RT - Journal Article
T1 - On the Distribution of Discounted Collective Risk Model
JF - srtc-jsri
YR - 2010
JO - srtc-jsri
VO - 6
IS - 2
UR - http://jsri.srtc.ac.ir/article-1-109-en.html
SP - 193
EP - 208
K1 - Discounted collective risk model
K1 - Poisson process
K1 - Martingale
AB - 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.
LA eng
UL http://jsri.srtc.ac.ir/article-1-109-en.html
M3 10.18869/acadpub.jsri.6.2.193
ER -