| 黄玉洁,宋立新,白晓东.多相关保险索赔的矩[J].,2010,(6):1047-1050 |
| 多相关保险索赔的矩 |
| Moments of claims for dependent classes of insurance business |
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| DOI：10.7511/dllgxb201006037 |
| 中文关键词: 矩 相依索赔 L-S变换 马尔可夫环境 |
| 英文关键词: moments dependent claims L-S transform Markovian environment〖=〗〖HJ〗〖JP〗〖LM〗 |
| 基金项目:大连理工大学2010年学科交叉前沿科研专题基金资助项目(DUT10JS06)；内蒙古自治区高等学校科学研究资助项目(NJZY07119). |
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| 中文摘要: |
| 提出了一个保险公司具有 p(p>1) 个相关保险业务的风险模型，以研究当索赔率和索赔额随保险公司的状态改变而波动时的折现总索赔．在该假设下，提出了折现总索赔的L-S变换微分方程系统．应用微分方程得到了折现总索赔在马尔可夫环境下的一、二阶矩显式表达式．定理结论为进行风险分析提供了理论依据． |
| 英文摘要: |
| A risk model is proposed for an insurance company with p(p>1) dependent classes of insurance business. The purpose is to consider the discounted aggregate claims when the claim rates and sizes fluctuate according to the state of the insurance company. A system of differential equations for the Laplace-Stieltjes(L-S) transform of the discounted aggregate claims is provided under this assumption. Using the differential equations, the explicit expressions are obtained for the first and the second moments of the discounted aggregate claims in a Markovian environment. Theorem provides a theoretical basis for risk analysis. |
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