Risk management operations described by a stochastic discounting model incorporating a random sum of cash flows and a random maximum of recovery times

被引：8

作者：

Artikis, Constantinos T. ^{[1
]}

Artikis, Panagiotis T. ^{[2
]}

Fountas, Chrysostomos E. ^{[3
]}

机构：

[1] Univ Bradford, Sch Informat, Dept Comp & Math, Bradford BD7 1DP, W Yorkshire, England

[2] Univ Warick, Warick Business Sch, Coventry CV4 7AL, W Midlands, England

[3] Univ Piraeus, Dept Informat, Piraeus 18534, Greece

来源：

JOURNAL OF STATISTICS & MANAGEMENT SYSTEMS | 2007年 / 10卷 / 03期

关键词：

Stochastic discounting; risk management; recovery time;

D O I：

10.1080/09720510.2007.10701264

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The paper makes use of two important concepts of probability theory in order to formulate a stochastic discounting model for the present value of a random cash flow under random timing and constant force of interest. Applications in fundamental risk management operations of the proposed stochastic discounting model are provided. Moreover, sufficient conditions for embedding the distribution corresponding to the model into an important class of generalized unimodal distributions are established.

引用

页码：439 / 450

页数：12

共 3 条

[1] Incorporating a random number of independent competing risks in discounting a continuous uniform cash flow with rate of payment being a random sum
Artikis, Constantinos T.
Artikis, Panagiotis T.
[J]. JOURNAL OF INTERDISCIPLINARY MATHEMATICS, 2007, 10 (04) : 487 - 495
[2] Properties and applications in risk management operations of a stochastic discounting model
Artikis, Panagiotis T.
Artikis, Constantinos T.
[J]. JOURNAL OF STATISTICS & MANAGEMENT SYSTEMS, 2005, 8 (02): : 317 - 330
[3] An individual, stochastic model of growth incorporating state-dependent risk and random foraging and climate
Wolesensky, William
Logan, J. David
[J]. MATHEMATICAL BIOSCIENCES AND ENGINEERING, 2007, 4 (01) : 67 - 84

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