:: Volume 6, Issue 2 (3-2010) ::
JSRI 2010, 6(2): 193-208 Back to browse issues page
On the Distribution of Discounted Collective Risk Model
Rahim Mahmoudvand 1, Reza Edalati Ali
1- , r mahmodvand@yahoo.com
Abstract:   (2338 Views)

We study the distribution of discounted collective risk model where the counting process is Poisson. For the model considered here, we obtain mean, variance and moment generating function (m.g.f) of the model. To do this, we use two approaches. In the first approach we use classical methods to obtain the mean and variance. In the second approach we introduce some proper martingale and then we obtain the m.g.f of total loss by features of martingales. Additionally, we use Fast Fourier Transform to numerically calculate the distribution of discounted collective risk model.

Keywords: Discounted collective risk model, Poisson process, Martingale
Full-Text [PDF 291 kb]   (703 Downloads)    
Type of Study: Research | Subject: General
Received: 2016/01/19 | Accepted: 2016/01/19 | Published: 2016/01/19

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Volume 6, Issue 2 (3-2010) Back to browse issues page