引入信度理论改进VaR体系初探.pdf

Paper Submitted for The Third China Economics Annual Conference ariel_y_liang@ 引入信度理论改进 VaR体系初探 Improving the Effectiveness of VaR Models by Combining Credibility Theories Submitted For:The Third China Economics Annual Conference Submitted Field: Finance Written By: Ariel Y. Leung Graduate Student Economics Department Simon Fraser University 内容摘要 本文拟就金融市场风险测量的VaR方法（在险价值法），根据自己的理解系 统阐释了此体系各模型（包括衡量金融市场正常波动的经典 VaR历史模拟 法，参数分析法，蒙特.卡罗模拟法；以及衡量市场异常波动的极端 VaR压 力试验和极值理论）的基本原理与计算思路；在简单介绍了保险非寿险精算学中 的信度理论，即有限波动信度方法和最精确可信性模型（贝叶斯方法和Buhlmann 模型）之后，笔者试探性的将它们引入历史模拟法，参数分析法和极值理论，推 理演算得出改进后的“信度VaR”模型系列, 即此文的独创所在；论文在最后指 出了笔者理论创新尝试的意义和缺陷所在。 关键词:在险价值量,压力试验，极值理论，Buhlmann模型,信度VaR模型 1 Paper Submitted for The Third China Economics Annual Conference ariel_y_liang@ Abstract This thesis aims at improving the effectiveness of VaR models by combining Credibility Theoriesthe Limited Fluctuation Credibility Theory and Greatest Credibility Theory(the Bayes Measurement and the Buhlmann Model) in Actuarial Science with the Historical Simulation, the Parametric Methods, and the Extreme Value Theory. It develops from an introduction to the Classical VaR models (the H