کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076618 1477216 2014 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Notes on discrete compound Poisson model with applications to risk theory
ترجمه فارسی عنوان
یادداشت های مدل پواسون ترکیبی گسسته با برنامه های کاربردی به نظریه ریسک
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
Probability generating function (p.g.f.) is a powerful tool to study discrete compound Poisson (DCP) distribution. By applying inverse Fourier transform of p.g.f., it is convenient to numerically calculate probability density and do parameter estimation. As an application to finance and insurance, we firstly show that in the generalized CreditRisk+ model, the default loss of each debtor and the total default of all debtors are both approximately equal to a DCP distribution, and we give Le Cam's error bound between the total default and a DCP distribution. Next, we consider geometric Brownian motion with DCP jumps and derive its rth moment. We establish the surplus process of the difference of two DCP distributions, and numerically compute the tail probability. Furthermore, we define the discrete pseudo compound Poisson (DPCP) distribution and give the characterizations and examples of DPCP distribution, including the strictly decreasing discrete distribution and the zero-inflated discrete distribution with P(X=0)>0.5.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 59, November 2014, Pages 325-336
نویسندگان
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