Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
复制标题
稳健的最优投资和比例再保险，以实现保险公司和再保险公司的共同利益
DOI：
10.1080/03610926.2016.1248576
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发表时间：
2017
期刊：
影响因子：
--
通讯作者：
Huang Ya
中科院分区：
文献类型：
--
作者：
Zhou Jieming;Yang Xiangqun;Huang Ya
降维子空间的存在是回归分析中处理高维预测变量时的一个常见假设。这种DR子空间的估计在过去几年中受到了相当大的关注，最流行的方法无疑是切片逆回归。在本文中，我们提出了一个新的估计程序的DR子空间的预测和响应变量的联合分布是一个有限的混合分布的假设。新方法进行了比较，通过模拟研究，一些经典的方法。
The existence of a dimension reduction (DR) subspace is a common assumption in regression analysis when dealing with high-dimensional predictors. The estimation of such a DR subspace has received considerable attention in the past few years, the most popular method being undoubtedly the sliced inverse regression. In this paper, we propose a new estimation procedure of the DR subspace by assuming that the joint distribution of the predictor and the response variables is a finite mixture of distributions. The new method is compared through a simulation study to some classical methods.