نتایج جستجو برای: aggregated risk
تعداد نتایج: 962069 فیلتر نتایج به سال:
In this paper we work in the framework of a k-dimensional vector of log-linear risks. Under weak conditions on the marginal tails and the dependence structure of a vector of positive risks we derive the asymptotic tail behaviour of the aggregated risk and present an application concerning log-normal risks with stochastic volatility.
In this paper we work in the framework of a k-dimensional vector of log-linear risks. Under weak conditions on the marginal tails and the dependence structure of a vector of positive risks, we derive the asymptotic tail behaviour of the aggregated risk and present an application concerning log-normal risks with stochastic volatility.
With the aim of portfolio optimization and management, this article utilizes the Clayton-copula along with copula theory measures. Portfolio-Optimization is one of the activities in investment funds. Thus, it is essential to select an appropriate optimization method. In modern financial analyses, there is growing evidence indicating the distribution of proceeds of financial properties is not cu...
A novel ranking method based on multi-time information fusion is proposed for intuitionistic fuzzy sets (IFSs) and applied to the threat assessment problem, a multi-attribute decision making (MADM) one. This method integrates a designed intuitionistic fuzzy entropy (IFE), the closeness degree of technique for order preference by similarity to ideal solution (TOPSIS), the decision maker¡¯s (DM¡¯...
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