| 随机利率下的风险模型 |
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| 引用本文： | 张奕,何文炯. 随机利率下的风险模型[J]. 经济数学, 2002, 19(3): 47-52 |
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| 作者姓名： | 张奕 何文炯 |
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| 作者单位： | 浙江大学理学院,经济学院,杭州,310028 |
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| 摘 要： | 本文考虑一种具有随机利率的风险模型。对随机利率则取一般的独立增量过程 ,得到总索赔额精算现值的各阶矩 ,并在某些条件下给出矩的具体表达式
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| 关 键 词： | 随机利率 Poisson过程 Wiener过程 风险模型 |
| 修稿时间： | 2002-05-30 |
A RISK MODEL FOR INTEREST RANDOMNESS |
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| Zhang Yi He Wenjiong. A RISK MODEL FOR INTEREST RANDOMNESS[J]. Mathematics in Economics, 2002, 19(3): 47-52 |
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| Authors: | Zhang Yi He Wenjiong |
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| Abstract: | In this paper, a risk model with the interest randomnessis is considered. The moments of claim size in (0, t ) are caculated under force of interest accumulation function as a stationary and independent increments process. If the interest randomness is a random process with some special properies, then the expressions of moments of the claim size is more concrete and practical. |
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| Keywords: | Random interest Poisson process wiener process risk model |
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