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AbstractThe log normal reserving model is considered. The contribution of the paper is to derive explicit expressions for the maximum likelihood estimators. These are expressed in terms of development factors which are geometric averages. The distribution of the estimators is derived. It is shown that the analysis is invariant to traditional measures for exposure. 相似文献
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本文在一揽子期权(Basket Options)定价理论的基础上,对期权的标的价格引入跳跃一扩散过程进行建模,用几何布朗运动描述其动态变化过程,用Possion过程刻画资产价格受新的信息和稀有偶发时间的冲击所发生跳跃的计数过程,用对数正态随机变量描述跳跃对应的跳跃幅度,有模型限定下,运用Ito-Skorohod微分公式和等价鞅测度变换,得出加权算术平均价格一揽子期权的一个推广的解析定价公式。 相似文献
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为解决无源带通滤波器幅频算术对称问题,提出一种基于极点放置技术的优化设
计方法,即在网络综合法设计的滤波器电路基础上,将并臂电感换成串臂电感,在此电感上
并联电容增加衰减极点,并利用电路优化技术,使得幅频特性算术对称。实例结果表明,该
方法能够使滤波器幅频特性算术对称,而且带内波动小,电路结构简单,阶数少,插入损耗
低。 相似文献
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DOUGLAS A. IRWIN 《Journal of Money, Credit and Banking》2014,46(1):199-227
The intellectual response to the Great Depression is often portrayed as a battle between the ideas of Friedrich Hayek and John Maynard Keynes. Yet both the Austrian and the Keynesian interpretations of the Depression were incomplete. Austrians could explain how a country might get into a depression (bust following a credit‐fueled investment boom) but not how to get out of one (liquidation). Keynesians could explain how a country might get out of a depression (government spending on public works) but not how it got into one (animal spirits). By contrast, the monetary approach of Gustav Cassel has been ignored. As early as 1920, Cassel warned that mismanagement of the gold standard could lead to a severe depression. Cassel not only explained how this could occur, but his explanation anticipates the way that scholars today describe how the Great Depression actually occurred. Unlike Keynes or Hayek, Cassel analyzed both how a country could get into a depression (deflation due to tight monetary policies) and how it could get out of one (monetary expansion). 相似文献