کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077360 | 1374127 | 2008 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Random sums of exchangeable variables and actuarial applications
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper we study the accumulated claim in some fixed time period, skipping the classical assumption of mutual independence between the variables involved. Two basic models are considered: Model 1 assumes that any pair of claims are equally correlated which means that the corresponding square-integrable sequence is exchangeable one. Model 2 states that the correlations between the adjacent claims are the same. Recurrence and explicit expressions for the joint probability generating function are derived and the impact of the dependence parameter (correlation coefficient) in both models is examined. The Markov binomial distribution is obtained as a particular case under assumptions of Model 2.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 1, February 2008, Pages 147-153
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 1, February 2008, Pages 147-153
نویسندگان
Nikolai Kolev, Delhi Paiva,