整值自回归聚合风险模型——INARCR

Integer valued autoregressive collective risk model—INARCR

提出了整值自回归聚合风险模型—INARCR:St=∑Nti=1Xti,Nt=α Nt-1+εt.研究了{St},{Nt,t≥0}的相关结构及性质,给出了总理赔量St的极小值及拐点的结论和聚合风险模型:当Xti～N(0,σ2t)、Xti～U(0,at)、Xti～G(bt,dt)时,St的中心极限定理及余额过程中调节系数Rt的系列结果.

Integer valued autoregressive collective risk models—INARCR St=∑Nti=1Xti,Nt=αNt-1+εt were used to research ｛St｝,｛Nt,t≥0｝ correlation structure and property.It gives that extreme value and camber conclusion of the aggregate claim process and central limit theorem of the collective risk model St when Xti～N(0,σ~2t)、Xti～U(0,at)、Xti～G(bt,dt).It points out that a serials conclusion of surplus process adjustment coefficient Rt.