拉普拉斯随机序及其在保险风险度量中的应用

Laplace Stochastic Order and Its Applications in Insurance Risks Measure

针对一类积分随机风险序进行讨论,论述这类风险序的一些性质及其与其他几种风险序之间的相互关系,得到在相应序原则下比较风险之间大小的等价条件。同时讨论该类型风险序在保险精算中的风险度量、寿险产品定价方面的一些应用并对相应情形进行了数值模拟。

This paper deals with some properties about an integral stochastic order and the relations of some commonly used risk orders are discussed. Moreover, equivalent conditions that order the risks under the correspondent principle are presented. Finally we discuss risk measurement in insurance actuary with this risk ordering method and its application to pricing life insurance products, based on which numerical simulation is conducted.