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1.
Some methods of making fuzzy decisions include a comparison of fuzzy sets on the same space. Methods have been published which suffer from lack of discrimination between alternatives and occasional conflict with intuitive choice. These methods are reviewed in this paper and then a new approach is described which overcomes their drawbacks. Methods of evaluating the parameter used in decision-making are given which can be varied to incorporate different utility functions. 相似文献
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Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer that offers participating contracts and has an S-shaped utility function. Applying the martingale approach, closed-form solutions are obtained. The resulting optimal strategies are compared with portfolio insurance hedging strategies (CPPI and OBPI). We also study numerical solutions of the portfolio selection problem with constraints on the portfolio weights. 相似文献
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We develop and implement linear formulations of general Nth order stochastic dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implemented by solving a relatively small system of linear inequalities. This approach allows for comparing a given prospect with a discrete set of alternative prospects as well as for comparison with a polyhedral set of linear combinations of prospects. We also derive a linear dual formulation in terms of lower partial moments and co-lower partial moments. An empirical application to historical stock market data suggests that the passive stock market portfolio is highly inefficient relative to actively managed portfolios for all investment horizons and for nearly all investors. The results also illustrate that the mean–variance rule and second-order stochastic dominance rule may not detect market portfolio inefficiency because of non-trivial violations of non-satiation and prudence. 相似文献
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We consider an investor who wants to select his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial market but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize his expected total discounted utility of consumption over an infinite time horizon. For the case of hyperbolic absolute risk aversion (HARA) utility functions, we obtain the first explicit solutions for simultaneous optimal consumption, investment, and insurance problems when there is regime switching. We determine that the optimal insurance contract is either no-insurance or deductible insurance, and calculate when it is optimal to buy insurance. The optimal policy depends strongly on the regime of the economy. Through an economic analysis, we calculate the advantage of buying insurance. 相似文献
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Hans U. Gerber 《Insurance: Mathematics and Economics》1984,3(1):43-48
A one-dimensional, hierarchical system of reinsurance is considered. A member of the chain is in direct contact with only two other members: the one from which coverage is bought and the one to which coverage is sold. Exceptions are the first link (which does not sell any reinsurance coverage) and the last link (which does not buy any). The problem is to find the values of the quotas and the loadings that are optimal in some sense. Assuming exponential utility functions and a normal distribution for the claims, an explicit solution is found for two versions of the model. 相似文献
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We prove here the existence of a value (of norm 1) on the spaces N
A and even A
N, the closure in the variation distance of the linear space spanned by all games f, where is a non-atomic, non-negative finitely additive measure of mass 1 and f a real-valued function on [0,1] which satisfies a much weaker continuity at zero and one.
1991 Mathematics Subject Classification. 90A08, 90A07This research was in part supported by the Belgian Programme on Interuniversity Poles of Attraction, initiated by the Prime Ministers Science Policy Office. 相似文献
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The decision making problem in the context of binary choice is considered by means of impact function, utility function and threshold model approaches. The properties of generalized impact function and utility function are examined; it is shown that these two approaches are equivalent. Their relation to the threshold model is studied and the correspondence between respective cumulative distribution functions is displayed. The stationary state corresponding to the thermodynamic equilibrium is determined within mean field approximation. Multistability of the stationary state is expressed in terms of the distribution function of the random variable of impact/utility function. The correspondence with statistical physics predictions for Ising model is discussed: logistic distribution leads to the mean-field result, i.e. Curie-Weiss approximation. Variations of the distribution functions and/or other model parameters, of social character, self-support, nonlinearity of social interactions, etc., would break the direct correspondence to statistical physics of Ising model, leading in particular cases to richer structure of the multistability. 相似文献