[Home ] [Archive]    
:: 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
1- , r mahmodvand@yahoo.com
Abstract:   (2925 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]   (1455 Downloads)    
Type of Study: Research | Subject: General
Received: 2016/01/19 | Accepted: 2016/01/19 | Published: 2016/01/19
Send email to the article author

Add your comments about this article
Your username or Email:

CAPTCHA



XML   Persian Abstract   Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Mahmoudvand R, Edalati R. On the Distribution of Discounted Collective Risk Model. JSRI. 2010; 6 (2) :193-208
URL: http://jsri.srtc.ac.ir/article-1-109-en.html


Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 6, Issue 2 (3-2010) Back to browse issues page
مجله‌ی پژوهش‌های آماری ایران Journal of Statistical Research of Iran JSRI
Persian site map - English site map - Created in 0.04 seconds with 29 queries by YEKTAWEB 4447