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方差相关原理下相依聚合风险模型的贝叶斯保费

余君 温利民

余君, 温利民. 方差相关原理下相依聚合风险模型的贝叶斯保费[J]. 华东师范大学学报(自然科学版), 2014, (4): 26-38.
引用本文: 余君, 温利民. 方差相关原理下相依聚合风险模型的贝叶斯保费[J]. 华东师范大学学报(自然科学版), 2014, (4): 26-38.
YU Jun, WEN Li-min. Bayes premium under variance-related principles with risk dependence[J]. Journal of East China Normal University (Natural Sciences), 2014, (4): 26-38.
Citation: YU Jun, WEN Li-min. Bayes premium under variance-related principles with risk dependence[J]. Journal of East China Normal University (Natural Sciences), 2014, (4): 26-38.

方差相关原理下相依聚合风险模型的贝叶斯保费

详细信息
  • 中图分类号: O157.5

Bayes premium under variance-related principles with risk dependence

  • 摘要: 在经典的聚合风险模型中, 常常假设索赔次数和索赔额是相互独立的, 然而在实际保险业务中, 索赔额和索赔次数常常呈现相依情形. 本文通过引入Sarmanov-Lee 相依分布族的概念, 在索赔次数和索赔额呈现某种特定相依结构的条件下, 研究了聚合风险模型下方差相关保费原理的聚合保费和贝叶斯保费, 并通过数值模拟, 对保费估计的稳健性进行了分析. 结果表明, 即使参数间的相依程度很小, 也会对聚合风险保费和贝叶斯保费带来较大的影响.
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出版历程
  • 收稿日期:  2013-07-01
  • 修回日期:  2013-10-01
  • 刊出日期:  2014-07-25

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