Search results for: Zhang Xiangxian
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During the past decade, Value at Risk (VaR) has become one of most commonly used Tools in risk measurement. In this paper, We propose a new method for estimating VaR. Our approach combines HS method to estimate the interior and the extreme value theory to estimate the tails. This paper uses a sample of the returns of S&P 500 daily closing index to test the performance of our VaR procedure. This...
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The selection of an appropriate threshold is one of the main concerns about the POT (Peaks Over Threshold) model, which is widely used in many fields, such as in insurance and environmental analysis. In this article, a new method which is based on the MSE criterion and two-sample K-S tests is proposed to determine the optimal threshold in the POT model. Different from the traditional subjective methods,...
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The selection of an appropriate threshold is one of the main concerns about the POT (Peaks Over Threshold ) model, which is widely used in many fields, such as in insurance and environmental analysis. In this article, a new method which is based on the MSE criterion and two-sample K-S tests is proposed to determine the optimal threshold in the GPD model. Different from the traditional subjective methods,...
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A novel algorithm, called quantum-inspired immune evolutionary algorithm (QIEA), is proposed to avoid premature convergence. Based on the combining of the quantum evolutionary algorithm with the main mechanisms of immune, QIEA can adopt the high-effective parallelism of QEA and using a lot of operators such as mutation and selection to improve the traditional quantum evolutionary algorithm (QEA),...
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The quantum-inspired evolutionary algorithm (QEA) is a probabilistic algorithm based on the quantum computing, which combines some principles such as concepts of qubits and superposition of states. QEAs can improve the traditional evolutionary algorithm effectively. However, they are easy to be trapped into the local deceptive peak, and the operations in QEA lack the capability of meeting an actual...
