TY - JOUR
T1 - On the Distribution of Discounted Collective Risk Model
TT - نکاتی در خصوص توزیع مدل ریسک جمعی تنزیلیافته
JF - srtc-jsri
JO - srtc-jsri
VL - 6
IS - 2
UR - http://jsri.srtc.ac.ir/article-1-109-en.html
Y1 - 2010
SP - 193
EP - 208
KW - Discounted collective risk model
KW - Poisson process
KW - Martingale
N2 - 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.
M3 10.18869/acadpub.jsri.6.2.193
ER -