AU - Mahmoudvand, Rahim
AU - Edalati, reza
TI - On the Distribution of Discounted Collective Risk Model
PT - JOURNAL ARTICLE
TA - srtc-jsri
JN - srtc-jsri
VO - 6
VI - 2
IP - 2
4099 - http://jsri.srtc.ac.ir/article-1-109-en.html
4100 - http://jsri.srtc.ac.ir/article-1-109-en.pdf
SO - srtc-jsri 2
ABĀ - 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.
CP - IRAN
IN -
LG - eng
PB - srtc-jsri
PG - 193
PT - Research
YR - 2010