自回归相依结构下累积索赔的矩及应用  

On the Moments of Aggregate Claims with Dependence of Autoregressive Structure and Their Applications

作　　者：张节松[1] 肖庆宪[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《数学理论与应用》2014年第4期93-97,共5页Mathematical Theory and Applications

基　　金：上海市一流学科(系统科学)资助项目(XTKX2012)

摘　　要：在不同时期的索赔具有自回归相依结构的条件下,给出了累积索赔的前两阶矩,并进一步讨论了在保费计算中的应用.数值算例揭示了相依参数对风险矩以及保险费的影响,表明了保险公司适时开发新业务、淘汰旧业务的必要性.Under the condition that the claims in different periods are dependent through an autoregressive structure, the first two moments of aggregate claims are derived. Furthermore, an application in premium calculation is dis- cussed. Numerical example reveals the impact of dependence parameter on moments and insurance premium. The re- suits also demonstrate the necessity for an insurer to develop new business and eliminate old business.

关 键 词：相依风险 自回归 矩 保费计算 

分 类 号：F840.31[经济管理—保险] F224