保险投资组合的个体风险相依性分析  

Insurance Portfolio Individual Dependent Risk Analysis

作　　者：宋欣海[1] 何宏儒[2] 万里红[3] 

机构地区：[1]中国农业发展银行安徽省分行,合肥230022 [2]皖西学院,六安237012 [3]南京陆军指挥学院,南京210000

出　　处：《安徽建筑工业学院学报（自然科学版）》2007年第1期91-93,共3页Journal of Anhui Institute of Architecture(Natural Science)

摘　　要：在个人和团体风险模型中,我们用S=X1+X2+…+Xn-1+XN表示保险投资组合的累积索赔,其中,Xi(i≥1)表示第i个保单产生的损失,N表示保险公司在一定时期内(例如一年)总的索赔项数,每一个保单可能包含若干个不同的项目,假定一个保单的损失是这些不同项目索赔的总和,而一个保单的不同项目的索赔往往是相关的,本文考虑了保险投资组织中个体风险之间的相依性,证明索赔向量之间随机序关系成立。In the individual and collective risk models, the aggregate claim amount for the portfolio is denoted by S=X1＋X2＋…＋Xn-1＋Xn where Xi i≥1, is the amount of loss resulting from the ith accident and N the total number of accidents incurred to the insurance company dunng a certain period （e. g.. one year）. Suppose that the amount of a loss is the sum of the claims related to the different coverages offered by a policy. These claims are most often correlated. The present paper builds a model which allows for dependence between individual risks of an insurance portfolio and proves that the stochastic order holds between the claim amount vectors.

关 键 词：随机序 拉普拉斯变换序 止损序 相依风险 个体风险模型 

分 类 号：O211[理学—概率论与数理统计] B368[理学—数学]