[1]杜梦颖,章 溢,温利民*.基于Copula相依模型的指数保费预测[J].江西师范大学学报(自然科学版),2018,(01):19-22.[doi:10.16357/j.cnki.issn1000-5862.2018.01.04]
　DU Mengying,ZHANG Yi,WEN Limin*.The Predictor of Exponential Premium Based on Copula Dependent Risk Model[J].Journal of Jiangxi Normal University:Natural Science Edition,2018,(01):19-22.[doi:10.16357/j.cnki.issn1000-5862.2018.01.04]
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基于Copula相依模型的指数保费预测()
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《江西师范大学学报》（自然科学版）[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2018年01期
页码:
19-22
栏目:
数学与应用数学
出版日期:
2018-02-20

文章信息/Info

Title:
The Predictor of Exponential Premium Based on Copula Dependent Risk Model
文章编号:
1000-5862(2018)01-0019-04
作者:
杜梦颖; 章 溢; 温利民*
江西师范大学数学与信息科学学院,江西 南昌 330022
Author(s):
DU Mengying;  ZHANG Yi;  WEN Limin*
College of Mathematics and Informatics,Jiangxi Normal University,Nanchang Jiangxi 330022,China
关键词:
相依风险;  指数保费原理;  Copula函数;  Calyton Copula
Keywords:
dependent risk;  exponential premium principle;  Copula function;  Calyton copula
分类号:
O 212.7
DOI:
10.16357/j.cnki.issn1000-5862.2018.01.04
文献标志码:
A
摘要:
指数保费原理是非寿险精算中的一种重要保费原理,在理论和实际中都有重要应用.然而,大部分关于指数保费的统计推断文献都假设风险是相互独立或条件独立的,这种独立性在实际中并不一定成立.基于Copula相依模型,给出了指数保费的预测,并讨论了保费预测的性质.最后给出了在Calyton Copula模型下指数保费预测公式.
Abstract:
Exponential premium principle is a kind of important premium principle in non-life insurance actuarial science.It has important application in theory and practice.However,most of exponential premium principle statistical inference in the literature is assumed that risk is mutually independent or conditional dependent.But this independence is not satisfied in general practices.The exponential premium estimator is given based on dependent risk model.And the properties of estimate are discussed.The exponential premium formula under Calyton copula model is also given.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2017-08-06
基金项目:国家自然科学基金(71361015)和江西省自然科学基金青年重点课题(S2017QNZDB0027)资助项目.
通信作者:温利民(1978-),男,江西石城人,教授,博士,主要从事精算学的研究.E-mail:wlmjxnu@163.com
更新日期/Last Update: 2018-02-20