| 保险投资组合的个体风险相依性分析 |
| |
| 引用本文： | 宋欣海,何宏儒,万里红. 保险投资组合的个体风险相依性分析[J]. 安徽建筑工业学院学报, 2007, 15(1): 91-93. DOI: 10.3969/j.issn.1006-4540.2007.01.024 |
| |
| 作者姓名： | 宋欣海 何宏儒 万里红 |
| |
| 作者单位： | 1. 中国农业发展银行安徽省分行,合肥,230022;2. 皖西学院,六安,237012;3. 南京陆军指挥学院,南京,210000 |
| |
| 摘 要： | 在个人和团体风险模型中,我们用S=X1+X2+…+Xn-1+XN表示保险投资组合的累积索赔,其中,Xi(i≥1)表示第i个保单产生的损失,N表示保险公司在一定时期内(例如一年)总的索赔项数,每一个保单可能包含若干个不同的项目,假定一个保单的损失是这些不同项目索赔的总和,而一个保单的不同项目的索赔往往是相关的,本文考虑了保险投资组织中个体风险之间的相依性,证明索赔向量之间随机序关系成立.
|
| 关 键 词： | 随机序 拉普拉斯变换序 止损序 相依风险 个体风险模型 |
| 文章编号： | 23984749 |
| 修稿时间： | 2006-05-12 |
Insurance Portfolio Individual Dependent Risk Analysis |
| |
| SONG Xin-hai , HE Hong-ru, WAN Li-hong. Insurance Portfolio Individual Dependent Risk Analysis[J]. Journal of Anhui Institute of Architecture(Natural Science), 2007, 15(1): 91-93. DOI: 10.3969/j.issn.1006-4540.2007.01.024 |
| |
| Authors: | SONG Xin-hai HE Hong-ru WAN Li-hong |
| |
| Affiliation: | SONG Xin-hai , HE Hong-ru, WAN Li-hong (1. Anhui Provincial Branch, Agricultural Development Bank of China, Hefei 230022; 2. Wanxi College, Lu＇an 237012, China; 3. Nanjing Army Command College, Nanjing 210000, China) |
| |
| Abstract: | In the individual and collective risk models, the aggregate claim amount for the portfolio is denoted by S=X1＋X2＋…＋Xn-1＋Xn where Xi i≥1, is the amount of loss resulting from the ith accident and N the total number of accidents incurred to the insurance company dunng a certain period （e. g.. one year）. Suppose that the amount of a loss is the sum of the claims related to the different coverages offered by a policy. These claims are most often correlated. The present paper builds a model which allows for dependence between individual risks of an insurance portfolio and proves that the stochastic order holds between the claim amount vectors. |
| |
| Keywords: | Stochastic dominance Laplace trandform order Dependent risks Individual risk model |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
