混合状态变量和过程变量的风险评估模型-控制与决策.PDFVIP

绗?8 鍗 绗? 鏈 鎺 鍒 涓 鍐 绛 2013 骞 2 鏈 Vol. 28 No. 2 Control and Decision Feb. 2013 鏂囩珷缂栧彿: 1001-0920 (2013) 02-0309-04 娣峰悎鐘舵€佸彉閲忓拰杩囩▼鍙橀噺鐨勯闄╄瘎浼版ā鍨 闄堟€濆嚖, 鍒樹笟鏀 (鍚堣偉宸ヤ笟澶уa. 绠＄悊瀛﹂櫌锛宐. 杩囩▼浼樺寲涓庢櫤鑳藉喅绛栨暀鑲查儴閲嶇偣瀹為獙瀹わ紝鍚堣偉230009) 鎽 瑕? 閽堝甯哥敤椋庨櫓璇勪及鏂规硶浠呬娇鐢ㄥ崟鏈熸埅闈㈡暟鎹瀯閫犳ā鍨? 瀵归闄╁姩鎬佹紨鍖栬秼鍔夸俊鎭弽鏄犺兘鍔涗笉瓒崇殑闂, 鎻 鍑轰竴绉嶅悓鏃惰€冭檻鍗曟湡鎴潰鏁版嵁鍜屾椂闂村簭鍒楁暟鎹殑浼佷笟椋庨櫓璇勪及妯″瀷. 瀵逛簬鍙敤鍗曟湡鎴潰鏁版嵁琛ㄧず鐨勭姸鎬佸彉閲? 閲 鐢⊿ 鍨嬪嚱鏁板害閲忚绫绘寚鏍囩殑椋庨櫓; 瀵逛簬闇€瑕佺敤鏃堕棿搴忓垪鏁版嵁鍙嶆槧鐨勮繃绋嬪彉閲? 缁煎悎鑰冭檻璇ョ被鎸囨爣鐨勬椂闂村簭鍒楀潎鍊笺€佹柟 宸垨鍋忓害绛夌壒寰? 灏嗗寘鍚紒涓氶闄╂紨鍖栬秼鍔夸俊鎭殑鏃堕棿搴忓垪鏁版嵁鏄犲皠涓轰竴涓埅闈㈠€? 浠庤€屼娇椋庨櫓璇勪及妯″瀷鍏锋湁澶勭悊 鍔ㄦ€佷俊鎭殑鑳藉姏. 搴旂敤瀹炰緥琛ㄦ槑浜嗚鏂规硶鐨勫彲琛屾€у拰鏈夋晥鎬? 鍏抽敭璇岤 椋庨櫓璇勪及妯″瀷锛涙埅闈㈡暟鎹紱鏃堕棿搴忓垪鏁版嵁锛涢闄╁害閲 涓浘鍒嗙被鍙耳 F224 鏂囩尞鏍囧織鐮? A Risk evaluation model for mixed state variables and process variables CHEN Si-feng, LIU Ye-zheng (a. School of Management锛宐. Key Laboratory of Process Optimization and Intelligent Decision-making 锛孧inistry of Education 锛孒efei University of Technology 锛孒efei 230009 锛孋hina 锛嶤orrespondent 锛欳HEN Si-feng锛孍-mail: sifengchen@) Abstract: For the problem that the commonly used risk evaluation model only uses cross-sectional data and the trend information of evolution is not fully re铿俥cted in the risk evaluation models, a risk evaluation model based on the risk of speci铿乧 indexes is proposed. For the state variables that can be re铿俥cted with cross sectional data, the risks are measured through Sigmoid function. For the process variables that need to be re铿俥cted with time series data, the risks are measured by using two-attribute models and value-at-risk models. By considering the mean, variance and skewness, the time series data are mapped to a cross section data such that the risk evaluation model has the ability to handle the dynamic i