常分红壁下相依对偶模型的G-S函数
发布时间：2019-06-15 10:15
【摘要】：考虑了索赔时间间隔和接下来的索赔额具有相依关系的对偶型,其相依关系由FGM copula描述.在其具有常分红壁的前提下,推导出了G-S函数所满足的积分微分方程,并给出了其满足的更新方程.
[Abstract]:The dual relationship between the claim time interval and the subsequent claim amount is considered, which is described by FGM copula. On the premise that it has constant dividend wall, the Integro-differential equation satisfied by G 鈮，
本文编号：2500144
[Abstract]:The dual relationship between the claim time interval and the subsequent claim amount is considered, which is described by FGM copula. On the premise that it has constant dividend wall, the Integro-differential equation satisfied by G 鈮，
本文编号：2500144
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