Journal of East China Normal University(Natural Sc ›› 2005, Vol. 2005 ›› Issue (1): 40-45.

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Moments of Compound Renewal Sums with Discounted(English)

XIONG Shuang-ping   

  1. 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

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

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