| 风险非同质时索赔次数的分布拟合及其EM算法 |
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| 引用本文： | 王黎明,雷怡林.风险非同质时索赔次数的分布拟合及其EM算法[J].应用数学与计算数学学报,2000,14(2):71-76. |
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| 作者姓名： | 王黎明 雷怡林 |
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| 作者单位： | 华东师范大学统计系,上海,200062 |
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| 基金项目： | 国家自然科学基金资助项目19831020. |
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| 摘 要： | 本文运用EM算法，对于风险非同质时索赔次数的分布，分别给出了离散型多元风险模型，混合两伽玛模型参数的极大似然估计的迭代公式，并将其应用到一个实际问题中去，效果较好。
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| 关 键 词： | 风险 索赔次数 分布 EM算法 极大似然估计 迭代公式 保险 |
| 修稿时间： | 1999年12月1日 |
Simulation and EM Algorithm for the Distribution of Number of Claim in the Heterogeneous Portfolio |
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| LIMING WANG,YILIN LEI.Simulation and EM Algorithm for the Distribution of Number of Claim in the Heterogeneous Portfolio[J].Communication on Applied Mathematics and Computation,2000,14(2):71-76. |
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| Authors: | LIMING WANG YILIN LEI |
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| Abstract: | In this paper, we discuss the simulation for the distribution of number of claim in the heterogeneous portfolio. Applying EM algorithm, we respectively drive the iterative computing methods for the maximum likelihood estimators of the parameters with discrete multivariate risk models and mixed two-Gamma risk model. In practice, we gain some satisfactory consequences by using these iterative computing methods. |
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| Keywords: | The number of claim Mixed distribution Moment method estimators Maximum likelihood estimators EM algorithm |
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