| 随机利率情形下的风险模型 |
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| 引用本文： | 谢杰华,邹娓. 随机利率情形下的风险模型[J]. 南昌水专学报, 2007, 26(3): 15-18,40 |
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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;南昌工程学院,理学系,江西,南昌,330099 |
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| 摘 要： | 考虑随机利率情形下关于风险损失(或赔款)的随机风险模型.当随机利率采取一般的Gauss过程时,得到了总索赔额现值的各阶矩,并在某些条件下给出了各阶矩的具体表达式.
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| 关 键 词： | 随机利率 Gauss过程 索赔额 |
| 文章编号： | 1674-0076（2007）03-0015-04 |
| 收稿时间： | 2007-01-08 |
| 修稿时间： | 2007-01-08 |
Risk model under stochastic interest rates |
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| XIE Jie-hua,ZOU Wei. Risk model under stochastic interest rates[J]. Journal of Nanchang College of Water Conservancy and Hydroelectric Power, 2007, 26(3): 15-18,40 |
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| Authors: | XIE Jie-hua ZOU Wei |
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| Affiliation: | Department of Science, Nanchang Institute of Technology, Nanchang 330099, China |
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| Abstract: | In this paper,a risk model under stochastic interest rates is considered.The moments of claim size in(0,t)are calculated under the force of interest accumulation function as a Gauss process.If the interest randomness is a process with some special properties,the expressions of moments of the claim size are more concrete and practical. |
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| Keywords: | stochastic interest rates Gauss process claim size |
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