复合更新模型总索赔额贴现值的矩(英)

华东师范大学学报(自然科学版) ›› 2005, Vol. 2005 ›› Issue (1): 40-45.

复合更新模型总索赔额贴现值的矩(英)

熊双平

华东师范大学统计系，上海 200062

收稿日期:2003-04-04 修回日期:2003-06-17 出版日期:2005-03-25 发布日期:2005-03-25
通讯作者: 熊双平

Moments of Compound Renewal Sums with Discounted(English)

XIONG Shuang-ping

Department of Statistics, East China Normal University,Shanghai 200062, China

Received:2003-04-04 Revised:2003-06-17 Online:2005-03-25 Published:2005-03-25
Contact: XIONG Shuang-ping

摘要/Abstract

摘要： 在利息力为带飘移的维纳运动情形下，得到了复合更新模型总索赔额贴现值的前二阶矩，并给出了一个具体的例子.

关键词: 古典风险模型, 风险过程贴现值, 更新理论, 利息力, 贴现, 古典风险模型, 风险过程贴现值, 更新理论, 利息力, 贴现

Abstract: Under the condition that the net force of interest is a Wiener processes with a drift, we derive the first two moments of a compound renewal present value risk Process(CRPVR) using renewal theory. An example is also given to explain the results.

Key words: present value risk process, renewal theory, interest rate, discounting, Classic risk process, present value risk process, renewal theory, interest rate, discounting

中图分类号:

O211

熊双平. 复合更新模型总索赔额贴现值的矩(英)[J]. 华东师范大学学报(自然科学版), 2005, 2005(1): 40-45.

XIONG Shuang-ping. Moments of Compound Renewal Sums with Discounted(English)[J]. Journal of East China Normal University(Natural Sc, 2005, 2005(1): 40-45.