反单调风险的相关问题研究-统计学专业论文.docxVIP

摘 要 如何降低风险是金融保险领域经常需要考虑到的问题. 这篇文章考虑了在一个风 险随机变量上添加条件使得这个风险随机变量与原始头寸的整体风险水平降低. 从而 我们定义了风险降低因子. 本文主要采用了止损序作为风险度量来探讨这个问题. 为了使得风险随机变量的风险降低, 我们首先想到为它添加一个发展趋势相反的 随机变量以使得最终资产损失降到最低. 为此我们引入反单调的概念. 但是这样一个 与原随机变量成反单调的风险具体是什么样的, 是任意一个成反单调的风险都可以作 为风险降低因子吗, 这就是我们主要探讨的问题. 文章分为三种情况来探讨了风险降 低因子应具备的条件. 在文章中我们引入了股票、期权、保险作为例子, 使得文章更加生动易懂. 本文主要考虑运用反单调的概念以及止损序作为风险度量来降低风险, 文章共分 五章. 第一章 引言. 该部分简单交代了文章的写作意义以及写作目的. 第二章 预备知识. 介绍了随机序的涵义, 包括随机序的概念, 止损序的定义和性 质. 然后介绍了风险的涵义, 引出风险度量这一概念, 给出了几种风险度量的定义以 及性质引理. 最后给出了同单调反单调的定义和相关定理. 第三章 反单调风险的相关问题研究. 首先简单介绍了相关的金融术语, 之后提出 了一个简单确定风险降低因子的充分条件, 列出关于止损序的一些新的叠加律和消去 律, 并给出了它们成立的条件. 第三节我们给出了风险降低因子的不同描述. 并且描 述了给定随机变量和它的风险降低因子之间的函数关系. 第四章 在最理想保险问题中的含义. 我们将结果应用于保险赔偿的市场性研究 中. 第五章 小结. 关键词： 反单调; 止损序; 风险降低因子; 同单调; 保险. Abstract In the ?eld of ?nance and insurance, we often consider how to reduce the risk of risk port?ios. It is easy to think that a risk random variable added with conditions makes the risk of the former random variables decreased. In this paper we mainly use the stop-loss order as the risk measure to discuss this issue. In order to make the risk of random variables is reduced, it is easy to think of adding a trend opposite random variable to the former to make the ?nal property loss to the minimum. We introduce the concept of counter-monotonicity. But what kind of this such a speci?c risk which is counter-monotonic with original random variables, is an arbitrary counter-monotonic risk can be used as a risk reducer? This is our mainly problem to discuss. The thesis is divided into three kinds of situations to explore the properties of risk reducer. In this thesis we introduce the stock, option, insurance as examples, to make the thesis more vivid and easier understood. This thesis mainly consider using stop-loss order as the risk measure to reduce the risk, and is divided into ?ve chapters. Chapter 1 Preference, we show the objective and signi?cance of the thesis. Chapter 2 In this chapter, we introduce the meanings and de?nitions of