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.
出处
《南昌工程学院学报》
CAS
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)
关键词
随机利率
GAUSS过程
独立增量过程
索赔额
random rates of interest
Gauss process
independent increment process
claim amount
