[1]温利民,张林娜,张美,等.方差相关保费原理下风险保费的非参数估计[J].江西师范大学学报(自然科学版),2015,(04):355-359.
 WEN Limin,ZHANG Linna,ZHANG Mei,et al.The Nonparametric Estimation of Risk Premium under Variance Related Premium Principle[J].,2015,(04):355-359.
点击复制

方差相关保费原理下风险保费的非参数估计()
分享到:

《江西师范大学学报》(自然科学版)[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2015年04期
页码:
355-359
栏目:
出版日期:
2015-07-01

文章信息/Info

Title:
The Nonparametric Estimation of Risk Premium under Variance Related Premium Principle
作者:
温利民;张林娜;张美;方婧
江西师范大学数学与信息科学学院,江西 南昌 330022; 江西财经大学信息管理学院,江西 南昌 330013;江西师范大学数学与信息科学学院,江西 南昌,330022
Author(s):
WEN Limin;ZHANG Linna;ZHANG Mei;FANG Jing
关键词:
方差相关保费原理非参数估计相合性置信区间
Keywords:
variance related premium principlenonparametric estimationconsistencyconfidence interval
分类号:
O211.9
文献标志码:
A
摘要:
基于方差相关保费原理研究了聚合风险模型中方差相关保费的非参数估计,并证明了估计的相合性以及渐近正态性,最后,通过数值模拟的方法验证了估计的大样本性质,给出风险保费的渐近置信区间。
Abstract:
Based on variance related premium principle,the nonparametric estimation of the variance related premi-um principle in the aggregate risk models is studied,and the consistency and asymptotic normality of the estimator are proved. Finally,the large sample properties of the estimation through numerical simulation are verified and the asymptotic confidence intervals of the risk premium are given.

参考文献/References:

[1] Young V R.Premium principles [M]// Teugels J L,Sundt B.Encyclopedia of actuarial science.New York:Wiley,2004:1322-1331.
[2] Tan K S,Weng Chengguo,Zhang Yi.VaR and CTE criteria for optimal quota-share and stop-loss reinsurance [J].North American Actuarial Journal,2009,13(4):459-482.
[3] 温利民.信度估计的理论与方法 [M].北京:科学出版社,2012.
[4] 余君,章溢,温利民.Stein 损失函数下的保费估计 [J].江西师范大学学报:自然科学版,2014,38(2):171-175.
[5] Chi Y,Tan K S.Optimal reinsurance with general premium principles [J].Insurance:Mathematics and Economics,2013,52(2):180-189.
[6] Kaluszka M.Optimal reinsurance under convex principles of premium calculation [J].Insurance:Mathematics and Economics,2005,36(3):375-398.
[7] Guerra M,Centeno M L.Optimal reinsurance for variance related premium calculation principles [J].Astin Bulletin,2010,40(1):97-121.
[8] Chi Y.Optimal reinsurance under variance related premium principles[J].Insurance:Mathematics and Economics,2012,51(2):310-321.
[9] 庄小红,温利民,章溢.方差相关保费原理下具有免赔额的保费估计 [J].统计与决策,2014(14):15-17.
[10] Martel-Escobar M,Hernández-Bastida A,Vázquez-Polo F J.On the independence between risk profiles in the compound collective risk actuarial model [J].Mathematics and Computers in Simulation,2012,82(8):1419-1431.
[11] 方婧,章溢,温利民.聚合风险模型下的信度估计 [J],江西师范大学学报:自然科学版,2012,36(6):607-611.
[12] 施久玉.一类聚合风险模型 [J].运筹与管理,2005,13(6):53-60.
[13] Bühlmann H.Mathematical methods in risk theory [M].Berlin:Springer Science & Business Media,1970.
[14] Denuit M,Dhaene J,Goovaerts M,et al.Actuarial theory for dependent risks:Measures,orders and models [M].Chichester:John Wiley & Sons,Ltd,2005.
[15] 茆诗松,王静龙,濮晓龙.高等数理统计 [M].北京:高等教育出版社,1998.
[16] Freguson T S.A course in large sample theory [M].New York:Chapman & Hall,1996.

备注/Memo

备注/Memo:
国家自然科学基金(71361015);中国博士后基金面上课题(2013M540534);中国博士后特别课题(2014T70615)
更新日期/Last Update: 1900-01-01