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国家自然科学基金(11001052): 作品数：10被引量：16H指数：3; 导出分析报告; 相关作者：杨洋林金官王雪马昕高庆武更多>>; 相关机构：东南大学南京审计大学北京经济管理干部学院新疆大学更多>>; 相关期刊：《Acta Mathematicae Applicatae Sinica》《Chinese Annals of Mathematics,Series B》《江苏科技大学学报（自然科学版）》《数理统计与管理》更多>>; 相关主题：相依风险模型破产概率VARYINGDISTRIBUTION大学生更多>>; 相关领域：理学经济管理自动化与计算机技术更多>>

The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks: 《Applied Mathematics(A Journal of Chinese Universities)》2014年第2期194-204,共11页YANG Yang LIN Jin-guan TAN Zhong-quan; Supported by the National Natural Science Foundation of China(11001052,11171065,11326175);China Postdoctoral Science Foundation(2012M520964);Natural Science Foundation of Jiangsu Province ofChina(BK20131339);Postdoctoral Research Program of Jiangsu Province(1302015C);Qing Lan Project and Project of Construction for Superior Subjects of Statistics&Audit Science and Technology of Jiangsu Higher Education Institutions; Consider a discrete-time insurance risk model. Within period i, i≥ 1, Xi and Yi denote the net insurance loss and the stochastic discount factor of an insurer, respectively. Assume that {（Xi, Yi）, i≥1） form a seq...; 关键词：ASYMPTOTICS long-tailed and dominatedly-varying-tailed distribution financial and insurancerisks finite-time ruin probability bivariate Sarmanov distribution.

Uniform asymptotics for finite-time ruin probability in some dependent compound risk models with constant interest rate被引量：1: 《Journal of Southeast University(English Edition)》2014年第1期118-121,共4页杨洋刘伟林金官张玉林; The National Natural Science Foundation of China(No.11001052,11171065,71171046);China Postdoctoral Science Foundation(No.2012M520964);the Natural Science Foundation of Jiangsu Province(No.BK20131339);the Qing Lan Project of Jiangsu Province; Consider two dependent renewal risk models with constant interest rate. By using some methods in the risk theory, uniform asymptotics for finite-time ruin probability is derived in a non-compound risk model, where cla...; 关键词：compound and non-compound risk models finite-time ruin probability dominatedly varying tail uniformasymptotics random sums dependence structure

基于相依风险模型破产概率的渐近估计及其实证分析被引量：3: 《数理统计与管理》2013年第1期28-34,共7页杨洋冯翠莲张燕; 国家自然科学基金(11001052);中国博士后科学基金(2012M520964);江苏省自然科学基金(BK2010480);青蓝工程;江苏省高校审计科学与技术优势学科建设工程项目;江苏省统计学重点建设学科项目资助资助; 本文研究了重尾相依风险模型,其中索赔额是一列上广义负相依随机变量,索赔时间间隔是—列广义负相依随机变量,并且两个序列是相互独立的,得到了保险公司最终破产概率的渐近结果。并且利用中国人民财产保险股份有限公司2008年的重大赔付...; 关键词：最终破产概率广义负相依结构渐近性统计实证分析

时间相依更新风险模型中无限时绝对破产概率的渐近性被引量：4: 《中国科学：数学》2013年第2期173-184,共12页杨洋林金官高庆武; 国家自然科学基金(批准号:11001052和11171065);中国博士后科学基金(批准号:2012M520964);江苏省自然科学基金(批准号:BK2010480和BK2011058);江苏省青蓝工程和江苏省统计学重点建设学科资助项目; 本文考虑了两类时间相依且带常利率和常值保费收入率的更新风险模型的无限时绝对破产概率,其中索赔额及其到达时间间隔构成独立同分布的随机对列,以及每个随机对遵循某种相依结构.基于此,当索赔额分布属于R-∞∩S(γ),γ≥0分布族时,我...; 关键词：渐近性无限时绝对破产概率相依性

基于随机森林算法的大学生异动情况的预测被引量：8: 《江苏科技大学学报（自然科学版）》2012年第1期86-90,共5页马昕王雪杨洋; 国家自然科学基金资助项目(11001052);江苏省自然科学基金资助项目(BK2010480);南京审计学院青年基金资助项目(NSK2009/01); 为了预测学生在大学一年级以后的异动情况,利用机器学习中的随机森林算法建立相应的预测模型.该模型选取了学生大学一年级的总学分和13门大学一年级的课程成绩作为特征,利用随机森林算法模型对该生异动情况建立了预测模型.在建立模型时...; 关键词：随机森林决策树嵌套式交叉验证异动

Estimates for the Tail Probability of the Supremum of a Random Walk with Independent Increments: 《Chinese Annals of Mathematics,Series B》2011年第6期847-856,共10页Yang YANG Kaiyong WANG; supported by the National Natural Science Foundation of China (No.11001052);the Postdoctoral Science Foundation of China (No.20100471365);the Jiangsu Provincial Natural Science Foundation of China (No.BK2010480);the Natural Science Foundation of the Jiangsu Higher Education Institutions of China (No.10KJB110010);the Jiangsu Provincial Postdoctoral Research Program of China (No.0901029C);the Jiangsu Government Scholarship for Overseas Studies,Qing Lan Project; The authors investigate the tail probability of the supremum of a random walk with independent increments and obtain some equivalent assertions in the case that the increments are independent and identically distribut...; 关键词：Random walk O-Subexponential distribution Integrated distribution SUPREMUM

On Moments of the Maximum of Partial Sums of Moving Average Processes under Dependence Assumptions: 《Acta Mathematicae Applicatae Sinica》2011年第4期691-696,共6页Xing-cai ZHOU Jin-guan LIN; Supported by the National Natural Science Foundation of China (No. 11001052, 10971097);the Anhui Provincial Natural Science Foundation (No. 11040606M04);the Anhui Provincial College Excellent Young Talents Foundation (No. 2009SQRZ176ZD); Let{Yi;-∞〈i〈∞}be a doubly infinite sequence of identically distributed φ-mixing random variables and let{ai;-∞〈i〈∞}be an absolutely summable sequence of real numbers. In this paper we study the moments of su...; 关键词：Moving average Φ-MIXING MOMENTS

Monotonicity of the tail dependence for multivariate t-copula: 《Journal of Southeast University(English Edition)》2011年第4期466-470,共5页石爱菊林金官; The National Natural Science Foundation of China(No.11001052,11171065);the National Science Foundation of Jiangsu Province(No.BK2011058);the Science Foundation of Nanjing University of Posts and Telecommunications(No.JG00710JX57); This paper considers the upper orthant and extremal tail dependence indices for multivariate t-copula. Where, the multivariate t-copula is defined under a correlation structure. The explicit representations of the tai...; 关键词：multivariate t-copula COPULA inverse gamma distribution MONOTONICITY regularly varying function correlation coefficient

相依风险模型中破产概率的一致渐近性: 《江苏大学学报（自然科学版）》2011年第4期492-496,共5页杨洋黄龙; 国家自然科学基金资助项目(11001052);中国博士后科学基金资助项目(20100471365);江苏省自然科学基金资助项目(BK2010480);江苏省博士后科研资助计划(0901029C); 为了研究相依更新风险模型中的破产问题,首先研究了负相协更新计数过程,得到了该计数过程的一个渐近性结果;进而在此基础上考虑了相依重尾更新风险模型,其中索赔时间间隔为负相协同分布的随机变量,并且索赔额为独立同分布的随机变量,其...; 关键词：破产概率一致渐近性重尾分布强次指数族负相协

Precise large deviation result for heavy-tailed random sums and applications to risk theory: 《Journal of Southeast University(English Edition)》2010年第3期498-501,共4页杨洋林金官; The National Natural Science Foundation of China (No.10671139,11001052);the Natural Science Foundation of Jiangsu Province(No. BK2008284 );China Postdoctoral Science Foundation ( No.20100471365);the Natural Science Foundation of Higher Education Institutions of Jiangsu Province (No. 09KJD110003);Postdoctoral Research Program of Jiangsu Province (No.0901029C); The differences between two sequences of nonnegative independent and identically distributed random variables with sub-exponential tails and the random index are studied. The random index is a strictly stationary rene...; 关键词：precise large deviation random sum sub-exponential distribution renewal counting process customer-arrival-based insurance risk model

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