| 总理赔量分布的另一种选择:复合Poisson-逆高斯分布 |
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| 引用本文： | 汪荣明,季细军. 总理赔量分布的另一种选择:复合Poisson-逆高斯分布[J]. 工程数学学报, 2006, 23(1): 175-181 |
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| 作者姓名： | 汪荣明 季细军 |
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| 作者单位： | 华东师范大学统计系,上海,200062 |
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| 摘 要： | 本文考虑当理赔次数N的分布为Poisson-逆高斯分布时,相应的总理陪量分布(即复合Poisson-逆高斯分布)的两种近似:正态分布和平移Gamma分布。同时还考虑了当理赔量的分布为下指数分布时复合Poisson-逆高斯分布的尾概率的一种近似计算。
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| 关 键 词： | 总理赔量 复合Poisson-逆高斯分布 集合风险理论 正态分布 平移Gamma分布 |
| 文章编号： | 1005-3085(2006)01-0175-07 |
| 收稿时间： | 2004-07-13 |
| 修稿时间： | 2004-07-13 |
Another Choice to the Distribution of Aggregate Claims-compound Poisson-inverse Gaussian Distribution |
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| WANG Rong-ming,JI Xi-jun. Another Choice to the Distribution of Aggregate Claims-compound Poisson-inverse Gaussian Distribution[J]. Chinese Journal of Engineering Mathematics, 2006, 23(1): 175-181 |
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| Authors: | WANG Rong-ming JI Xi-jun |
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| Affiliation: | Department of Statistics, East China Normal University, Shanghai 200062 |
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| Abstract: | With the Poisson-inverse Gaussian distribution choice for the distribution of the number of claims, a compound Poisson-inverse Gaussian distribution as the distribution of aggregate claims is considered. The normal distribution and the translated gamma distribution are employed as two kinds of approximations to the compound Poisson-inverse Gaussian distribution under some requirements. Also the approximation to the tail probability of compound Poisson-inverse Gaussian distribution is given when the claim amount distribution is subexponential. |
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| Keywords: | aggregate claims compound Poisson-inverse gaussian distribution collective risk theory normal distribution translated gamma distribution |
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