华东师范大学学报(自然科学版)
華東師範大學學報(自然科學版)
화동사범대학학보(자연과학판)
JOURNAL OF EAST CHINA NORMAL UNIVERSITY(NATURAL SCIENCE)
2010年
6期
146-155
,共10页
资本分配%风险测度%方向导数%条件期望
資本分配%風險測度%方嚮導數%條件期望
자본분배%풍험측도%방향도수%조건기망
capital allocation%risk measure%directional derivative%conditional expectation
研究了两种资本分配法的若干应用:一种是已知的公理化法,另一种是广义加权法.首先列出了几种常见的风险测度,运用公理化分配法,给出了关于这些风险测度的分配公式.并且就一个具体的模型,计算了它的分配结果.其次将已知的加权分配法扩展到广义加权分配法,主要讨论了广义加权分配法在两个不同总风险下分配量的比较方法,此方法源于资本分配的一个必备要求:单个风险的资本分配量不超过其原有风险资本.最后给出了具体特例.
研究瞭兩種資本分配法的若榦應用:一種是已知的公理化法,另一種是廣義加權法.首先列齣瞭幾種常見的風險測度,運用公理化分配法,給齣瞭關于這些風險測度的分配公式.併且就一箇具體的模型,計算瞭它的分配結果.其次將已知的加權分配法擴展到廣義加權分配法,主要討論瞭廣義加權分配法在兩箇不同總風險下分配量的比較方法,此方法源于資本分配的一箇必備要求:單箇風險的資本分配量不超過其原有風險資本.最後給齣瞭具體特例.
연구료량충자본분배법적약간응용:일충시이지적공이화법,령일충시엄의가권법.수선렬출료궤충상견적풍험측도,운용공이화분배법,급출료관우저사풍험측도적분배공식.병차취일개구체적모형,계산료타적분배결과.기차장이지적가권분배법확전도엄의가권분배법,주요토론료엄의가권분배법재량개불동총풍험하분배량적비교방법,차방법원우자본분배적일개필비요구:단개풍험적자본분배량불초과기원유풍험자본.최후급출료구체특례.
Applications of two kinds of capital allocation principles were studied: one was axiomatic allocation which had been known, and the other was generalized weighted allocation. Firstly, several known risk measures were listed. Based on a axiomatic method, allocation formulae with respect to these risk measures were given. Then in view of a specific numerical model, its allocation results were calculated. Secondly, generalized weighted allocation, which was an extension of weighted allocation, was considered. A method for comparing the amounts of generalized weighted capital allocations under two different aggregate losses, which stems from diversifying property, was mainly discussed. And some special examples were given.