相关实验视频
Updated: Jan 10, 2026
19:44
A Tactile Automated Passive-Finger Stimulator TAPS
Published on: June 3, 2009
14.2K
关于以尾部为基础的的缺陷及其对资本分配的应用
1School of Statistics and Data Science, Qufu Normal University, Qufu 273165, China.
Entropy (Basel, Switzerland)
|November 26, 2025
概括
我们介绍了基于尾部的 (STE) 的缺口,这是一个新的风险指标,它结合了预期的缺口和基于尾部的. STE捕捉了尾部风险的幅度和变化,为极端事件提供了更全面的视图.
科学领域:
- 量化金融 量化金融
- 风险管理 风险管理
- 精算科学 精算科学
背景情况:
- 传统的风险指标,如预期缺口 (ES),可能无法完全捕捉尾部风险的变化.
- 基于尾部的 (TE) 提供了对极端损失分布的见解.
- 需要一种综合方法来全面评估尾部风险.
研究的目的:
- 介绍和分析基于尾部的 (STE) 的缺陷,这是一个新的尾部敏感风险函数.
- 调查STE的属性,包括它与现有缺口措施和一致性的关系.
- 将STE应用于资本配置问题,并评估其经验性表现.
主要方法:
- 将 STE 定义为预期缺口 (ES) 和基于尾部的 (TE) 的组合.
- 导出STE的理论性质,包括表征,连贯性条件和单调性.
- 开发基于STE的封闭形式的资本配置公式,用于圆和扩展的斜正态分布.
- 使用保险公司数据进行实证分析.
主要成果:
- 已经证明,STE能够捕捉到尾部风险的幅度和变化.
- 该框架统一了一些现有的缺口措施.
- 建立了足够的条件来实现 STE 的连贯性和单调性.
- 封闭形式的资本分配公式用于特定的分配.
- 经验分析证明了STE的实际实施和表现.
结论:
- STE提供了对尾部风险的可靠和全面的衡量.
- 衍生资本分配规则为金融机构提供了实际的工具.
- 通过考虑损失的大小和变异性,STE增强了风险管理策略.
更多相关视频
相关概念视频
02:39Entropy
34.8K
Salt particles that have dissolved in water never spontaneously come back together in solution to reform solid particles. Moreover, a gas that has expanded in a vacuum remains dispersed and never spontaneously reassembles. The unidirectional nature of these phenomena is the result of a thermodynamic state function called entropy (S). Entropy is the measure of the extent to which the energy is dispersed throughout a system, or in other words, it is proportional to the degree of disorder of a...
34.8K
01:18Entropy
3.5K
The first law of thermodynamics is quantitatively formulated via an equation relating the internal energy of a system, the heat exchanged by it, and the work done on it. A quantitative formulation of the second law of thermodynamics leads to defining a state function, the entropy.
When an ideal gas expands isothermally, the disorder in the gas increases. From the molecular perspective, the gas molecules have more volume to move around in.
Consider an infinitesimal step in the expansion, which...
When an ideal gas expands isothermally, the disorder in the gas increases. From the molecular perspective, the gas molecules have more volume to move around in.
Consider an infinitesimal step in the expansion, which...
3.5K
01:20Entropy and the Second Law of Thermodynamics
4.7K
The second law of thermodynamics can be stated quantitatively using the concept of entropy. Entropy is the measure of disorder of the system.
The relation between entropy and disorder can be illustrated with the example of the phase change of ice to water. In ice, the molecules are located at specific sites giving a solid state, whereas, in a liquid form, these molecules are much freer to move. The molecular arrangement has therefore become more randomized. Although the change in average...
The relation between entropy and disorder can be illustrated with the example of the phase change of ice to water. In ice, the molecules are located at specific sites giving a solid state, whereas, in a liquid form, these molecules are much freer to move. The molecular arrangement has therefore become more randomized. Although the change in average...
4.7K
01:32Probability Distributions
11.6K
The probability of a random variable x is the likelihood of its occurrence. A probability distribution represents the probabilities of a random variable using a formula, graph, or table. There are two types of probability distribution– discrete probability distribution and continuous probability distribution.
A discrete probability distribution is a probability distribution of discrete random variables. It can be categorized into binomial probability distribution and Poisson...
A discrete probability distribution is a probability distribution of discrete random variables. It can be categorized into binomial probability distribution and Poisson...
11.6K
01:19Survival Tree
374
Survival trees are a non-parametric method used in survival analysis to model the relationship between a set of covariates and the time until an event of interest occurs, often referred to as the "time-to-event" or "survival time." This method is particularly useful when dealing with censored data, where the event has not occurred for some individuals by the end of the study period, or when the exact time of the event is unknown.
Building a Survival Tree
Constructing a...
Building a Survival Tree
Constructing a...
374
01:14The Second Law of Thermodynamics
6.6K
In the quest to identify a property that may reliably predict the spontaneity of a process, a promising candidate has been identified: entropy. Scientists refer to the measure of randomness or disorder within a system as entropy. High entropy means high disorder and low energy. To better understand entropy, think of a student’s bedroom. If no energy or work were put into it, the room would quickly become messy. It would exist in a very disordered state, one of high entropy. Energy must be...
6.6K