基于NGINAR(1)索赔过程的风险模型  

A Risk Model base on NGINAR(1) Claims Process

作　　者：史海芳[1] 王德辉[2] 

机构地区：[1]中国民航大学理学院,天津300300 [2]吉林大学数学研究所,长春130012

出　　处：《应用概率统计》2015年第6期561-571,共11页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金(11271155;11401573;61401467);中央高校基本科研业务费基金(3122014D047;3122014K013)资助

摘　　要：本文考虑了一种索赔过程基于一阶几何整值自回归(NGINAR(1))时间序列的风险模型,给出了该模型调节系数所满足的方程,并通过数值例子分析了各阶段索赔次数之间相依性对调节系数和破产概率的影响.模拟结果表明,随着各阶段索赔次数之间相依性的增大,调节系数逐渐减小,同时破产概率逐渐增大.A new risk model is constructed, where the total number of claims satisfies the geometric first-order integer-valued autoregressive process. Moreover, we obtain the equation of the adjustment coefficient. We discuss the relationships among the dependence on the number of claims in each period, the adjustment coefficient, and ruin probability by numerical simulations. The results show that, with the increase of the dependence on the number of claims in each period, the adjustment coefficient decrease and ruin probability increase gradually.

关 键 词：风险模型 NGINAR(1) 调节系数 破产概率. 

分 类 号：O212.3[理学—概率论与数理统计]