索赔额服从指数分布的聚合模型条件风险价值研究

The study of conditional value-at-risk for exponential insurance claims in aggregate models

利用随机变量和的分布函数的卷积算法,得到了聚合风险模型中,个体索赔额服从指数分布时,总理配额的条件风险价值的计算公式.

In this paper,conditional value-at-Risk is calculated based on the accurate distribution of aggregate loss when claims are exponential distributed in short-term aggregate risk models.