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SpringerLink电子期刊(89)
在“
SpringerLink电子期刊
”中,
命中:
89
条,耗时:小于0.01 秒
在所有数据库中总计命中:
89
条
1.
On the limit of conditional Spearman’s rho under the common factor model
作者:
Taehan Bae
;
Ian Iscoe
关键词:
Common factor model
;
Spearman’s rho
;
Tail dependence
;
Portfolio credit risk management
;
Primary
;
62E20
;
Secondary
;
62P05
刊名:Extremes
出版年:2016
2.
Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims
作者:
Ke-ang Fu
;
Yu-yang Qiu
;
An-ding Wang
关键词:
62P05
;
62E20
;
60F10
;
by
;
claim
;
dominatedly varying tail
;
extended upper negative dependence
;
quasi
;
asymptotic independence
;
ruin probability
;
time
;
dependent risk model
刊名:Applied Mathematics - A Journal of Chinese Universities
出版年:2015
3.
Second-order properties of tail probabilities of sums and randomly weighted sums
作者:
Tiantian Mao
;
Kai Wang Ng
关键词:
Asymptotics
;
Hidden regular variation
;
Regular variation
;
Second
;
order regular variation
;
60G70
;
62P05
;
91B30
刊名:Extremes
出版年:2015
4.
Bivariate discrete beta Kernel graduation of mortality data
作者:
Angelo Mazza
;
Antonio Punzo
关键词:
Bivariate graduation
;
Kernel smoothing
;
Beta distribution
;
Cross
;
validation
;
62G08
;
62P05
刊名:Lifetime Data Analysis
出版年:2015
5.
Dynamic generation of scenario trees
作者:
Georg Ch. Pflug
;
Alois Pichler
关键词:
Decision trees
;
Stochastic optimization
;
Optimal transportation
;
90C15
;
60B05
;
62P05
刊名:Computational Optimization and Applications
出版年:2015
6.
Credit Derivative Evaluation and CVA Under the Benchmark Approach
作者:
Jan Baldeaux
;
Eckhard Platen
关键词:
Credit derivatives
;
Credit valuation adjustment
;
Benchmark approach
;
Affine processes
;
Real world pricing
;
62P05
;
62P20
;
62G05
;
G10
;
C10
;
C15
刊名:Asia-Pacific Financial Markets
出版年:2015
7.
Utility indifference valuation of corporate bond with rating migration risk
作者:
Jin Liang
;
Xudan Zhang
;
Yuejuan Zhao
关键词:
Utility indifference price
;
credit rating migration
;
HJB equation
;
Markov
;
modulated
;
93E20
;
62P05
;
49L20
刊名:Frontiers of Mathematics in China
出版年:2015
8.
Multivariate stochastic comparisons of mixture models
作者:
Ebrahim Amini-Seresht
;
Baha-Eldin Khaledi
关键词:
Hazard gradient
;
Log
;
concave
;
Log
;
convex and mean residual life functions
;
Mean residual life order
;
Multivariate stochastic orders
;
$$MTP_2$$ M T P 2 and $$TP_2$$ T P 2 functions
;
60E15
;
60K10
;
62P05
刊名:Metrika
出版年:2015
9.
Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
作者:
Alan De Genaro
;
Adilson Simonis
关键词:
Doubly stochastic Poisson process
;
Affine diffusion
;
Kalman filter
;
Order book
;
62M99
;
62P05
刊名:Statistical Papers
出版年:2015
10.
Aggregation-robustness and model uncertainty of regulatory risk measures
作者:
Paul Embrechts
;
Bin Wang
;
Ruodu Wang
关键词:
Value
;
at
;
risk
;
Expected shortfall
;
Dependence uncertainty
;
Risk aggregation
;
Aggregation
;
robustness
;
Inhomogeneous portfolio
;
Basel III
;
62G35
;
60E15
;
62P05
;
C10
刊名:Finance and Stochastics
出版年:2015
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