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| 具有广义FGM Copula的复合泊松过程的净保费研究 |
| The Net Premium for a Compound Poisson Process with Generalized Farlie-Gumbel-Morgenstern Dependence Structure |
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| DOI： |
| 中文关键词: 广义FGM Copula 净保费 Esscher定价 |
| 英文关键词: FGM Copula Compound Poisson Processes Net Premium |
| 基金项目:国家自然科学基金项目，安徽省重点教研项目 |
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| 中文摘要: |
| 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,在求得总索赔额的矩母函数后,对零利息力和非零利息力下的净保费进行研究,最终得到Esscher定价泛函的表达式. |
| 英文摘要: |
| In this paper we find the moment generating function of the total claim with the net premium under both zero interest force and nonzero interest force for a compound Poisson processes with dependent loss amounts and loss inter- arrival times having a generalized Farlie- Gumbel- Morgenstern Copula dependence structure. Finally we obtain the expressions for the Esscher pricing function. |
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