| 封闭型保单组未来损失现值向量的联合分布及渐近分布 |
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| 引用本文： | 黄向阳. 封闭型保单组未来损失现值向量的联合分布及渐近分布[J]. 经济数学, 2005, 22(1): 17-19 |
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| 作者姓名： | 黄向阳 |
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| 作者单位： | 中国人民大学统计学院,北京,100872 |
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| 基金项目： | 教育部人文社科资助项目 (编号 0 2 JA790 0 5 ) |
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| 摘 要： | 本文针对封闭型保单组,利用历年死亡人数随机向量D,将保单组的未来给付现值随机变量和未来损失现值随机变量表达为某个满秩矩阵和D的乘积,根据D服从多项分布的性质,得到未来损失现值随机向量渐近服从多元正态分布的结果,为分析责任准备金提供了一个新的框架.
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| 关 键 词： | 封闭型保单组 多项分布 未来损失现值随机变量 渐近分布 |
| 修稿时间： | 2003-10-30 |
ASYMPTOTIC JOINT DISTRIBUTION OF THE FUTURE LOSS RANDOM VARIABLES OF A CLOSED POLICY BLOCK |
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| Huang Xiangyang. ASYMPTOTIC JOINT DISTRIBUTION OF THE FUTURE LOSS RANDOM VARIABLES OF A CLOSED POLICY BLOCK[J]. Mathematics in Economics, 2005, 22(1): 17-19 |
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| Authors: | Huang Xiangyang |
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| Abstract: | In this article, the future benefit and future loss random variables of a closed policy block are expressed as the product of a full rank matrix and the deaths-of-each-policy year random vector D. As D is multinomially distributed, the joint distribution of loss vector has an asymptotic distribution in form of multivariate normal distribution, whose mean and covariance matrix are obtained. |
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| Keywords: | Closed policy block multinomial distribution future loss vector asymptotic distribution |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
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