多維相依風(fēng)險下聚合模型的遞歸算法.pdf

1、華東師范大學(xué)碩士學(xué)位論文多維相依風(fēng)險下聚合模型的遞歸算法姓名：季細(xì)軍申請學(xué)位級別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計指導(dǎo)教師：汪榮明20050501AbstractCollectiveRiskmodelisveryinrportantinactuaryjanditiseasytohandleinmath—maticsButthecalculationoftotalclaimisaverycomplexprobleminrisktheoryBec

2、auseusuallywecan’tgetthedistributionoftotalclaimdirectlySoitattractsmanyscholars’SinterestsManyscholarsstudiedthisproblemandgotsomegoodresultsPanjerputforwardrecursivemethodfirstlyRecursivemethodisaveryeffectivemethodfor

3、calculatingtotalclaim’Sprobabilitydistributionfunctioninreall：％RecursivemethodisahotspotinactumysincePanjerfirstlyputforwardthismethodManyfamousscholars，suchasHessleager，0andGerber，HUandPanjer，studiedthismethodforinore，S

4、omegetmoreextendinindividualclaim7somegotinorcextendinclaimnumber，andsomestudiedthemonlentoftotalclaim】andothersstudiedthestabilityofcalculationInanycases，therecursivecanonlyholdinsonicconditionsThemainpurposeofthisartic

5、leiSthatweCallusethisnethodlnmoreconlnloncasesInthisarticle，westudytotalclaim’SdistributioninmultidimensionaldependentcaseIncharpter2，westudycontituousrecursivemethodinmultidimensionaldependenteaseifthedistributionofclai

6、mnumberissimpleInehaper3，WCextendHesselager’s(1994)andWang＆Sobrero’S(1994)resultstomultidimensionaldependentcaseEspeciallyweCallgetcorrespondingresultsinSundt(1999)andAmbagaspitiya(1999)Inchapter4，weconsidertheclaimnumbe

7、rsaredependentInchapter5，westudyspecialcasewhentheindividualclaimcanbenegativeThisarticlegivestwoexamplesofcalculationtoshowbowtoapplytheroiesofthisarticleKeywords：Collectiveriskmodel，Recursivemethod，dependencyColnpoundd