随机利率下总索赔额现值的各阶矩  

Order moments of present value for total claim amount under random rates of interest

作　　者：谢杰华[1] 邹娓[1] 

机构地区：[1]南昌工程学院理学系,江西南昌330099

出　　处：《南昌工程学院学报》2008年第6期59-63,共5页Journal of Nanchang Institute of Technology

基　　金：南昌工程学院青年基金项目(2008KJ024)

摘　　要：研究了随机利率情形下关于风险损失(或赔款)的随机风险模型.考虑到多种因素对利率的影响,对随机利率采取Gauss过程与独立增量过程联合建模,得到了总索赔额现值各阶矩的一般表达式.特别是,当损失分步服从Pareto分布,随机利率分别采用Wiener过程和Poisson过程联合建模以及O-U过程和Poisson过程联合建模时,给出了总索赔现值各阶矩的具体表达式.In this paper, the risk model under random rates of interest is studied. Considering the effect of many factors on interest, we establish the model under random rates of interest with both Gauss process and independent increment process, and get the order moments of present value for total claim amount. If the interest randomness is the random process with some special properties, the expressions of the order moments of present value for total claim amount are more concrete and practical.

关 键 词：随机利率 GAUSS过程 独立增量过程 索赔额 

分 类 号：O211.6[理学—概率论与数理统计] F840.6[理学—数学]