Parameter estimation of entropic risk measure based on the Gumbel distribution and asymptotic behaviors

摘要：

熵风险度量被广泛应用于金融风险领域,并取得了一定成果,但是将Gumbel分布与熵风险度量结合起来的相关研究还比较少,考虑基于Gumbel分布的熵风险度量估计量的渐近行为,得到了3种不同估计量的渐近正态性.还给出相关的随机模拟结果验证了理论结果的正确性.

Entropic risk measure is widely applied to the field of financial risk,and some achievements have been made.However,there are few researches on the combination of Gumbel distribution and entropic risk measure.We consider the asymptotic behaviors of entropic risk measure estimator based on Gumbel distribution and obtain the asymptotic normality of three different estimators.In the end,the relevant stochastic simulation results are given to verify the correctness of the theoretical results.The results show that the simulation results of the three estimators are ideal.FEWER

作者：

严钧 晏婉晨

Yan Jun;Yan Wanchen(School of Mathematics Science,Yangzhou University,Yangzhou 225000,China)

机构地区：

扬州大学数学科学学院

出处：

《betway官方app 学报：自然科学版》 CAS 北大核心 2022年第1期67-72,共6页

Journal of Henan Normal University(Natural Science Edition)

基金：

国家自然科学基金(71971190) 扬州大学科创培育基金(2019CXJ005).

关键词：

熵风险度量 Gumbel分布 中心极限定理

entropic risk measure Gumbel distribution central limit theorem

分类号：

O212 [理学—概率论与数理统计]

基于Gumbel分布的熵风险度量的参数估计及渐近行为.pdf