| 随机利率下总索赔额现值的各阶矩 |
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| 引用本文： | 谢杰华,邹娓. 随机利率下总索赔额现值的各阶矩[J]. 南昌水专学报, 2008, 27(6) |
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| 作者姓名： | 谢杰华 邹娓 |
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| 作者单位： | 南昌工程学院理学系,江西南昌330099 |
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| 基金项目： | 南昌工程学院青年基金项目 |
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| 摘 要： | 研究了随机利率情形下关于风险损失(或赔款)的随机风险模型.考虑到多种因素对利率的影响,对随机利率采取Gauss过程与独立增量过程联合建模,得到了总索赔额现值各阶矩的一般表达式.特别是,当损失分步服从Pareto分布,随机利率分别采用Wiener过程和Poisson过程联合建模以及O_U过程和Poisson过程联合建模时,给出了总索赔现值各阶矩的具体表达式.
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| 关 键 词： | 随机利率 Gauss过程 独立增量过程 索赔额 |
Order moments of present value for total claim amount under random rates of interest |
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| XIE Jie-hua,ZOU Wei. Order moments of present value for total claim amount under random rates of interest[J]. Journal of Nanchang College of Water Conservancy and Hydroelectric Power, 2008, 27(6) |
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| Authors: | XIE Jie-hua ZOU Wei |
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| Affiliation: | XIE Jie-hua,ZOU Wei(Department of Science,Nanchang Institute of Technology,Nanchang 330099,China) |
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| Abstract: | In this paper,the risk model under random rates of interest is studied.Considering the effect of many factors on interest,we establish the model under random rates of interest with both Gauss process and independent increment process,and get the order moments of present value for total claim amount.If the interest randomness is the random process with some special properties,the expressions of the order moments of present value for total claim amount are more concrete and practical. |
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| Keywords: | random rates of interest Gauss process independent increment process claim amount |
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