相依风险模型下风险保费的信度估计
发布时间：2019-05-23 15:04
【摘要】：建立了风险之间呈现某种特殊相依结构的信度模型.利用正交投影的方法,得到了相依风险模型下的Bühlmann信度保费和Bühlmann-Straub信度保费,并讨论了信度估计的统计性质.结论表明,在风险之间呈现相依结构时,信度预测是个体索赔均值,总索赔均值和聚合保费三者的加权和,从而推广了经典的信度理论.
[Abstract]:The reliability model of a kind of special-dependent structure is presented. With the method of orthogonal projection, the reliability premium of B-Hlmann-Straub under the dependent risk model is obtained, and the statistical properties of the reliability estimation are also discussed. The conclusion shows that the reliability prediction is the weighted sum of the individual claim means, the total claim means and the aggregate premium when the dependent structure is presented between the risks, thus spreading the classical reliability theory.
【作者单位】： 江西师范大学数学与信息科学学院;江西师范大学计算机信息工程学院;
【基金】：国家自然科学基金(71361015) 江西省自然科学基金(20142BAB201013) 教育部人文社科基金(15YJC910010,14YJC630085)资助课题
【分类号】：F840;O211.67
本文编号：2484005
[Abstract]:The reliability model of a kind of special-dependent structure is presented. With the method of orthogonal projection, the reliability premium of B-Hlmann-Straub under the dependent risk model is obtained, and the statistical properties of the reliability estimation are also discussed. The conclusion shows that the reliability prediction is the weighted sum of the individual claim means, the total claim means and the aggregate premium when the dependent structure is presented between the risks, thus spreading the classical reliability theory.
【作者单位】： 江西师范大学数学与信息科学学院;江西师范大学计算机信息工程学院;
【基金】：国家自然科学基金(71361015) 江西省自然科学基金(20142BAB201013) 教育部人文社科基金(15YJC910010,14YJC630085)资助课题
【分类号】：F840;O211.67
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