随机利率下索赔次数服从复合Poisson-Geometric过程的风险模型  

A Risk Model with the Compound Poisson-Geometric Process for Interest Randomness

作　　者：束慧[1] 熊萍萍[2] 

机构地区：[1]南京邮电大学数理学院,江苏南京210003 [2]南京信息工程大学数理学院,江苏南京210044

出　　处：《南京邮电大学学报（自然科学版）》2008年第3期63-69,共7页Journal of Nanjing University of Posts and Telecommunications：Natural Science Edition

摘　　要：考虑随机利率下索赔次数服从一类双参数Poisson分布时的风险模型。当随机利率为一般的独立增量过程时,得到了总索赔额折现值的各阶矩。特别地,当独立增量过程为标准Weiner过程,损失分布为Pareto分布的情形下,计算了总索赔额折现值各阶矩的表达式,并利用一阶矩给出了有利率因素时的一类NCD保费策略。在实例分析部分,分析了模型的合理性,给出了NCD策略的数值计算结果。A risk model with the double parameters Poisson Process for interest randomness has been studied. The moments of claim size are computed under the force of interest accumulation function as a stationary and independent increment process. In particular, the moments of the claim size are computed when the interest randomness is Weiner process and the loss of distribution is Pareto distribution. Using the first moment of claim size, a type of NCD insurance fee strategy is given. As an example, the rationality of the model is analyzed and the calculation result of NCD strategy is given.

关 键 词：随机利率 复合POISSON-GEOMETRIC过程 索赔额 NCD保费策略 

分 类 号：O21[理学—概率论与数理统计]