一类聚合风险模型

A Type of Collective Risk Model

本文提出了一类聚合风险模型———INARCR。研究了相关结构及性质;给出了总理赔量的极小值及拐点的条件和聚合风险模型的中心极限;余额过程中调节系数的系列性质。最后给出了周期d=2时聚合风险模型参数的矩估计。

This paper deals with integer valued autoregressive collective risk models. It researches into correlation structure and property. It gives the extreme value and camber condition of the aggregate clain process and central limit theorem of the collective risk model. It points out a serial property of surplus process adjustment coefficient. Procedures are developed for the estimation of parameters of collective risk model with period d=2.