[1]李新鹏,吴黎军.矩相关保费原理中具有风险相依结构的信度模型[J].江西师范大学学报(自然科学版),2021,(04):349-352+375.[doi:10.16357/j.cnki.issn1000-5862.2021.04.05]
　LI Xinpeng,WU Lijun.The Credibility Model with Risks Dependence Structure for Moment-Related Premium Principle[J].Journal of Jiangxi Normal University:Natural Science Edition,2021,(04):349-352+375.[doi:10.16357/j.cnki.issn1000-5862.2021.04.05]
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矩相关保费原理中具有风险相依结构的信度模型()
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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:
2021年04期
页码:
349-352+375
栏目:
数学与应用数学
出版日期:
2021-08-10

文章信息/Info

Title:
The Credibility Model with Risks Dependence Structure for Moment-Related Premium Principle
文章编号:
1000-5862(2021)04-0349-04
作者:
李新鹏1; 吴黎军2
1.新疆农业大学数理学院,新疆 乌鲁木齐 830052; 2.新疆大学数学与系统科学学院,新疆 乌鲁木齐 830046
Author(s):
LI Xinpeng1; WU Lijun2
1.College of Mathematics and Physics,Xinjiang Agriculture University,Urumqi Xinjiang 830052,China; 2.College of Mathematics and System Sciences,Xinjiang University,Urumqi Xinjiang 830046,China
关键词:
矩相关保费原理;  风险相依结构;  信度保费
Keywords:
moment-related premium principle;  risks dependence structure;  credibility premium
分类号:
O 212
DOI:
10.16357/j.cnki.issn1000-5862.2021.04.05
文献标志码:
A
摘要:
在经典信度理论中,信度估计只适合净保费原理,很难推广到一般的保费原理,并且其假设保单组合不同保单索赔额之间独立,没有考虑风险之间相依性.该文根据一种统一的保费原理(即矩相关保费原理),考虑风险之间的相依性,运用信度理论方法估计风险随机变量的矩母函数,给出在矩相关保费原理中具有风险相依结构的保费估计,并且给出结构参数的无偏估计,从而推广了经典信度理论.
Abstract:
The classical credibility theory can only compute experience net premiums and is difficult to be transplanted to general premium calculation principles.On the other hand,it assumes that the claim amounts of different insurance policy in a portfolio are independent,it doesn't consider the risks' dependence.An unified premium principle that is moment-related premium principle which can be expressed as functional of moment generating functions and considers risks' dependence is used.The credibility idea is applied to moment generating functions and the estimates of risk premiums with risks dependence structure are established,the unbiased estimators of structure parameters are obtained,thus generalizing the classical credibility theory.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2021-05-20
基金项目:国家自然科学基金(11861064)资助项目.
作者简介:李新鹏(1986—),男,甘肃永登人,讲师,主要从事精算数学方面的研究.E-mail:news20060801015@126.com
更新日期/Last Update: 2021-08-10