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含有高阶矩的CAPM在保险业的应用
  • ISSN号：1007-9556
  • 期刊名称：《山西财经大学学报》
  • 时间：0
  • 分类：F0[经济管理—政治经济学]
  • 作者机构：[1]厦门大学,数学科学学院,福建,厦门,361005 厦门大学,数学科学学院,福建,厦门,361005
  • 相关基金：本文受国家自然科学基金(批准号:10531020)和985工程(2004～2007年)资助.
作者： 赵晓瑜[1], 谭忠[1]
关键词： CAPM模型, 联合偏度, n阶矩, 保费收入, 投资收入
中文摘要：

在金融领域,资本资产定价模型已被广泛应用,但资产组合收益率分布的偏度的重要性还没有被人们广泛认识,尤其在国内对资产收益率的联合偏度、联合峰度以及含有条件的高阶矩的研究文献更是寥寥无几.本文旨在将CAPM引用到保险业的资产定价中,同时将高阶矩引入CAPM,并将其推广到n阶的一般形式,为实证提供了更理想的模型.

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期刊信息
  • 《山西财经大学学报》
  • 北大核心期刊（2011版）
  • 主管单位:山西财经大学
  • 主办单位:山西财经大学
  • 主编：王培勤
  • 地址：太原市坞城路696号
  • 邮编：030006
  • 邮箱：sxcdxb@263.net
  • 电话：0351-7666806
  • 国际标准刊号：ISSN：1007-9556
  • 国内统一刊号：ISSN：14-1221/F
  • 邮发代号:22-9
  • 获奖情况:
  • 国内外数据库收录:
  • 中国中国人文社科核心期刊,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:20837