个体风险模型的Poisson复合模型近似  

THE POISSON-COMPOUND APPROXIMATION TO INDIVIDUAL RISK MODEL

作　　者：郑苏晋[1] 成世学[2] 

机构地区：[1]中央财经大学保险系,北京100081 [2]中国人民大学信息学院,北京100872

出　　处：《经济数学》2002年第3期1-8,共8页Journal of Quantitative Economics

基　　金：国家自然科学基金 (199710 95)资助项目

摘　　要：本文首先简要介绍了停止损失序在风险期望值相等时的一些推论 ,然后借助停止损失序详尽地讨论了仅取有限个值的随机变量的格点化 ,并以此作为出发点在多重衰减模型的框架下 ,给出了以 Poisson复合模型近似个体风险模型的一般步骤 ,同时导出了评价这一近似优劣程度的一个数量指标的解析表达式。In this paper, under the assumption of equal expectations, some consequences related to stop loss order are brief described first. Then, it is discussed in detail how to transform a random variable which assumes only finite values into a lattice one. Based on necessary mathematical preparations mentioned above, the Poisson compound approximation to individual risk model is given within the multiple decrements assumption. Particularly, a quantitive index used to evaluate this approximation is expressed analytically in terms of the model and lattice procedure parameters.

关 键 词：多重衰减 个体风险模型 Poisson复合风险模型 停止损失序 格点化随机变量 

分 类 号：F22[经济管理—国民经济]