| 具有广义FGM相依结构的复合泊松过程的Esscher定价泛函 |
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| 引用本文： | 方颢,王传玉,张大伟.具有广义FGM相依结构的复合泊松过程的Esscher定价泛函[J].数学理论与应用,2013(3):57-62. |
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| 作者姓名： | 方颢 王传玉 张大伟 |
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| 作者单位： | 安徽工程大学数理学院,芜湖241000 |
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| 基金项目： | 国家自然科学基金项目（61203139） |
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| 摘 要： | 本文考虑索赔额与等待时间具有广义FGM相依结构的复合泊松过程，仿照文献5]的方法，求出了其矩母函数的显式表达式，给出了其矩母函数的n阶导数的计算方法，并最终求出了其Esscher定价泛函．
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| 关 键 词： | FGM Copula 复合泊松过程 Esscher定价泛函 |
The Esscher Pricing Functional for a Compound Poisson Process with General Farlie - Gumbel - Morgenstern Dependence Structure |
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| Fang Hao Wang Chuanyu Zhang Dawei.The Esscher Pricing Functional for a Compound Poisson Process with General Farlie - Gumbel - Morgenstern Dependence Structure[J].Mathematical Theory and Applications,2013(3):57-62. |
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| Authors: | Fang Hao Wang Chuanyu Zhang Dawei |
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| Institution: | Fang Hao Wang Chuanyu Zhang Dawei ( College of Mathematics and Physics, Anhui Polytechnic University, Wuhu 241000, China) |
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| Abstract: | In this paper we follow the same way to 5 ] to find the moment generating function, its nth derivative and the Esscher pricing functional for a compound Poisson process with dependent loss amounts and loss inter - arrival times having a general Farlie - Gumbel - Morgenstern dependence structure. |
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| Keywords: | FGM Copula Compound Poisson Processes The Esscher Pricing Functional |
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