摘要
考虑随机利率情形下关于风险损失(或赔款)的随机风险模型.当随机利率取一般的独立增量过程时,得到了总索赔额精算现值的各阶矩.特别地,当独立增量过程为Wiener过程,损失分布为Pareto分布的情形下,给出了总索赔额精算现值各阶矩的具体表达式.
Risk model for interest randomness is considered. The moments of claim size are caculated under the force of interest accumulation function as a statinary and independent increment process. If the interest randomness is Wiener process and the loss of distribution is pareto distribution, then the expression of moments of the claim size is more concrete and practical.
出处
《浙江大学学报（理学版）》
CAS
CSCD
2004年第2期134-137,共4页
Journal of Zhejiang University（Science Edition）
