyhedral risk measures in stochastic programming.SIAM J. Optim. 16 (2005), 69–95 Zbl 1114.90077, MR 2177770; reference:[18] Eichhorn A., Römisch W.: Mean-risk optimization models for electricity portfolio management.In: Proc. 9th International Conference on Probabilistic Methods Applied to Power Systems (PMAPS 2006), Stockholm 2006; reference:[19] Eichhorn A., Römisch W.: Stability of multistage stochastic programs incorporating polyhedral risk measures.To appear in Optimization 2008 Zbl 1192.90131, MR 2400373; reference:[20] Föllmer H., Schied A.: Stochastic Finance.An Introduction in Discrete Time. (De Gruyter Studies in Mathematics 27). Walter de Gruyter, Berlin 2002 Zbl 1126.91028, MR 1925197; reference:[21] Kall P., Mayer J.: Stochastic Linear Programming.Models, Theory and Computation. Springer-Verlag, Berlin 2005 Zbl 1211.90003, MR 2118904; reference:[22] Mulvey J. M., Vanderbei R. J., Zenios S. A.: Robust optimization of large scale systems.Oper. Res. 43 (1995), 264–281 Zbl 0832.90084, MR 1327415; reference:[23] Ogryczak W., Ruszczyński A.: Dual stochastic dominance and related mean-risk models.SIAM J. Optim. 13 (2002), 60–78 Zbl 1022.91017, MR 1922754; reference:[24] Pflug G. Ch.: Some remarks on the Value-at-Risk and the Conditional Value-at-Risk.In: Probabilistic Constrained Optimization, Methodology and Applications (S. Uryasev, ed.), Kluwer Academic Publishers, Dordrecht 2001, pp. 272–281 Zbl 0994.91031, MR 1819417; reference:[25] Pflug G. Ch., Römisch W.: Modeling, Measuring and Managing Risk.World Scientific, Singapur 2007 Zbl 1153.91023, MR 2424523; reference:[26] Rockafellar R. T., Uryasev S. : Conditional value-at-risk for general loss distributions.J. Bank. Finance 26 (2001), 1443–1471; reference:[27] Rockafellar R. T., Uryasev, S., Zabarankin M.: Generalized deviations in risk analysis.Finance Stochast. 10 (2006), 51–74 Zbl 1150.90006, MR 2212567; reference:[28] Römisch W.: Stability of stochastic programming problems.Chapter 8 in , pp. 483–554 MR 2052760; reference:[29] Römisch W., Wets R. J-B.: Stability of $\varepsilon $-approximate solutions to convex stochastic programs.SIAM J. Optim. 18 (2007), 961–979 Zbl 1211.90151, MR 2345979; reference:[30] Ruszczyński A., Shapiro A., eds.: Handbook on Stochastic Programming.Handbooks in Operations Research & Management Science 10, Elsevier, Amsterdam 2002; reference:[31] Ruszczyński A., Shapiro A.: Optimization of risk measures.Chapter 4 in: Probabilistic and Randomized Methods for Design under Uncertainty (G. Calafiore and F. Dabbene, eds.), Springer, London 2006, pp. 121–157 Zbl 1181.90281

الاتاحة: http://hdl.handle.net/10338.dmlcz/135845

المؤلفون: Hollstein, Melanie

مصطلحات موضوعية: msc:91B30, Optimization, Value-at-Risk, Rohstoffindex, Risikotheorie, Option Valuation, Risk Measures, Conditional Value-at-Risk, Financial Engineering, Portfoliomanagement, Finanzmathematik, Optionspreistheorie, Handelsstrategien, Risikomaße, ddc:510, Commodity Index, msc:91B25, msc:91G20, Rohstoffhandel

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::6b8a591bd116cc4e0735bd04f74c0977
https://kluedo.ub.rptu.de/files/2236/Hollstein_Dissertation.pdf

المؤلفون: Atanasiu, Virginia

مصطلحات موضوعية: keyword:credibility premium, keyword:structure parameters, keyword:unbiased estimators, keyword:Bühlmann-Straub model, msc:62F10, msc:62P05, msc:91B30

وصف الملف: application/pdf

Relation: mr:MR2365323; zbl:Zbl 1174.62547; reference:[1] Bühlmann, H.: Optimale Prämienstufensysteme.Mitt. Verein. Schweiz. Versicherungsmath. 64 (1964), 193–214.; reference:[2] Bühlmann, H.: Mathematical Methods in Risk Theory.Springer, Berlin, 1970. MR 0278448; reference:[3] Daykin, C. D., Pentikäinen, T., Pesonen, M.: Practical Risk Theory for Actuaries.Chapman & Hall, 1993. MR 1284039; reference:[4] De Vylder, F.: Parameter estimation incredibility theory.ASTIN Bulletin 10 (1978), 99–112. MR 0538489, 10.1017/S0515036100006395; reference:[5] Goovaerts, M. J., Kaas, R., Van Heerwaarden, A. E., Bauwelinckx, T.: Effective Actuarial Methods, volume 3.Elsevier Science Publishers (1990), 105–239.; reference:[6] Norberg, R.: On optimal parameter estimation in credibility.Insur. Math. Econ. 1 (1982), 73–80. Zbl 0504.62090, MR 0662150, 10.1016/0167-6687(82)90001-4; reference:[7] Sundt, B.: On choice of statistics in credibility estimation.Scand. Actuar. J. (1979), 115–123. Zbl 0423.62081, MR 0547269, 10.1080/03461238.1979.10413716; reference:[8] Sundt, B.: An Introduction to Non-Life Insurance Mathematics.Verlag Versicherungswissenschaft, Karlsruhe, 1984, pp. 22–54. Zbl 0543.62087, MR 1100280

الاتاحة: http://hdl.handle.net/10338.dmlcz/133964

المؤلفون: Gordienko, Evgueni

مصطلحات موضوعية: keyword:geometric sum, keyword:upper bound for the uniform distance, keyword:stability, keyword:risk process, keyword:ruin probability, msc:60E15, msc:60G50, msc:91B30

وصف الملف: application/pdf

Relation: mr:MR2069182; zbl:Zbl 1249.91040; reference:[1] Asmussen S.: Applied Probability and Queues.Wiley, Chichester 1987 Zbl 1029.60001, MR 0889893; reference:[2] Brown M.: Error bounds for exponential approximation of geometric convolutions.Ann. Probab. 18 (1990), 1388–1402 MR 1062073, 10.1214/aop/1176990750; reference:[3] Feller W.: An Introduction to Probability Theory and Its Applications.Volume 2. Wiley, New York 1971 Zbl 0598.60003, MR 0270403; reference:[4] Gertsbakh I. B.: Asymptotic methods in reliability theory: A review.Adv. in Appl. Probab. 16 (1984), 147–175 Zbl 0528.60085, MR 0732135, 10.2307/1427229; reference:[5] Gordienko E. I.: Estimates of stability of geometric convolutions.Appl. Math. Lett. 12 (1999), 103–106 Zbl 0944.60035, MR 1750146, 10.1016/S0893-9659(99)00064-6; reference:[6] Gordienko E. I., Chávez J. Ruiz de: New estimates of continuity in $M%7CGI%7C1%7C\infty $ queues.Queueing Systems Theory Appl. 29 (1998), 175–188 MR 1654484; reference:[7] Grandell J.: Aspects of Risk Theory.Springer–Verlag, Heidelberg 1991 Zbl 0717.62100, MR 1084370; reference:[8] Kalashnikov V. V.: Mathematical Methods in Queuing Theory.Kluwer, Dordrecht 1994 Zbl 0836.60098, MR 1319595; reference:[9] Kalashnikov V. V.: Two-sided bounds of ruin probabilities.Scand. Actuar. J. 1 (1996), 1–18 Zbl 0845.62075, MR 1396522, 10.1080/03461238.1996.10413959; reference:[10] Kalashnikov V. V.: Geometric Sums: Bounds for Rare Events with Applications.Kluwer, Dordrecht 1997 Zbl 0881.60043, MR 1471479; reference:[11] Kalashnikov V. V., Rachev S. T.: Mathematical Methods for Construction of Queueing Models.Wadsworth & Brooks/Cole, Pacific Grove 1990 Zbl 0709.60096, MR 1052651; reference:[12] Petrov V. V.: Sums of Independent Random Variables, Springer–Verlag, Berlin 197. MR 0388499; reference:[13] Rachev S. T.: Probability Metrics and the Stability of Stochastic Models.Wiley, Chichester 1991 Zbl 0744.60004, MR 1105086; reference:[14] Senatov V. V.: Normal Approximation: New Results, Methods and Problems.VSP, Utrecht 1998 Zbl 0926.60005, MR 1686374; reference:[15] Ushakov V. G., Ushakov V. G.: Some inequalities for characteristic functions with bounded variation.Moscow Univ. Comput. Math. Cybernet. 3 (2001), 45–52; reference:[16] Zolotarev V.: Ideal metrics in the problems of probability theory.Austral. J. Statist. 21 (1979), 193–208 Zbl 0428.62012, MR 0561947, 10.1111/j.1467-842X.1979.tb01139.x

الاتاحة: http://hdl.handle.net/10338.dmlcz/135592

المؤلفون: Lazosová, Helena

مصطلحات موضوعية: msc:60F10, msc:62E10, msc:62P05, msc:91B30, msc:91B40

وصف الملف: application/pdf

Relation: mr:MR1959861; zbl:Zbl 1062.91053

الاتاحة: http://hdl.handle.net/10338.dmlcz/142716

المؤلفون: Reiß, Oliver

مصطلحات موضوعية: msc:91B30, Risikomanagement, msc:60E10, Cholesky-Verfahren, Fourier-Transformation, Kreditrisiko, ddc:510, Marktrisiko, msc:65F30

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::7e0c4fd2ccd36fd74008c5c520097326
https://kluedo.ub.rptu.de/frontdoor/index/index/docId/1435

المؤلفون: Mandl, Petr, Mazurová, Lucie

مصطلحات موضوعية: msc:62P05, msc:91B30, msc:97M30

وصف الملف: application/pdf

Relation: zbl:Zbl 1048.91077; reference:[1] Mandl, P.: Sledování solventnosti pojišťoven a matematické modelování.Pojistné rozpravy X (1995), 52–67.; reference:[2] Mandl, P., Šroller, V., Všetulová, E.: K problematice přechodu od zákonného pojištění odpovědnosti za škodu způsobenou provozem motorového vozidla k pojištění povinně smluvnímu.Pojistné rozpravy XII (1996), 19–27.; reference:[3] Mandl, P.: Classical risk theory methods in dynamic solvency testing.Trans. 26th International Congress of Actuaries, Birmingham 1998, Vol. 4, 233–244.; reference:[4] Mazurová, L.: Risk reserve modelling with correlated aggregate claim amounts.Trans. 26th International Congress of Actuaries, Birmingham 1998, Vol. 4, 245–254.; reference:[5] Všetulová, E.: Matematické modelování neživotních pojišťoven — aplikace na pojištění odpovědnosti provozovatelů motorových vozidel.Disertační práce. MFF UK, Praha 1998.; reference:[6] Šťástková, M.: Zisk a riziko v neživotním pojištění.Diplomová práce. MFF UK, Praha 2000.; reference:[7] Mandl, P., Mazurová, L.: Matematické základy neživotního pojištění.Matfyzpress, Praha 1999.; reference:[8] Mandl, P.: Pojistně technická finanční analýza.Matfyzpress, Praha 1999.; reference:[9] Lemaire, J.: Borch’s theorem: A historical survey of applications.Risk, Information and Insurance (Loubergé, H. ed.), 15–40. Kluwer, Dordrecht 1991.; reference:[10] Schnieper, R.: Capital allocation and solvency testing.SCOR Notes, January 1997, 49–104.; reference:[11] Schnieper, R.: Solvency testing.Mitteilungen Schweiz. Aktuarvereinigung 1999, 11–45.; reference:[12] Balling, J., Levin, A. M.: Standards & Poor’s property/casualty capital adequacy model.www.insure.com 1997.

الاتاحة: http://hdl.handle.net/10338.dmlcz/141030

المؤلفون: Frankpitt, Bernard, Baras, John S.

مصطلحات موضوعية: keyword:hidden Markov model, keyword:estimation and control problem, keyword:risk sensitive control problem, keyword:stochastic approximation techniques, keyword:asymptotic convergence, msc:91B30, msc:93E10, msc:93E20

وصف الملف: application/pdf

Relation: mr:MR1695375; zbl:Zbl 1274.93254; reference:[1] Arapostathis A., Marcus S. I.: Analysis of an identification algorithm arising in the adaptive estimation of Markov chains.Mathematics of Control, Signals and Systems 3 (1990),1–29 Zbl 0685.93063, MR 1027318, 10.1007/BF02551353; reference:[2] Baras J. S., James M. R.: Robust and Risk–Sensitive Output Feedback Control for Finite State Machines and Hidden Markov Models, to be publishe.; reference:[3] Benveniste A., Métivier M., Priouret P.: Adaptive Algorithms and Stochastic Approximations.Springer–Verlag, Berlin 1990. Translation of “Algorithmes adaptatifs et approximations stochastiques”, Masson, Paris 1987 Zbl 0752.93073, MR 1082341; reference:[4] Fernandéz–Gaucherand E., Marcus S. I.: Risk–Sensitive Optimal Control of Hidden Markov Models: Structural Results.Technical Report TR 96-79, Institute for Systems Research, University of Maryland, College Park, Maryland 1996 Zbl 0891.93087; reference:[5] Fernandéz–Gaucherand E., Arapostathis A., Marcus S. I.: Analysis of an adaptive control scheme for a partially observed controlled Markov chain.IEEE Trans. Automat. Control 38 (1993), 6, 987–993 Zbl 0786.93089, MR 1227213, 10.1109/9.222316; reference:[6] Krishnamurthy, V, Moore J. B.: On–line estimation of hidden Markov model parameters based on the.IEEE Trans. Signal Processing 41 (1993), 8, 2557–2573 Zbl 0825.93742; reference:[7] Gland F. Le, Mevel L.: Geometric Ergodicity in Hidden Markov Models.Technical Report No. 1028, IRISA/INRIA, Campus de Beaulieu, Renees 1996 Zbl 0941.93053

الاتاحة: http://hdl.handle.net/10338.dmlcz/135258

المؤلفون: Koeppler, Hans

مصطلحات موضوعية: keyword:integral equation, life insurance, msc:45G99, msc:91B30

وصف الملف: application/pdf

Relation: zbl:JFM 63.1121.03; jfm:JFM 63.1121.03

الاتاحة: http://hdl.handle.net/10338.dmlcz/144663

المؤلفون: Koeppler, H.

مصطلحات موضوعية: keyword:Hattendorf's Theorem, msc:91B30

وصف الملف: application/pdf

Relation: zbl:JFM 62.0631.02; jfm:JFM 62.0631.02

الاتاحة: http://hdl.handle.net/10338.dmlcz/144638

المؤلفون: Steffensen, J. F.

مصطلحات موضوعية: keyword:social insurance, msc:91B30

وصف الملف: application/pdf

Relation: zbl:JFM 63.1118.02; jfm:JFM 63.1118.02

الاتاحة: http://hdl.handle.net/10338.dmlcz/144660

المؤلفون: Frantíková, Jiřina

مصطلحات موضوعية: keyword:mean value theorem, annuity, msc:65D99, msc:91B30

وصف الملف: application/pdf

Relation: zbl:JFM 63.1122.04; jfm:JFM 63.1122.04

الاتاحة: http://hdl.handle.net/10338.dmlcz/144662